Submitted by Victor Duarte (victorduarte2112@gmail.com) on 2012-08-24T18:58:09Z No. of bitstreams: 1 FINAL.pdf: 1517093 bytes, checksum: 68490d17e1b30127bb95a56513507c8d (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-01-16T15:59:11Z (GMT) No. of bitstreams: 1 FINAL.pdf: 1517093 bytes, checksum: 68490d17e1b30127bb95a56513507c8d (MD5) / Made available in DSpace on 2013-01-16T16:01:55Z (GMT). No. of bitstreams: 1 FINAL.pdf: 1517093 bytes, checksum: 68490d17e1b30127bb95a56513507c8d (MD5) Previous issue date: 2012-05-28 / We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial and macroeconomic indicators with the Federal Funds rate. We nd that monetary policy shocks have heterogeneous e ects on the crosssection of stock returns. These e ects are very well explained by the degree of external nance dependence, as well as by other sectoral characteristics.

Abstract This thesis investigates whether stock returns can help forecast macroeconomic activity. Future earnings and dividends and current stock prices should contain information about the future state of firms and the consumption possibilities of consumers. These activities are linked to aggregate economic development and, hence, the stock markets should improve economic forecasting. We review the theoretical points that justify the importance of stock markets in economic forecasting. Recent literature on the stochastic discount factor in asset pricing and the real business cycle models has approached this connection. We try to show that the direction between financial markets and macroeconomy could be from stock markets to real economy. We empirically test the forecasting ability of stock markets with respect to macroeconomy. The unexpected part of stock return can be revealed with economic tracking portfolios (ETP), which are constructed so that the unexpected portion of the portfolio return has the maximum correlation with revisions to expectations of the target variable. ETP's track how investors revise their expectations about relevant macroeconomic variables. The results show that specific stock portfolios track future changes in macroeconomic variables well. In the previous literature, stock returns have been connected to the business cycle. This connection is analysed by explaining stock returns with total factor productivity (TFP) as a factor. TFP is measured by corporate innovation variable, i.e. the change in a firm's gross profit margin unexplained by changes in firm's capital and labour. The TFP variable performs quite nicely in explaining stock returns and it can be related to stock market momentum. Next, the aim is to investigate the forecasting power of stock returns together with the TFP factor. Even though in our results the TFP contains no information relevant for economic forecasting, the stock returns continue to perform well.

Investors rely on secondary information sources, like cover stories, as market indicators due to time, information and resources constraints. However, studies in the US market gave mixed results about the potential use of cover stories while no publish research could be found in South Africa related to investors reaction to cover stories or whether an understanding of investment periods, company specific characteristics or bounded rational behaviour would yield superior abnormal returns from cover stories.In total, 1218 cover stories related to publicily listed companies were recorded from FinWeek and Financial Mail for the period 1985 to 2008 and categorised based on the Likert scale developed by Arnold et al. (2007). Event study methodology was used in the research.The research found evidence that investors did pay attention to very optimistic cover stories. Positive an neutral cover stories were contrarian indicators, while negative cover stories were momentum indicators of future company investment performances and the abnormal returns for an investment portfolio based on these cover story effects were optimised by short-selling cover story companies from healthcare, general retail and general mining industries and buying shares in control companies from the same industries and company sizes. The ability to earn long-term abnormal returns proofed weak form market inefficiency for the JSE. Copyright / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Taxpayers engage widely with tax practitioners for various reasons, like filing accurate tax returns and/or minimising their tax liabilities. This relationship may influence tax compliance behaviour, although it is still unclear to what extent each party contributes to this. International research shows that taxpayers prefer a conservative tax approach, while others may insist on a more aggressive approach. Research available in South Africa on this issue is limited. South African small businesses are growing enterprises and various tax reliefs apply to them. These entities, on the other hand, do not necessarily have skilled tax staff and therefore make extensive use of tax practitioners’ services. Studies on this tax practitioner/client relationship are therefore relevant in order to increase the existing knowledge of taxpayer compliance behaviour. The first objective of this study is, therefore, to determine whether small business taxpayers prefer to receive conservative or aggressive advice from their tax practitioners. A second objective is to determine whether small business taxpayers would continue to make use of the services of their tax practitioners if they disagreed with the proposed tax approach. Using questionnaires, the data was obtained from 50 small businesses in a rural town in South Africa. The results show that when asked directly which type of tax advice they preferred, the majority of small business taxpayers indicated that they would rather receive conservative advice. On the other hand, it appeared that they would prefer aggressive advice when the deductibility of an ambiguous expense was in question. The results also showed that small business taxpayers tended to agree with the tax practitioner, irrespective of the type of tax advice offered. The results also showed that they would mostly, as long as it did not relate to tax evasion, retain the services of a tax practitioner despite the type of advice they were given and whether or not they agreed with it. The conclusion drawn was that taxpayers in the small business sector prefer, to a great extent, to receive conservative tax advice from their tax practitioners and that they want to file accurate tax returns. The regulation of tax practitioners is therefore crucial, as taxpayers rely heavily on their information when it comes to tax compliance. Copyright / Dissertation (MCom)--University of Pretoria, 2010. / Taxation / unrestricted

Standard economic theory suggests that capital should flow from rich countries to poor countries. However, capital has predominantly flowed to rich countries. The three essays in this dissertation attempt to explain this phenomenon. The first two essays suggest theoretical explanations for why capital has not flowed to the poor countries. The third essay empirically tests the theoretical explanations. The first essay examines the effects of increasing returns to scale on international lending and borrowing with moral hazard. Introducing increasing returns in a two-country general equilibrium model yields possible multiple equilibria and helps explain the possibility of capital flows from a poor to a rich country. I find that a borrowing country may need to borrow sufficient amounts internationally to reach a minimum investment threshold in order to invest domestically. The second essay examines how a poor country may invest in sectors with low productivity because of sovereign risk, and how collateral differences across sectors may exacerbate the problem. I model sovereign borrowing with a two-sector economy: one sector with increasing returns to scale (IRS) and one sector with diminishing returns to scale (DRS). Countries with incomes below a threshold will only invest in the DRS sector, and countries with incomes above a threshold will invest mostly in the IRS sector. The results help explain the existence of a bimodal world income distribution. The third essay empirically tests the explanations for why capital has not flowed from the rich to the poor countries, with a focus on institutions and initial capital. I find that institutional variables are a very important factor, but in contrast to other studies, I show that institutions do not account for the Lucas Paradox. Evidence of increasing returns still exists, even when controlling for institutions and other variables. In addition, I find that the determinants of capital flows may depend on whether a country is rich or poor.

The purpose of this study was to examine the usefulness of electronic-based questionnaires as a tool to gather data from field supervisors in the medical profession at various military bases. The study compared the response effects of an electronic evaluation questionnaire with the traditional method of paper-based questionnaires in gathering Level 3 data. The number of returns affects the amount of information available to the course personnel in creating a viable program that ensures the success of service members entering the occupational field and, ultimately, affecting the number of service members who remain beyond their first enlistment. The return rate and amount of missing data were tracked. Supervisors of graduates of a medical program who had observed service members for a minimum of 4-months were participants in the study. The z-test for comparing two proportions was used to determine significance of the study at the .05 level. Findings indicate that there was a significant difference in return rates and the amount of missing data when using the electronic format. Based on this study, the electronic-based questionnaire as a data-gathering tool provided a higher number of returns in a quicker time frame with fewer missing data in the technical training environment. Copyright is held by the author, unless otherwise note

Recent media reports surrounding the 2010 Soccer World Cup infrastructure, and the fines imposed by the Competition Commission drew the public’s attention to the impact that regulatory fines have on the returns earned by shareholders in these convicted companies. The purpose of the research was to establish if any significant impact on shareholder returns can be identified as a result of regulatory fines. By using event study methodology, the researcher aimed to establish if an impact can be identified at the various stages of the regulatory process. Statistical tests were conducted via the implementation of Monte Carlo Simulations at the various stages of the process, to ensure that the findings were significant. The studies revealed that shareholder returns were neutrally affected at the initiation and payment stages of the process, but that the returns were positively affected at the conviction stage. A style analysis (longitudinal study) was undertaken to determine if a portfolio consisting of stocks of convicted companies would out-perform the market over certain determined timeframes. As a baseline test, a portfolio was constructed of stocks of companies which have never been fined. The results revealed that both portfolios out-performed the market (ALL160) over a 24-year period, but that the portfolio consisting of convicted companies did not out-perform the portfolio of companies which have never been fined. / Dissertation (MBA)--University of Pretoria, 2014 / zkgibs2015 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted

This study investigates the determinants of divestitures, the impact of divestitures on shortterm firm value and the determinants of divestiture returns in South Africa. The study is based on a sample of 46 non-financial firms listed on the Johannesburg Stock Exchange (JSE) between 2000 and 2014. Logit regressions found CEO Turnover, a measure of corporate focus and Return on Assets (ROA), a measure of corporate efficiency, to be the only statistically significant determinants of divestitures in South Africa. However, Sales growth, Return on Equity (ROE), Debt to Total Assets (D-t-A), Debt to Equity (D-t-E), the current ratio, and the interest coverage ratio did not possess statistical significance as determinants of divestitures in South Africa. The study also investigated the impact of divestitures on short-term shareholder wealth and found that divestitures have a statistically significant positive impact on short-term firm value in South Africa. Finally, the study also investigated the determinants of divestiture returns. Cross-sectional regressions conducted on the full sample of divesting firms found that leverage has a statistically significant effect on divestiture returns in South Africa; however, firm size and efficiency do not have a statistically significant effect on divestiture returns. In order to further understand the determinants of divestiture returns in South Africa the study also separated the portfolio of divesting firms into subsamples. The study found that larger firms report superior abnormal returns than smaller firms, firms with lower levels of efficiency report superior abnormal returns than firms with higher levels of efficiency, and highly-levered firms report superior abnormal returns than lower-levered firms in South Africa.

Inter corporate asset sales provide a viable alternative to mergers and acquisitions to create shareholder value for both the buyer and seller companies. Intercorporate asset sales are defined as the sale of autonomous operational assets which does not entail a change in ownership control of the seller.Mergers and acquisitions research found greater value was created by cash funded transactions compared to equity funded transactions. Contrary to mergers and acquisitions, asset sale research found equity funded transactions created greater value compared to cash funded transactions. This research provides a deeper understanding of the effect the method of payment has on the value created when selling assets, enabling management of acquiring and divesting companies to realise their maximum value creation potential.The population consisted of intercorporate asset sale transactions announced and concluded for the 11 year period from 1 January 2000 to 31 December 2011. The exact population was not known, therefore judgmental sampling was used to identify companies. Only companies listed on the Johannesburg Stock Exchange All Share Index were considered for qualifying asset sale transactions. In total 112 companies were reviewed for asset sales yielding 214 qualifying transactions which were divided in sub samples of 43 equity buyers, 68 cash buyers, 30 equity sellers and 73 cash sellers.Based on the event study methodology the short term metric of abnormal share price returns and the medium term metric of abnormal operating financial performance were used to calculate and compare the value created by equity and cash funded transactions. Both metrics concluded that equity funded asset sales created greater value compared to cash funded asset sales.Inferences were made between asset sales and mergers and acquisitions and the researcher concluded by proposing a model to optimise shareholder value. Based on the accounting performance of the buyer and the intrinsic value of the asset or target, the model is used to select the optimum combination of corporate activity and the method of payment to unlock the optimum shareholder value. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Merger and acquisition (M&A) transactions have been the subject of numerous studies over the years. The effect of the method of payment in M&A transactions has been studied in first world countries where information transfer is regarded as being highly efficient. The aim of this research was to study the effect of the method of payment to both acquirer and target companies post the announcement of M&A transactions within the context of emerging economies. South African JSE listed firms were used as a proxy for emerging market companies.Event study methodologies are only as sound as the statistical methodologies used to conduct the tests as well as the accuracy with which expected returns can be calculated. This being so, the aim of the research was to apply rigorous testing using various event study methodologies and making use of the literature to ensure that the findings were robust and the testing thorough. The various testing methodologies did not always provide the same findings further emphasising that the results are only as conclusive and robust as the methodologies used.Using the well substantiated event study methodology it was found that target companies do not significantly outperform acquirer firms. Although target companies showed a 12.5% increase over the longest event window being a 120 day window, whilst acquirers only reported 6.40% the difference was not found to be significant. The additional returns to target companies are likely due to the bid premium to stave off competition.Results indicate that acquirer companies using shares as the method of payment do send a negative signal to the market that their shares used as the currency of exchange in the M&A transaction is inflated. As a result acquirer companies using shares underperformed acquirer companies using cash as the method of payment.Finally target companies bought where cash was used as the method of payment outperform targets bought using shares as the method of payment. This is likely due to the capital gains tax implications in the year the M&A transaction takes place where cash is the method of payment.Although South Africa is regarded as being a less efficient market than first world economies with regards to information transfer, based on the study (which focused on large capitalisation companies with high trading volumes) South Africa does show similar results to those of first-world economies for acquirer cash against acquirer share returns as well as for target cash against target share returns, when looking at the method of payment as a market signal in M&A transactions. This research did not however find significantly higher positive returns for target companies against acquirer companies returns. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted