Over the years, investors demand greater transparency on how their funds are being invested. Whilst in the past it would have been enough for investment firms to seek primarily financial returns against all else; it is now becoming more common for investors to demand some form of positive impact above and beyond financial returns. In response to this, many strategies that seek more than just financial returns have been developed and impact investing being one such strategy. This research explores how fund managers and, or investors operating in the impact investment space communicate their practices to stakeholders in order to obtain an understanding of what they understand impact investing to be, and for those who may be investing for impact, understand the type of impact they seek to attain and also to appreciate how impact is being measured. The research findings suggest that despite much effort being put into the development of impact investing as a distinctive field, there are still a number of issues to iron out particularly with how companies communicate impact. The confusion and use of related terminology interchangeably is also an issue that is found to be detracting instead of adding to the development of the field.

This thesis studies three important topics in modeling financial volatility. First, the jump clustering in ex post variance and its implications on forecasting, second, the underlying distribution of stochastic volatility and third, the role of non-Gaussian multivariate return distribution combined with a realized GARCH framework. The first chapter is on variance jumps. Financial markets present unexpected and large jumps, due to unobserved news flow. I focus on modeling the ex post variance jumps, their time- dependent arrivals and their sizes. I use a discrete-time bivariate model, with two autoregressive components which capture the long and short-run memory of the ex post variance measures. I estimate contemporaneous and time-dependent jumps in the log-measures of realized variance and bipower variation. The results from S&P500 show that the variance jumps are frequent and persistent. I examine the ability of jumps to forecast returns and ex post variance densities over horizons of up to 50 days out-of-sample. Modeling jumps significantly improves ex post variance density forecasts for all horizons and improves forecasts of the returns density. In the second chapter I explore the empirical non-Gaussian features of stochastic volatility. The standard assumption in a stochastic volatility specification is typically a restrictive Gaussian AR(1) structure. I drop this assumption and instead I assume that latent log-volatility follows an infinite mixture of normals with a Dirichlet process prior. The ex post measure of realized variance is used as a source of information to help identify the unknown distribution of log- volatility. Results from major stock indices show strong evidence of non-Gaussian distributional behaviour of volatility. The proposed framework captures asymmetry and thick tails in returns as well as realized variance. In out-of-sample forecasting, the new model provides improved density forecasts for returns, negative returns and log-realized variance. In the third chapter a new approach for multivariate realized GARCH models is proposed. Two new extensions that have non-Gaussian innovations are developed. The first one is a parametric version, with multivariate-t innovations. The second one is a nonparametric approximation of the return distribution using an infinite mixture of multivariate normals given a Dirichlet process prior. The proposed models are based on the assumption that the realized covariance follows an Inverse Wishart distribution with conditional mean set to the conditional covariance of returns. The benefits of the proposed models are demonstrated from density forecasting and portfolio applications. Results from two equity datasets indicate that modeling the tail behaviour improves return density forecasting compared to the Gaussian assumption. The proposed models produce the least volatile global minimum variance portfolios out-of-sample and provide improved forecasts of Value-at-Risk and Expected Shortfall. / Thesis / Doctor of Business Administration (DBA)

This paper studies if a change in political risk has a significant impact on the stock returns of countries. Additionally, the paper assesses if this change in political risk impacts stock returns differently in emerging and developed countries. The paper conducts a risk based portfolio analysis and a linear cross-sectional regression analysis in order to find a conclusive result. The portfolio analysis, which replicates a study carried out by Diamonte, Liew, and Stevens (1996), reveals that there is a difference in the impact that change in political risk has in developed and emerging countries. The regression analysis finds that change in political risk does impact stock returns but there is no statistically significant difference in this impact between emerging and developed countries. The regression analysis also finds that the existing level of risk does not significantly affect the impact that growth in political risk has on stock returns.

This research study is aimed at finding empirical evidence to support a finding from an initial study that corporate governance disclosure is linked with financial performance for JSE listed companies. The study made use of a scorecard previously designed for the initial study to rate the governance disclosure of the various companies. 74 companies from the eight major sectors of the JSE were selected for the sample and financial data for the review period was extracted from MacGregor BFA. Governance was rated based on annual reports and any other information within the public domain. The financial performance measures used were, CAGR using opening and closing share prices, price to book and price/earnings ratio. Using mean disclosure scores, two portfolios were created to compare financial performance, the high and low disclosure portfolios. A simple correlation analysis was then conducted to assess the relationship of governance disclosure with the three different financial measures. The findings indicate a negative correlation between governance disclosure and returns whilst a positive correlat ion is established between governance and firm valuations. Copyright / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

Submitted by EDER FONZAR GRANATO null (eder1962granato@gmail.com) on 2016-07-18T15:30:51Z No. of bitstreams: 1 TESE EDER FONZAR GRANATO 1962 com ficha.pdf: 2663771 bytes, checksum: 91f29e8fd5aa752f16fc4d9ab7721195 (MD5) / Approved for entry into archive by Ana Paula Grisoto (grisotoana@reitoria.unesp.br) on 2016-07-19T20:46:25Z (GMT) No. of bitstreams: 1 granato_ef_dr_bot.pdf: 2663771 bytes, checksum: 91f29e8fd5aa752f16fc4d9ab7721195 (MD5) / Made available in DSpace on 2016-07-19T20:46:25Z (GMT). No. of bitstreams: 1 granato_ef_dr_bot.pdf: 2663771 bytes, checksum: 91f29e8fd5aa752f16fc4d9ab7721195 (MD5) Previous issue date: 2016-05-25 / O Brasil produz anualmente 30 bilhões de litros de etanol de cana de açúcar com previsão do Ministério de Minas e Energia de atingir 36 bilhões de litros em 2024. A vinhaça é o resíduo líquido, rico em potássio e matéria orgânica que resulta da destilação do etanol, na proporção de 10 a 15 litros de vinhaça para cada litro de etanol. Disposto indevidamente, pode trazer sérios riscos para o ambiente devido ao alto potencial poluidor. Os estados de São Paulo, Paraná e Mato Grosso do Sul, possuem normas específicas sobre disposição desse resíduo, mas não atingem por completo o objetivo de controlar e mitigar os problemas, pois a disposição final da vinhaça se resume unicamente na fertirrigação sem qualquer outro tratamento. No presente trabalho, realizado no Laboratório de Biomassa do Departamento de Engenharia Rural da Faculdade de Ciências Agrárias e Veterinárias da UNESP de Jaboticabal, analisou-se a biodigestão anaeróbia da vinhaça, caracterizando-se a produção de biogás e a redução do potencial poluidor. Para tanto, foram efetuados estudos de viabilidade técnica da biodigestão anaeróbia da vinhaça analisando os parâmetros: neutralização do pH da vinhaça, utilização do reciclo e estabilização da temperatura da vinhaça. Para os três parâmetros citados foram registrados e analisados dados referentes a: produção de biogás (m3), composição do biogás (% de CH4 e CO2) e redução do potencial poluidor da vinhaça após biodigestão anaeróbia (DQO). No que diz respeito a produção do biogás, os resultados considerados relevantes foram na correção do pH (aumento de 97,5%) e no aquecimento do afluente (aumento de 79%). Em relação a composição do biogás, obteve-se, aumento de 9% de metano redução de 3,6% de dióxido de carbono quando se aquece o afluente. Quando se utiliza reciclo a redução de DQO aumentou em 50% e o aquecimento do afluente permitiu aumentou a redução em 62%, demonstrando a viabilidade técnica do presente estudo. Para se determinar a viabilidade econômica foram efetuados estudos referentes a: Demonstração do Fluxo de Caixa, Valor Presente Liquido, Taxa Interna de Retorno e Payback Descontado. Em relação ao Valor Presente Liquido, o resultado obtido foi de R$ 2.179.331,76, maior que zero. A Taxa Interna de Retorno foi de 8%, maior que 7,5% (Taxa Atrativa Mínima). O retorno do investimento pelo cálculo do Payback Descontado será em 5,54 anos, provando assim que o projeto é viável economicamente. / The Brazil annually produces 30 billion liters of ethanol from sugar cane with the Ministry of Mines and Energy forecast to reach 36 billion liters in 2024. The stillage is the liquid waste, rich in potassium and organic matter resulting from the distillation of ethanol in the proportion of 10 to 15 liters of vinasse per liter of ethanol. Willing improperly, can pose serious risks to the environment due to the high pollution potential. The states of São Paulo, Paraná and Mato Grosso do Sul, have specific rules on disposal of this waste, but do not reach completely in order to control and mitigate the problems because the final disposal of vinasse comes down solely in fertigation without any other treatment . In this study, conducted at the Laboratory of Biomass Department of Rural Engineering of the Faculty of Agricultural and Veterinary Sciences of Jaboticabal UNESP, analyzed the anaerobic digestion of vinasse, characterizing the production of biogas and reduce the pollution potential. Therefore, technical feasibility studies of anaerobic digestion of vinasse were made by analyzing the parameters: pH neutralization of vinasse, use of recycling and stabilization of vinasse temperature. For the three mentioned parameters were recorded and analyzed data for: biogas production (m3), biogas composition (% CH4 and CO2) and reduced pollution potential of vinasse after anaerobic digestion (COD). As regards the production of biogas, the results were considered significant at pH correction (increase of 97.5%) and heating the influent (79% increase). For biogas composition was obtained, an increase of 9% methane 3.6% reduction of carbon dioxide when heated affluent. When COD reduction using recycled increased by 50% and heating affluent allowed increased the reduction by 62%, demonstrating the technical feasibility of this study. To determine the economic feasibility studies were made regarding: Cash Flow Statement, Net Present Value, Internal Rate of Return and Discounted Payback. Regarding the Net Present Value, the result was of R$ 2,179,331.76, greater than zero. The internal rate of return was 8%, higher than 7.5% (rate Attractive Minimum). The return on investment by calculating the Discounted Payback will be 5.54 years, thus proving that the project is economically viable.

[pt] A presente tese tem por objetivo investigar consistência de desempenho em fundos de ações no Brasil, durante o período ocorrido entre julho/1994 e junho/2001, buscando resposta para a seguinte pergunta: analisando as séries temporais de retornos de fundos de ações no Brasil, será possível determinar aqueles com maior probabilidade de virem a se tornar os de maiores retornos no futuro? Em outras palavras, será o desempenho de fundos de ações consistente ao longo de tempo, permitindo a construção de modelos com capacidade preditiva? A metodologia utilizada foi de caráter exclusivamente quantitativo, hipótese de preços traduzindo informações completas. Foram aplicados testes de consistência de desempenho do tipo Tabelas de Contingência 2X2 (sem ajuste para risco e com ajuste para risco, através de classificação por Alfa s de Jensen) e Portfolio Change Measure (PCM). Os testes PCM utilizam as ponderações das carteiras, sendo tal metodologia de aplicação inédita em fundos de ações no Brasil. Os resultados apresentam evidências de consistência de desempenho entre o primeiro e o período analisados. Tais evidências não se sustentam entre o segundo e o terceiro período. O padrão de consistência é mais forte no fundos de desempenho inferior. Foram aplicados testes para detectar e mensurar impactos de viés de sobrevivência e custos de transação nos retornos dos fundos. Os resultados, obtidos através de ponderação de carteiras e demonstrativos de fontes e aplicações de recursos dos fundos, não detectam viés de sobrevivência nem influência de custos de transações nos retornos dos fundos de ações analisados. O desempenho dos fundos de ações analisados deve ser considerado insatisfatório. / [en] The present dissertation intents to analyze the consistence of performance in stock funds in Brazil, from july/1994 to june/2001. We search the answer to the following question: through the analysis of times series of returns of stock funds in Brazil, is it possible to determine the most likely winners in the future? In other words: the performance of stock funds is consistent along time, allowing for the building of models with predictive power? The methodology applied was a quantitative approach, prices with complete information. I analyzed time series of financial returns of stock funds. The tests for consistence of performance were Contingency Tables 2X2 (with risk adjustment and without risk adjustment through alfa s of Jensen) and Portfolio Change Measure (PCM). The outcomes presents a pattern of consistency between the 1st and the 2nd periods analyzed. This standard is absent between the 2nd and the 3rd periods. The observed pattern of consistence is stronger for the worse performance. We applied tests to detect and measure the effects of survival bias and transaction costs in the returns of funds. The outcomes, obtained trough the analysis of the weighted portfolios and the statements of sources and uses of cash, are the absence of survival bias and effects of transactions costs in the returns of the stock funds analyzed. The performance of the stock funds analyzed must to be considered to be unsatisfactory.

Os métodos geralmente empregados no mercado para o cálculo de medidas de risco baseiam-se na distribuição adotada para os retornos financeiros. Quando a distribuição Normal é adotada, estas avaliações tendem a subestimar o Value at Risk (valor em risco - VaR), pois a distribuição Normal tem caudas mais leves que as observadas nas séries financeiras. Muitas distribuições alternativas vêm sendo propostas na literatura, contudo qualquer modelo alternativo proposto deve ser avaliado com relação ao esforço computacional gasto para cálculo do valor em risco e comparado à simplicidade proporcionada pelo uso da distribuição Normal. Dessa forma, esta dissertação visa avaliar alguns modelos para cálculo do valor em risco, como a modelagem por quantis empíricos, a distribuição Normal e o modelo autorregressivo (AR), para verificação do melhor ajuste à cauda das distribuições das séries de retornos financeiros, além de avaliar o impacto do VaR para o ano seguinte. Nesse contexto, destaca-se o modelo autorregressivo com heterocedasticidade condicional (ARCH) capaz de detectar a volatilidade envolvida nas séries financeiras de retorno. Esse modelo tem-se mostrado mais eficiente, capaz de gerar informações relevantes aos investidores e ao mercado financeiro, com um esforço computacional moderado. / The most used methods for risk evaluation in the financial market usually depend strongly on the distribution assigned to the financial returns. When we assign a normal distribution, results tend to underestimate the Value at Risk (VaR), since the normal distribution usually has a lighter tail than those from the empirical distribution of financial time series. Many other distributions have been proposed in the literature, but we need to evaluate their computational effort for obtaining the value at risk when compared to the easiness of calculation of the normal distribution. In this work, we compare several models for calculating the value at risk, such as the normal, the empirical-quantile and the autoregressive (AR) models, evaluating their goodness-of-fit to the tail of the distribution of financial return time series and the impact of applying the calculated VaR to the following year. We also highlight the autoregressive conditional heteroskedasticity (ARCH) model due to its performance in detecting the volatility in the series. The ARCH model has proved to be efficient and able to generate relevant information to the investors and to the financial market with a moderate computational cost.

<p>This thesis consists of an introduction and four papers exploring various aspects of the Namibian economy. These aspects cover shadow pricing, environmental valuation and capital market development in Namibia.</p><p>Paper I estimates the shadow prices of capital, labour and foreign exchange for the Namibian economy. The results suggest that the shadow price of capital for Namibia is 7.2%. The economic costs of Namibian labour, as a share of financial costs, are 32% for urban semi- and unskilled labour, and 54% for rural semi- and unskilled labour. The economic cost of foreign labour as a share of financial costs is 59%. The estimated shadow exchange rate factor is 4% for the Namibian economy.</p><p>Paper II derives a set of accounting price ratios (APRs) for the various economic sectors of Namibia by using the Semi-Input–Output (SIO) Technique. An APR is the ratio between the market or financial price and the efficiency or economic value of a specific commodity or sector, which is useful for the economic analysis of investment or development initiatives. This larger set of APRs, derived on the basis of information contained in a Namibian Social Accounting Matrix (SAM), should be useful in improving the effective appraisal of development projects and other major investment programmes in Namibia.</p><p>Paper III analyses returns and volatility on the Namibian and South African stock markets, using the daily closing indices of the Namibian Stock Exchange (NSX) and the Johannesburg Stock Exchange (JSE). The sample covers the period from 4 January 1999 to 20 March 2003. The methodology has three main parts: (i) unit root tests, (ii) cointegration analysis, and (iii) volatility modelling. The results show that the two markets exhibit very low correlations, and there is no evidence of a linear relationship between the markets. Furthermore, a volatility analysis shows evidence of no spillover effects. These results suggest that the NSX could be an attractive risk diversification tool for regional portfolio diversification in southern Africa</p><p>Paper IV studies the determinants of property prices in the township areas of Windhoek, the capital of Namibia. The work‟s major finding is that properties located close to an environmental bad (e.g. garbage dump) sell at considerable discounts. On the other hand, properties located near an environmental good (e.g. a recreational open space) sell at a premium. These results provide evidence of the importance of environmental quality in lower-income property markets in developing countries. It is important, therefore, for Namibian urban planners to incorporate environmental quality into the planning framework for lower-income areas.</p>

This thesis consists of an introduction and four papers exploring various aspects of the Namibian economy. These aspects cover shadow pricing, environmental valuation and capital market development in Namibia. Paper I estimates the shadow prices of capital, labour and foreign exchange for the Namibian economy. The results suggest that the shadow price of capital for Namibia is 7.2%. The economic costs of Namibian labour, as a share of financial costs, are 32% for urban semi- and unskilled labour, and 54% for rural semi- and unskilled labour. The economic cost of foreign labour as a share of financial costs is 59%. The estimated shadow exchange rate factor is 4% for the Namibian economy. Paper II derives a set of accounting price ratios (APRs) for the various economic sectors of Namibia by using the Semi-Input–Output (SIO) Technique. An APR is the ratio between the market or financial price and the efficiency or economic value of a specific commodity or sector, which is useful for the economic analysis of investment or development initiatives. This larger set of APRs, derived on the basis of information contained in a Namibian Social Accounting Matrix (SAM), should be useful in improving the effective appraisal of development projects and other major investment programmes in Namibia. Paper III analyses returns and volatility on the Namibian and South African stock markets, using the daily closing indices of the Namibian Stock Exchange (NSX) and the Johannesburg Stock Exchange (JSE). The sample covers the period from 4 January 1999 to 20 March 2003. The methodology has three main parts: (i) unit root tests, (ii) cointegration analysis, and (iii) volatility modelling. The results show that the two markets exhibit very low correlations, and there is no evidence of a linear relationship between the markets. Furthermore, a volatility analysis shows evidence of no spillover effects. These results suggest that the NSX could be an attractive risk diversification tool for regional portfolio diversification in southern Africa Paper IV studies the determinants of property prices in the township areas of Windhoek, the capital of Namibia. The work‟s major finding is that properties located close to an environmental bad (e.g. garbage dump) sell at considerable discounts. On the other hand, properties located near an environmental good (e.g. a recreational open space) sell at a premium. These results provide evidence of the importance of environmental quality in lower-income property markets in developing countries. It is important, therefore, for Namibian urban planners to incorporate environmental quality into the planning framework for lower-income areas.

Os métodos geralmente empregados no mercado para o cálculo de medidas de risco baseiam-se na distribuição adotada para os retornos financeiros. Quando a distribuição Normal é adotada, estas avaliações tendem a subestimar o Value at Risk (valor em risco - VaR), pois a distribuição Normal tem caudas mais leves que as observadas nas séries financeiras. Muitas distribuições alternativas vêm sendo propostas na literatura, contudo qualquer modelo alternativo proposto deve ser avaliado com relação ao esforço computacional gasto para cálculo do valor em risco e comparado à simplicidade proporcionada pelo uso da distribuição Normal. Dessa forma, esta dissertação visa avaliar alguns modelos para cálculo do valor em risco, como a modelagem por quantis empíricos, a distribuição Normal e o modelo autorregressivo (AR), para verificação do melhor ajuste à cauda das distribuições das séries de retornos financeiros, além de avaliar o impacto do VaR para o ano seguinte. Nesse contexto, destaca-se o modelo autorregressivo com heterocedasticidade condicional (ARCH) capaz de detectar a volatilidade envolvida nas séries financeiras de retorno. Esse modelo tem-se mostrado mais eficiente, capaz de gerar informações relevantes aos investidores e ao mercado financeiro, com um esforço computacional moderado. / The most used methods for risk evaluation in the financial market usually depend strongly on the distribution assigned to the financial returns. When we assign a normal distribution, results tend to underestimate the Value at Risk (VaR), since the normal distribution usually has a lighter tail than those from the empirical distribution of financial time series. Many other distributions have been proposed in the literature, but we need to evaluate their computational effort for obtaining the value at risk when compared to the easiness of calculation of the normal distribution. In this work, we compare several models for calculating the value at risk, such as the normal, the empirical-quantile and the autoregressive (AR) models, evaluating their goodness-of-fit to the tail of the distribution of financial return time series and the impact of applying the calculated VaR to the following year. We also highlight the autoregressive conditional heteroskedasticity (ARCH) model due to its performance in detecting the volatility in the series. The ARCH model has proved to be efficient and able to generate relevant information to the investors and to the financial market with a moderate computational cost.