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Thesis (D.B.A.)--Alliant International University, San Diego, 2005. / Includes bibliographical references (leaves 153-159).

Thesis (masters)--Frankfurt School of Finance & Management, 2006. / Title from title screen (viewed on June 15, 2006). Includes bibliographical references.

[pt] O expressivo fluxo de capital externo direcionado aos países emergentes ao longo dos anos 90 foi, e continua sendo, objeto de estudo de muitas pesquisas acadêmicas desenvolvidas na área de finanças internacionais. A maioria destes estudos busca investigar empiricamente, em que medida os fatores econômicos domésticos e externos constituem-se em determinantes significativos do fluxo internacional de capital. Semelhantemente, esse mesmo tipo de análise tem sido freqüentemente realizado sob a ótica do risco-país. A única diferença entre as duas análises é que de um lado o interesse é em torno dos determinantes do movimento de capital, do outro, o foco é sobre o movimento dos preços dos ativos e dos bônus soberanos. Dado que uma parte representativa dos fluxos de capital, ao longo da década de 90, esteve direcionada para o mercado de títulos da dívida pública dos países emergentes, motivada pelos mais diversos fatores, o presente trabalho tem como finalidade estudar essa dinâmica de preços com base em três modelos: i) o primeiro modelo analisa os determinantes econômicos internos do risco-país; ii) o segundo modelo tem o mesmo propósito do primeiro, sendo que a variável grau de aversão ao risco global, que serve de proxy para o componente externo do risco, é incluída no grupo de variáveis explicativas; iii) no último modelo, o enfoque é sobre a relação entre o risco-país específico e os fundamentos econômicos. Entendendo-se como risco específico, o risco-país menos o componente externo. No caso, o exercício em questão será aplicado para uma amostra de países emergentes e especificamente para o Brasil. / [en] The expressive flow of external capital directed to the emerging countries along 90's has been the subject of much academic research developed in the area of international finance. Most of these studies attempt to empirically investigate how much country-especific and global factors constitute significant determinants of capital flow. Similarly, this kind of analysis has frequently taken place under the view of country risk. The only difference between the two analyses is that on the one side the major interest is around the movements of the capital flow, whereas on the other one it is around the price determination of sovereign bonds. Given the fact that an important part of capital flow along the 90's was linked to external debt bonds of emerging market countries motivated by several reasons, this dissertation has the goal of studying the economic determinants of price variations based on three models: i) the first model analyzes the domestics determinants of country risk; ii) the second model has the same goal of the first one; however, the global risk aversion variable, which serves as proxy for the external risk component, is included to the group of explanatory variables; iii) the last model specifically focuses on the relationship between country risk and economic fundamentals. It is important that we understand as specific risk, the country risk deprived from the external components. Therefore, the following analysis will be applied to a sample of emerging markets and especifically to Brazil.

Thesis (MA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: Since the beginning of the economic reforms in 1978, the People's Republic of China (PRC) has attracted continuous interest from foreign investors, both in the form of foreign direct investment (FDI) and international trade, making the PRC the second largest host of FDI in the world. Despite occasional declines in foreign investment, foreign investors remain very interested in the long-term prospects for doing business in the country. The PRC's phenominal economic growth, large consumer market, the accession to the World Trade Organisation (WTO), and the government's commitment to open markets, economic reforms, and restructuring of the economy are amongst the factors that continue to attract foreign investment and trade. Despite the huge market potential and strong desire by foreign investors to do business in The PRC, the track record of foreign companies and investments in the country have at best been mixed. While some foreign investors have reaped large profits, others have failed to meet their performance targets. Foreign investors have faced a number of problems that are not market or trade related, but associated with economic, political and social trends and developments, including corruption, nepotism, crime, poor infrastructure, a depleted banking system, inefficient legal system, unemployment and poverty. Therefore, it is not surprising that many foreign investors are asking themselves whether the benefits of doing business in the PRC are worth the risks. In an increasingly uncertain and instable international trade and investment environment political risk assessment and management have become essential components of any profitable foreign investment strategy. Consequently, numerous political risk-rating agencies and a large number of both qualitative and quantitative risk assessment methods have emerged over the years. There is, however, neither general consensus regarding the definition of political risk nor a comprehensively systematic method of conducting political risk assessment. The definitions of political risk include a wide variety of indicators, ranging from governmental actions to all non-market developments. The number of methods available for political risk analysis range from informal, unsystematic assessments by a few individuals to formal, systematic, and sophisticated risk analysis models. There are, however, some similarities. The main objective of political risk analyses is to describe, explain, and forecast political conditions and events that affect the interests of foreign investors operating abroad or planning to enter a foreign market. In addition, political risk analyses attempt to forecast losses, and recommend means of managing the risk, avoiding the losses, and seizing the opportunities. Scenario planning is one of the qualitative methods used to analyse political risk. Scenario planning, however, differs from most other approaches as it does not try to accurately predict what will happen in the future or to provide the right tool for foreseeing the future developments, but to offer a range of possible futures. The underlying assumption is that the future cannot be forecast or predicted with certainty, but that the very process of thinking about the future and exploring the implications of possible future scenarios may have a profound impact on foreign investment and trade. Scenario planning is a method that provides insightful information necessary to understand, anticipate and respond to change and uncertainty in the future PRC. The development of four 20-year scenarios in this study demonstrates that the prospects for foreign investment can be both positive and negative. When the economy continues to grow strongly, and the government is able to maintain a stable environment and successfully implement the necessary changes foreign investors are expected to reap the desired benefits. However, if the problems facing the PRC at the moment further deteriorate foreign investors could expect increased risks, and the possibility of failure. / AFRIKAANSE OPSOMMING: Vanaf die begin van die ekonomiese transformasie in 1978, het die Volksrepubliek van Sjina voortdurende belangstelling van buitelandse beleggers geniet. Hierdie belangstelling was gemanifesteer in die vorm van direkte buitelandse belegging asook internasionale handel. Sjina het so aanloklik vir buitelandse beleggers geword, dat dit tans die wêreld se tweede grootste ontvanger van buitelandse belegging is, en beleggers stel veral belang in die lang termyn moontlikhede van besigheid doen in die land. Die Volksrepubliek van Sjina se merkwaardige ekonomiese groei, groot verbruikersmark, toetreding tot die Wêreld Handels Organisasie, en die regering se verbintenis aan die ontwikkeling van 'n oop ekonomie, ekonomiese transformasie en die herstrukturering van die ekonomie as sulks, is sommige van die faktore wat toenemend buitelandse belegging en handel aanlok. Ten spyte van die groot verbruikersmark potensiaal en die sterk begeerte van buitelandse beleggers om besigheid te doen in die Volksrepubliek van Sjina, is die ervarings van buitelandse maatskappye tot dusver gemeng. Alhoewel sommige buitelandse beleggers groot wins gemaak het, het ander minder sukses ervaar. Buitelandse beleggers word ook gekonfronteer met baie probleme wat nie noodwendig met die mark of handel gepaard gaan nie. Hierdie probleme word geassosieer met ekonomiese, politieke en sosiale gebeure en faktore insluitend korrupsie, misdaad, nepotisme, swak infrastruktuur, 'n ledige bank sisteem, 'n ondoeltreffende regssisteem, werkloosheid en armoede. Baie buitelandse beleggers betwyfel dus moontlik die vraag of besigheid doen in die Volksrepubliek van Sjina tog meer voordele inhou as risiko. In 'n wêreld waar internasionale handel en belegging met onsekerheid en onstabiliteit gepaard gaan, het die aspekte van politieke risiko skadebepaling en -bestuur belangrike komponente van enige winsgewende buitelandse belegging strategie geword. Gevolglik het verskeie politieke risiko-analise agentskappe asook 'n verskeie risiko-analise metodes van beide kwantitatiewe en kwalitatiewe aard hul verskyning gemaak. Ten spyte van die bogenoemde is daar nog steeds geen veralgemeende konsensus oor die definisie van politieke risiko, of 'n oorsigtelik sistematiese metode van politieke risiko-skatting onderneem nie. Die definisies van politieke risiko sluit in 'n groot verskeidenheid van indikatore wat wissel van regeringaksies tot mark-onverwante gebeure. Die verskeidendheid van metodologië wat gebruik word in politieke risiko-analise wissel van informeel, onsistematiese skattings, tot formele, sistematiese en gesofistikeerde risiko-analise modelle. Die primêre doel van politieke risiko-analise is om te beskryf en te verduidelik, en ook om politieke omstandighede en gebeurtenisse wat die belangstelling van buitelandse beleggers affekteer te voorspel. Addisioneel beoog politieke risiko-analise om ook die moontlikheid van verlies te voorspel en om 'n strategie vir die bestuur van die risiko aan te beveel, om sodoende verlies so ver moontlik te vermy asook om moontlike geleenthede aan te gryp. Senariobeplanning is een van die kwalitiatiewe metodes wat gebruik kan word in die analise van politieke risiko. Senariobeplanning verskil van ander benaderings in die sin dat dit nie akkurate voorspellings vir die toekoms as sulks maak nie, maar eerder 'n verskeidenheid van moontlike toekomstige omstandighede weergee. Die ontwikkeling van vier 20-jaar senarios vir die Volksrepubliek van Sjina in hierdie studie illustreer hoe die uitsigte vir buitelandse belegging positief sowel as negatief kan wees. Indien die Sjinese ekonomie verder groei en die regering in staat is om 'n stabiele omgewing in stand te hou asook die nodige veranderings te implimenteer, kan buitelandse beleggers verwag om beoogde voordele van buitelandse belegging te ervaar. Maar as die probleme wat die Volksrepubliek van Sjina op die oomblik ervaar voortduur en lof verswak, kan buitelandse beleggers verhoogde risiko sowel as die moontlikheid van mislukkings verwag.

M.A. / Please refer to full text to view abstract

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2015. / Researchers have suggested that emerging markets’ activity is driven largely by unlisted companies. These companies are dynamic, and show a relatively equitable income distribution. However, they operate under severe challenges which can be a deterrent to their success. In spite of these difficulties, the companies form exceptional investment targets due to their innovative abilities, ability to customize products and formulate business models that reduce bottlenecks and input costs as well as take advantage of economies of scale and scope. Important risk factors such as: political, currency, corporate governance and information risks, amongst others, should be factored in during the valuation process of emerging market companies. In this paper, several criteria are used to assess thirteen popular emerging market valuation models’ ability to effectively incorporate these risks. Based on the outcomes of the assessment a best fit model is selected. However, none of the emerging market valuation models explicitly factor in irrationality of market participants. In order to address this, the study focuses on seven behavioural approaches to valuation under the assumption of investor rationality and managerial overconfidence and/or optimism, with a purpose to select one to include in the above mentioned “best fit” emerging market valuation models. Next, assessment mechanisms for adapting these two models for private company valuation were flagged by discussing approaches currently used in academia and corporate finance. Finally, possible means of combining the three objectives, and assessing the success of doing so, as an area for further research, were recommended. Key Words: emerging markets, valuation, risk premium, country risk, systematic risk, unsystematic risk, private companies, managerial overconfidence, managerial optimism, irrationality, efficient markets, capital asset pricing model

This paper adds to the understanding and transparency of equity pricing in emerging markets. Its novel contribution is that it empirically investigates the pricing of Country Risk in BRIC markets, using a two-factor intertemporal pricing model. Bridging the gap between academics and practitioners, this paper contributes to the debate as to whether or not it is justified to adjust discount rates for emerging market companies – as given by the CAPM – by including an unconditional country risk premium. In choosing between country risk proxies, the sovereign yield spread adjusted for relative equity volatility appears to supersede the classical sovereign yield spread in explaining return variations. Evidence is presented that country risk is priced in India and China indicating some type of market segmentation; in these markets, the addition of a country risk premium to the discount rate is justified. Moreover, the paper complements the market integration literature in that it is shown that the correlation between the change in country risk premium and the equity risk premium might show signs of market segmentation or market integration, rendering the pricing factor for country risk in specific countries significant or insignificant, respectively. © 2010 Soeriowardojo, G.T. All rights reserved.

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