by Mak Ho Sing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 54-58). / Abstract / Chapter Chapter 1: --- Introduction / Chapter Chapter 2: --- Simple Value Vs Glamour Strategy / Chapter Chapter 3: --- Are Contrarian Investment Strategies Fundamentally Riskier ？ / Chapter Chapter 4: --- The Performance of the Mutual Fund Industry in Hong Kong / Chapter Chapter 5: --- Summary and Interpretation of the Findings References / References / Appendix: Tables and Diagrams

by Sun Wai-Lee. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves [74-76]). / APPROVAL --- p.II / ACKNOWLEDGMENTS --- p.III / ABSTRACT --- p.IV / TABLE OF CONTENT --- p.VI / LIST OF FIGURES --- p.IX / LIST OF TABLES --- p.X / Chapter CHAPTER I --- Introduction --- p.1 / Background --- p.1 / Organization of the paper --- p.2 / Relevance of the study to Hong Kong --- p.3 / Scope --- p.4 / Chapter CHAPTER II --- Red Chips and H Shares --- p.5 / Chapter Section 2.1: --- The characteristics of Red Chips and H Shares --- p.5 / Background --- p.5 / Sector Distribution --- p.9 / Price Earning (P/E) Ratio --- p.11 / Different Aspects of Red Chips and H Shares --- p.13 / Chapter Section 2.2: --- Red Chips --- p.15 / Background --- p.15 / The Hang Seng China-Affiliated Corporations Index (HSCCI) --- p.15 / Market Capitalization --- p.17 / Listing Methods --- p.19 / Main Features of Red Chips --- p.22 / Chapter Section 2.3: --- H Shares --- p.25 / Background --- p.25 / The Hang Seng China Enterprises Index (HSCEI) --- p.25 / Market Capitalization --- p.26 / Listing Aspects --- p.28 / Main Features of H Shares --- p.30 / Chapter CHAPTER III --- Risk and Return Characteristics --- p.31 / Chapter Section 3.1: --- Literature Review --- p.31 / Measurement of Risk --- p.31 / Chapter Section 3.2 --- Methodology --- p.37 / All Ordinaries Index --- p.38 / Data Collection and Empirical Work --- p.40 / Constraints --- p.40 / Chapter CHAPTER IV --- The Results --- p.41 / Chapter Section 4.1 --- Index Performance --- p.41 / Chapter Section 4.2 --- Findings on systematic risks --- p.43 / Comparison between Red Chips and H Shares --- p.43 / Individual Red Chips --- p.47 / Individual H Shares --- p.48 / Sectoral portfolios of Red Chips --- p.50 / Sectoral portfolios of H Shares --- p.53 / Chapter "Section 4,3 " --- Risk and Return Relationship --- p.54 / Chapter CHAPTER V --- Conclusions --- p.59 / RECOMMENDATIONS FOR FURTHER RESEARCH --- p.61 / APPENDICES / BIBLIOGRAPHY

Made available in DSpace on 2016-04-26T14:54:58Z (GMT). No. of bitstreams: 1 Suzane Caroline Gil Frutuoso.pdf: 692281 bytes, checksum: a7b5b9b2a03fdaf92a8ae44c5c092b14 (MD5) Previous issue date: 2014-09-12 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The 2008 global financial crisis has shaken rich countries financial health, once immune to topics like unemployment, underpayment and welfare state precariousness. Because of their strength and stability, these nations also attracted immigrants for years, including Brazilians. Mainly, as of the decade of 1980, they thought that the only way of being successful in times of hyperinflation and unfavorable social and economic perspectives was by leaving Brazil. Such logic changed with the global financial crisis that hit European countries, The United States and Japan in the late 2000s as Brazil was going through, for the very first time in years, employment rate, better incomes and purchasing power on the increase. A great deal of people decided to come back. According to Foreign and Commonwealth Office of Brazil data, around four hundred thousand Brazilians arrived in their home country between 2008 and 2012. It is a significant and previously unseen number. Never have so many emigrants returned at the same time. But the ones who came back with some qualification, such as college and post-graduation degrees, experiencing solid career or building it abroad, despite local opportunities, had to face inevitable culture shock along with the feeling of no longer totally fitting in the place where they came from. The purpose of this paper is to discuss and analyze the return of Brazilian citizens after years of living abroad and the impact of moving back to São Paulo City, with its advantages and disadvantages from social, economic, urban and emotional points of view. Traveling from place to place is considered to be multicausal, which in its turn, leads to reflections about identities in reconstruction. On the other hand, the balance between expectations and achievements end up revealing urban questions of a global city, with its contradictions. The interviewees are college graduates and have left the countries where they had been living for years or intended to stay longer due to the effects of the global financial crisis. They do not belong to the group of immigrants who had to be manual laborers (except for one of the interviewees who did it in order to complement her income to pay tourism travels). They sounded optimistic about their returning. Most of them, however, feel disappointed when it comes to situations that seem to never improve such as security, transportation, education, corruption. The interviewees were also dissatisfied with the quick decline of the so-called constant growth. Soon after their return, around 2012, they realized that economy had slowed down, the cost of living in São Paulo had become too high by comparison with other metropolis in the world, and the salaries were not that good anymore. Many of them consider to immigrate again. This is a qualitative research. Its data was collected through semi-structured interviews, which were all recorded. Institutional and governmental data complement our paper, which portrays a new face of traveling from place to place, migrations and human mobility in the twenty-first century, in the midst of a globalized scenario with an urban means (São Paulo City) that directly affects the identity in society as well as the way people behave or deal towards one another / A crise econômica internacional de 2008 abalou a saúde financeira de países ricos que antes pareciam imunes a questões como desemprego, baixas remunerações e precariedade. Bem como no Estado de bem-estar social. Por sua pujança e estabilidade, essas nações também atraíram durante anos imigrantes, inclusive brasileiros. Principalmente a partir da década de 1980, eles viram na saída do Brasil a única chance de ascensão numa época de hiperinflação e perspectivas socioeconômicas desfavoráveis. Tal lógica se inverteu com a crise que atingiu no final dos anos 2000 países europeus, os Estados Unidos e o Japão, enquanto o Brasil experimentava, pela primeira vez em muito tempo, taxas de pleno emprego, melhora na renda e crescimento da capacidade de consumo. Um contingente grande de pessoas resolveu voltar. Segundo dados do Ministério das Relações Exteriores, cerca de 400 mil brasileiros desembarcaram na terra de origem entre 2008 e 2012. O número é expressivo e inédito. Nunca tantos emigrados regressaram em um mesmo período. Mas para os retornados qualificados, graduados, pós-graduados, com carreira construída ou em construção lá fora, apesar das oportunidades aqui, o choque cultural foi inevitável, assim como a sensação de não mais pertencer totalmente ao local de onde partiram. O objetivo do trabalho é discutir e analisar o retorno de brasileiros depois de anos no exterior e o impacto de voltar a viver na cidade de São Paulo, com suas vantagens e desvantagens do ponto de vista social, econômico, urbano e emocional. Os deslocamentos são vistos como multicausais e provocam, por sua vez, reflexões sobre identidade em reconstrução. Por outro lado, o balanço entre expectativas e conquistas acaba por revelar as questões urbanas de uma cidade global, com suas contradições. Os entrevistados têm nível superior e deixaram os países em que viviam há anos ou pensavam passar mais tempo devido aos reflexos da crise internacional. Não são parte do contingente de imigrantes que se submeteram a qualquer trabalho braçal (apenas uma entrevistada realizou esse tipo de função para obter renda complementar enquanto estudava e, assim, poder fazer turismo). Estavam esperançosos quanto ao retorno. A maior parte, porém, demonstrou decepção com situações que parecem nunca mudar, como segurança, transporte, educação, corrupção. Pesou também na insatisfação dos entrevistados o declínio rápido do que era anunciado como um crescimento constante. Pouco depois do retorno, por volta de 2012, perceberam que a economia desacelerou, o custo de vida em São Paulo se tornou elevado demais na comparação com outras metrópoles do mundo e os salários já não eram tão vantajosos. Muitos deles consideram imigrar novamente. A pesquisa é qualitativa. Os dados foram coletados por meio de entrevistas semi-estruturadas, todas gravadas. Dados institucionais e governamentais complementam nosso trabalho, retrato de uma nova face dos deslocamentos, das migrações e da mobilidade humana no século XXI num cenário globalizado e com um ambiente urbano (cidade de São Paulo) que afeta diretamente a identidade na sociedade e a maneira de se relacionar

Wang, Xiaolei. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 34-39). / Abstracts in English and Chinese. / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Identification of Stock Market Crashes --- p.5 / Chapter 2.1 --- Identification Criteria --- p.7 / Chapter 2.2 --- Identification Results --- p.8 / Chapter Chapter 3. --- Data --- p.10 / Chapter 3.1 --- Data Issue for Chapter 4 --- p.10 / Chapter 3.2 --- Data Issue for Chapter 5 --- p.12 / Chapter 3.3 --- Data Issue for Chapter 6 --- p.12 / Chapter Chapter 4. --- Examination of AFE --- p.13 / Chapter 4.1 --- Definition of AFE and MAAFE --- p.13 / Chapter 4.2 --- Examination of MAAFE --- p.14 / Chapter 4.3 --- Examination of AFE by Grouping Duration --- p.15 / Chapter Chapter 5. --- Examination of AFD --- p.18 / Chapter Chapter 6. --- Examination of the Relationship between AFD and ESR --- p.22 / Chapter 6.1 --- Portfolio Strategy - Sorting by Size and Dispersion --- p.23 / Chapter 6.2 --- Portfolio Strategy - Sorting by Size and Book to Market Ratio --- p.26 / Chapter 6.3 --- Fama-French Time Series Regression Test (Three-Factor Model) --- p.28 / Chapter 6.4 --- Fama-French Time Series Regression Test (Three-Factor Model with Dispersion on the Right Hand Side) --- p.30 / Chapter 6.5 --- Introduction of a Nonlinear Form of AFD to the Fama-French Model --- p.31 / Chapter Chapter 7. --- Conclusions --- p.32 / References --- p.34 / Appendix Table I to Table XVI --- p.40-55 / Figure I to Figure VI --- p.56-61

<p>Bakgrund: Redovisningsinformation är en informationskälla för främst aktieägare och långivare. Investerare använder informationen för att kunna göra prognoser för framtida kassaflöden och därigenom prissätta aktier i syfte att uppnå lönsamma, långsiktiga placeringar på aktiemarknaden. Kan en investerare få hjälp av företagens redovisning för att öka värdet på sin placering?</p><p>Syfte: Att undersöka sambandet mellan räntabilitet på eget kapital och aktiers effektiva avkastning</p><p>Avgränsningar: Studien omfattar tiden 1997 till 2004 och baseras på företag tillhörande branschen Konsumentvaror, enligt tidningen Affärsvärldens branschindelning.</p><p>Genomförande: Sambandet mellan parametrarna utvärderas med hjälp av regressionsanalys. För varje år utförs regressioner för att fastställa förklaringsgrad, lutningskoefficient samt regressionens signifikans. Eftersom undersökningsperioden sammanfaller med den kraftiga börsnedgången på aktiemarknaden studeras dess påverkan på prognostillförlitligheten. Detta undersöks genom att dela in undersökningsperioden i tre tidsperioder, före under och efter nedgången.</p><p>Slutsats: Det som kan sägas är att räntabilitetsprognoserna, under vår undersökningsperiod, inte var ett bra mått att se till för att förutsäga aktiers verkliga avkastning. Orsakerna till den negativa kopplingen mellan aktiemarknaden och redovisningen kan endast spekuleras i och kan bero på psykologiska fenomen, investerarnas försummelse av räntabilitetsprognoserna eller att prognoserna redan vid publiceringstillfället var diskonterade i aktiekurserna.</p> / <p>Background: Accounting is a source of information mainly aimed for shareholders and lenders. Investors use the information to create forecasts for future cash flows and in that way to price shares in purpose to achieve profitable, long-term investments on the stock market. Is it possible for an investor to get help from the accounting to increase the value of their investment?</p><p>Purpose: To examine the relation between return on owners’ equity and stock return.</p><p>Limitation: The examined period is between 1997 and 2004 and comprises the companies that according to the magazine Affärsvärlden belong to the branch Consumer goods.</p><p>Realization: The relation between parameters is evaluated by regression analysis. The regressions are performed for each examined year to get explanatory power, regression coefficient and significance. Because the examined period coincident with the stock market decline, we have studied this influence on the forecasts reliability. We have examined this by splitting the examine period into three parts: before, during and after the stock market decline.</p><p>Results: The forecasts of return on equity were not a good measure to predict the stock return. The causes to the negative connection between the stock market and accounting can just be speculated. It can depend on the psychological phenomenon, the ignorance of the forecasts by the investors or because that forecasts at the moment they are published already were included in the stock prices.</p>

<p><strong>Syfte:</strong> Det är idag få större investeringar som företag gör utan att göra någon form av investeringskalkylering. Därför är det ett problem att det idag inte finns något enkelt sätt att kalkylera på en investering i kompetensutveckling inom IT-området. Studien undersöker därför:</p><ul><li>Om det på ett trovärdigt sätt är möjligt att mäta ROI (Return on Investment) på en sådan investering?</li><li>Hur en sådan mätning genomförs?</li><li>Är det i så fall möjligt standardisera sättet att mäta?</li></ul><p>Förutom ROI beräknas återbetalningstiden (Pay-Back) för respektive grupp: IT-användare, IT-tekniker samt systemutvecklare.</p><p><strong>Metod:</strong> Studien har genomförts som en kvantitativ studie (webbenkätundersökning). ROI har beräknats och övriga svar verbalt diskuterats. Data har även presenterats i diagramform.</p><p><strong>Resultat & slutsats:</strong> ROI är möjligt att beräkna för denna typ av investeringar och för tidsperioden ett år beräknats ROI baserat på medelvärdet till 87 % för IT-användare, 67 % för systemutvecklare och 41 % för IT-tekniker. Detta motsvarar en genomsnittlig återbetalningstid på 0,53 år för IT-användare, 0,60 år för systemutvecklare och 0,71 år för IT-tekniker. Spridningen i ROI och återbetalningstid för olika grupperna beror på skillnader i enkätsvar samt skillnad i investeringsstorlek. Om ROI beräknas på medianen istället för medelvärdet blir ROI lägre. Det finns osäkerhetsfaktorer som inte går att ta hänsyn till i denna typ av generella beräkningar.</p><p><strong>Förslag till fortsatt forskning:</strong> Upprepning av studien samt en jämförande studie där datainsamling sker på annat sätt skulle vara intressant. Denna studie har endast samlat in data på ett sätt.</p><p><strong>Uppsatsens bidrag:</strong> Uppsatsen bör vara intressant för organisationer som arbetar med kompetensutveckling samt enskilda individer.</p> / <p><strong>Aim:</strong> There are currently few investments that firms do without making any investment calculation. Det därför är ett problem att det idag inte finns något enkelt sätt att kalkylera på en investering i <em>kompetensutveckling inom IT-området</em> . It’s therefore a problem that there is no simple way to calculate on an investment in <em>skills development in the IT field.</em> Studien undersöker därför: The study is examining if:</p><ul><li>There is a credible way to measure ROI (Return on Investment) on such an investment?</li><li>How is it done? </li><li>Is it possible to standardize the way to measure?</li></ul><p>In addition to ROI estimated Pay-Back are calculated for each group: IT-users, IT-professionals and system developers.</p><p><strong>Method:</strong> The study was conducted as a quantitative study (web survey). ROI was calculated, and other verbal responses discussed. Data are also presented in graph form.</p><p><strong>Result & Conclusions: </strong>ROI is possible to calculate for this type of investment and for the time period of one year ROI is calculated to 87% of IT users, 67% for system designers and 41% of IT professionals. The Pay-Back time is calculated to 0,53 years for IT users, 0,60 years for system designers and 0,71 years for IT professionals. The difference of ROI and Pay-Back for different groups is due to differences in survey responses and the difference in investment size. If ROI is calculated on the median instead of average ROI is lower. There are uncertainties that can not be taken into account in this type of general computing.</p><p><strong>Suggestions for future research: </strong>Repetition of the study together with a comparative study with data collection by other means. Denna studie har endast samlat in data på ett sätt.</p><p><strong>Contribution of the thesis: </strong>The essay should be interesting for organizations working on skills development.</p>

This volume is a collection of three essays relating to the pricing of securities in financial markets, such as stock markets, where a large number of individual securities are traded. Lead-Lag Effects in a Competitive REE MarketThis essay introduces a model of cross-security information aggregation. The model is essentially an extension of Chan (Journal of Finance, 1993) to the case of simultaneous auction markets where revealed information is correlated across securities.The model provides clear predictions of lead-lag effects between securities returns. Several of the model's predictions are confirmed empirically using data from the Paris Bourse. Other models of price formation, including the basic Chan model and nonsynchronous trading, are rejected as they cannot account for observed return patterns. Learning the True Index LevelThis essay extends the model of cross-security information aggregation by deriving implications for autocorrelation in index returns. Both time series and cross-sectional predictions are confirmed by empirical evidence from the Paris Bourse. In addition, the time series predictions are consistent with earlier, partly unexplained, empirical evidence from the US market. An Empirical Study of Index Return AutocorrelationThis essay studies return autocorrelation on the Stockholm Stock Exchange focusing on the relation between index returns and indvidual stock returns. It is demonstrated that the two return types have similar time series properties, and it is concluded that the causes of autocorrelation are the same in both cases. / <p>Diss. Stockholm : Handelshögskolan, 1997</p>

Recent accounting scandals, often led by managers trying to improve results and thereby their own bonuses, have severely damaged the publics view of management. In the aftermath of scandals such as Enron, Parmalat and Skandia, demand has increased for Corporate Governance codes and similar regulation. The Swedish code for Corporate Governance came into effect on July 1, 2005. The code requires all Swedish companies listed on the Swedish Stock Exchange (OMX A- and O-list), with a turnover exceeding 3 billion SEK, to disclose a report regarding Corporate Governance, attached to the annual report. The purpose of this paper is to examine whether the new disclosure required by the Swedish Corporate Governance code will have a measurable effect on stock prices. The authors have applied event study methodology examining daily returns around the announcement of the Corporate Governance reports. The listed companies mentioned above were also divided into groups depending on whether or not the report hade been audited, and to which extent the authors found the reports to be transparent. Also, two groups were formed with companies applying SOX, and companies not required to apply the code. The results show that a measurable negative effect could be identified on the 1% significancelevel on the day of the event for the whole sample of companies. Companies publishing audited reports found positive Abnormal Returns, but without significance. Negative abnormal returns were found on the 1% significance-level for companies not presenting audited reports. No significant results were found for the groups classified after the degree of transparency. The findings suggest that the market is not fully mature enough to evaluate unaudited reports. The market rewards companies that audit the reports. The conclusion of this paper is therefore that reports regarding Corporate Governance do have a negative effect on stock prices.

Bakgrund: De flesta svenskarna sparar i form av värdepapper för att investera sina pengar och få en avkastning. Vilket placeringsalternativ ska de välja mellan investering i traditionella eller speciella fonder? De traditionella fonderna har en relativ avkastning och en stor risk, medan de speciella eller hedgefonderna har en lägre risk och en absolut positiv avkastning oavsett marknadsläge.I denna studie kommer att undersökas om hedgefonders avkastningsmönster är trovärdig, och om deras målsättning har uppnåtts under åtta års period. Syfte: Syftet med denna studie är att undersöka om det finns ett samband mellan olika svenska hedgefonders investeringsstrategier och avkastningsmönster samt undersöka hur dessa hedgefonder skiljer sig från de traditionella fonderna och marknadsindexet. Delsyftet är att studera två olika perioder och urskilja hur fonderna presterar under hög respektive låg konjunktur läge. Metod: Studien är baserad på forskningsstrategin kvantitativa metoden. Sekundär data i form av historiska avkastningssiffror för åttaårsperiod är avhämtad. Olika nyckeltal är valda för uträckningen och analysen. Korrelation, regression och hypotesprövning är de utvalda statistiska metoder som ska leda författaren att analysera och dra slutsats. Slutsats: De hedgefonderna har under de olika perioderna genererat en genomsnittlig positiv avkastning trots de låga värden. De har lägre totalrisk samt marknadsrisk än de traditionella, och en låg korrelation mellan varandra. Vidare har studien visat att räntearbitrage och marknadsneutrala strategier har presterat bäst under låg konjunktur.Sammanfattningsvis hedgefonders avkastningsmönster skiljer sig mellan de olika strategierna och inom varje strategi. Trots på den låga positiva avkastningen anses hedgefonder ett bättre placeringsalternativ än traditionella fonder i tider där marknaden går ner.Avkastningsmönster är en fördom på kortsikt men anses vara en verklighet långsiktigt. / Background: The majority of the Swedish population saves in the form of securities to invest and receive a return. Which investment option should they choose? Should they invest in mutual or special funds? The mutual funds have a relative return and come with a high risk, while the special funds, also known as hedge funds, have an absolute positive return regardless of the market situation and this fund type accounts for a lower risk. This study will investigate whether the return pattern in the hedge funds are valid or not, and if their objective was achieved during this 8 year period. Purpose: The purpose of this study is to investigate if there is a relationship between Swedish hedge funds' investment strategies and their return pattern as well as examining how these hedge funds differ from the mutual funds and the market index. The sub focus is studying two different periods and discerns how the funds perform under high and low economic situation. Methodology: The study is based on results obtained from the research strategy, of a quantitative character. Secondary data in the form of historical returns for the eight-year period is utilized. Different ratios are utilized for calculations and analysis. Correlation, regression, and hypothesis testing are the chosen statistical methods that will lead the author to analyze and draw conclusions. Conclusions: The hedge funds have in the different periods generated an average positive return despite the low values. They have lower total risk and market risk than mutual ones, and a low correlation between each other. Furthermore, the study has shown that rate arbitrage and market neutral strategies perform best under low economy context.In summary, hedge funds' return pattern differs between the diverse strategies and within each strategy. Despite the low positive returns hedge funds are considered a better investment option than mutual funds in times when the market is unstable.The return pattern does not apply to short term investments but it does apply to long term investments.

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