Many emerging markets have started a continuous process of developing their stock markets with the goal of deepening these markets and improving the corporate governance within, in the belief that such developments will ultimately improve productivity and the rate of economic growth as well as attract foreign investments. The ability of financial market development to deliver these benefits depends mainly on their 'efficiency'. Egypt and Saudi Arabia are two leading emerging markets in the Arab region which are closely examined in this study, with a view to answer two key questions: Have the measures adopted by these two markets over the past ten years been effective in increasing their efficiency and thus are these markets actually starting to behave like the more developed markets? If this is not true, did mutual fund investors in either market achieve positive abnormal performance over this period? This study first examines the extent to which the Capital Market Authorities in these markets are achieving their goal of effectively developing the Egyptian and the Saudi capital markets. The main laws and regulations governing their performance and how effective the changes and amendments are in enhancing the efficiency of these two markets under study are also presented (chapter 2). Second, an event study is carried out to test for semi-strong informational efficiency in the two markets at the time of the 2008 global financial crisis. The chapter concludes that the two markets did not show the characteristics of semi-strong form I' efficiency (chapter 3). Thirdly, the study examines the performance of a sample of mutual funds from each market for the period starting December 31st, 2001 and ending December 31S\ 2009, utilizing Capital Asset Performance evaluation measures to see if any of the funds were able to realize abnormal returns, since the presence of abnormal returns may be a symptom of the markets' continued immaturity. The results suggest that none of the funds was able to achieve positive abnormal return. On the contrary, inferior Performance was frequently witnessed specifically in the Egyptian market (chapter 4). Market timing and security selection tests are then adopted. Henrikson Merton (1981) and Treynor Mazuy (1966) models in addition to the Fama (1972) net selectivity measures are all utilized to examine the presence of market timing and security selection abilities, if any, for the sampled mutual funds in the two markets under study. Mixed results are reported but concluded that on average Egyptian mutual funds do not possess market timing skills but showed very weak evidence of security selection skills unlike the Saudi market funds which showed weak market timing and security selection abilities (chapter 5). Finally, tests of performance evaluation based on downside CAPM are then presented resulting in different rankings for mutual funds and concluding with a recommendation in favour of the use of downside beta and down side performance evaluation measures instead of the traditional CAPM performance evaluation measures (chapter 6). The study concludes that despite the fact that the two markets are informationally inefficient and there is a possibility of realising abnormal returns, mutual funds sampled in the two markets were unable to grasp this opportunity or to pass some of the benefits in the form of positive performance to their investors. The results show that this poor performance is not only caused by weaknesses in the Capital Asset Pricing model as a framework for evaluating mutual funds' performance in emerging markets but there are several factors combined together causing this unsatisfactory performance. There is a problem in the level of the investor's appropriate knowledge and investment background. There are problems on the part of the capital market authorities of the two markets, the level of corporate governance, the enforcement of laws and regulations, the level of foreigners' participation, and other structural rigidities that exist therein. An these need rapid and effective improvement. This is in addition to the effect of the bank-based system in trading that actually hinders the development of the two markets. The main implications of this study are that the underperformance reported for mutual funds is not only due to the unsuitability of the CAPM model and its performance evaluation measures but also a direct result of true unsatisfactory performance on the part of fund managers and a highly volatile stock market. investors do not seem to realise that they do not have the appropriate investment background. Some mutual funds {especially in Egypt} with persistent underperformance should be liquidated as their investors would be better off investing in treasury bills. More importantly, all the reforms, amendments to laws . and regulations as well as other efforts made by the capital market authorities in the two markets under study are still ineffective in enhancing the markets' efficiency and thus, there is still a long way for these two markets to go to increase efficiency, productivity and economic growth. The study concludes with the following recommendations: • Institutional strengthening is essential for both markets to reduce bubbles, increase stability and increase the depth of the market. • Larger scale foreign investment is needed and this requires the removal of any existing restrictions. • An increase in the number of listed companies and more independence from the central bank (especially for the Saudi market) are needed, as well as an improvement in the channels for disseminating information in both markets to provide for fair, timely and cost effective access. • More investment alternatives for investors such as derivatives and options are required. • More enforcement of laws and regulations especially with respect to information transparency and disclosure requirements would improve performance. There remains a need for future research to examine fund performance using other models as the arbitrage pricing theory, other indices such as medium and small cap indices, and an examination of the performance of the newer and relatively more popular Islamic funds as opposed to the conventional funds.

Three essays on the long-run performance of firms issuing seasoned equity offering. Does liquidity risk explain the underperformance following seasoned equity offerings? In the first essay, I examine whether firms that issue seasoned equity experience stock liquidity gains after the offering and explore the role of liquidity risk in explaining their long-run performance. Long-run returns following seasoned equity offerings: market timing or discount rate effect? In the second essay, I build on conditional latent information models to test the market timing explanation for the long-run performance following seasoned equity offerings (SEOs). Propensity score matching and long-run performance following seasoned equity offerings Li and Zhao (2006) and Cheng (2003) report that propensity score matching eliminates the abnormal performance of firms issuing seasoned equity.

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This study looks at some factors influencing mutual fund performance. Fund management location, family status and asset allocation and timing ability are examined. Using monthly returns on 4545 funds from Morningstar from January 1970 to June 2010, the study examines whether location influences the return a fund generates. It is found that U.S. managed funds outperform European managed funds, regardless of market invested in. This can be seen in terms of higher mean alpha, and statistically significant outperformance. A comparison is also carried out between the performance of family funds and non-family funds. Using the recursive portfolio technique and Rhodes utility based measure of persistence, the persistence of funds that are in a family are compared to those that do not belong to a family. A second hypothesis is also examined here, analyzing whether fund managers make their risk decision to influence performance for the second part of the year based on their performance in the first part of the year. It can be concluded that family status, family size or market does not affect persistence in performance. The study found that family rank has an impact on the risk adjustment behaviour of fund managers. The fact that the coefficient is negative suggests that managers are not behaving strategically. When markets are examined individually, fund managers within families compete in the U.S. and behave strategically in Europe. Finally, using asset allocation data on balanced funds, the study examines the skill of balanced fund managers to time particular asset classes. It is found that there is little timing ability present, across all markets and models.

Following privatisations in the 1980's, the UK financial industry embarked on a series of demutualisations, which developed into a global trend in the late 1990's. This structural shift has generated numerous debates in academic circles concerning various managerial issues of mutual versus stock owned companies. Informed by agency theory, this thesis contributes to this debate by exploring the link between ultimate organisational form and the behaviour of companies in the UK unit trust industry. The UK unit trust fund industry provides an excellent environment to explore this line of research because ultimate organisational form varies, and because the intra-industry variations are far smaller than those of other industries in term of regulations, income structure, and the use of information technology. For the purpose of analysis, the thesis compares unit trust management companies belonging to mutual and stock owned groups along three dimensions: (i) risk-taking and (ii) efficiency at the corporate level, and (iii) quality of their products, e. g. risk and fee adjusted performance of unit trusts that the companies offer. To this end, a number of quantitative analyses are undertaken, including Tobit regression and Data Envelopment Analysis (DEA), using data from a sample of 130 unit trust management companies for the financial year 1999-2000. The results support the agency theory hypothesis, revealing that at the corporate level, stock owned companies show higher managerial efficiency than the mutual counterparts whilst undertaking higher risk activities than the comparable mutual companies. Nonetheless, at the product level, no difference is found by ultimate ownership type with regard to risk-fee-adjusted performance of unit trusts. The latter indicates that competitive product markets remove the performance distinctions between mutuals and proprietary companies. Overall, these findings suggest that mutual organisations exhibit weaker cost control in conducting unit trust business via their affiliated companies.

Using a comprehensive data set on (surviving and non-surviving) UK equity mutual funds (April 1975 - December 2002), this study uses a bootstrap methodology to distinguish between `skill' and `luck' in fund performance. This methodology allows for non-normality in the idiosyncratic risks of the funds -a major issue when considering the `best' and `worst' funds and these are the funds which investors are most interested in. The study points to the existence of genuine stock picking ability among a relatively small number of top performing UK equity mutual funds (i. e. performance which is not solely due to good luck). At the negative end of the performance scale, the analysis strongly rejects the hypothesis that most poor performing funds are merely unlucky. Most of these funds demonstrate `bad skill'. The study also examines the economic and statistical significance of persistence. Sorting funds into deciles based on past raw returns or on past 4-factor alphas, strong evidence is found that past loser funds continue to perform badly in terms of their future 4-factor alphas while little evidence is found that past winner funds provide future positive risk adjusted performance. However, on investigating relatively small `fund-of-fund' portfolios of past winners, evidence of positive persistence is found. Using a cross-section bootstrap approach the study derives the empirical distribution of final wealth at a 10 year horizon and finds that if transactions costs are above 2.5% per fund round trip, a passive strategy seems at least as good as the active strategies examined while with transactions costs of 5% the passive strategy is most probably superior. The study also examines the market timing performance of the funds. Using a nonparametric test procedure the study evaluates both unconditional market timing and timing conditional on publicly available information. A relatively small number of funds (around 1%) are found to successfully time the market while market mistiming is relatively prevalent.

A closed-end fund, known as an investment trust in the UK and closed-end fund in the US, is a collective investment company that invests in shares of other companies. This study attempts to describe and explain the persistence of the excess discount return on UK investment trusts and US closed-end funds. The ability to identify which factors best capture return variation is central to applications of multifactor pricing models. So the main purpose of this thesis is the application of a multifactor risk model that will explain the-existence of the excess discount return. Hence, the title of the thesis: "A Multifactor Model of Investment Trust Discounts. A Comparative Study of UK Investment Trusts and US Closed-End Funds" First, the time-series properties of the closed-end funds' net asset values (NAVs) and discounts are investigated. In terms of normality, we find that the UK and US excess NAV returns and discounts are approximately normally distributed. In addition, through Augmented Dickey-Fuller tests, we find that the UK and US discounts are non-stationary, but the excess discount returns and the excess NAV returns are stationary. In terms of multicollinearity, we find that the independent variables included in our models are not closely correlated, so we do not have problems in using them in the regression models in Chapters 7 and 8. Finally, there are no significant differences in the discount during the month of January and other months. In Chapter 7, we study the importance of management performance in terms of excess NAV returns and discount persistence. We use three approaches: Fama and French's (1993) three-factor model, an extended Fama and French model which incorporates a market timing variable, and a performance persistence model used by Carhart (1997) and Dimson and Minio-Kozerski (2001). On average, the six-factor model developed in the thesis can explain 67% of the variation in the excess discount return in the UK market by taking into consideration the market effect, size, the book-to-market effect, momentum, sentiment and expenses. In contrast, Fama and French's (1993) three-factor and Carhart's (1997) four-factor models explain only 42% of the variation of the excess discount return. Similarly, the six-factor model can explain 66% of the variation in the excess discount return in the US market by taking into consideration the same six independent variables. In contrast, Fama and French's (1993) three-factor model explains 59% of the excess discount return variation and Carhart's (1997) four-factor model explains 65% of the variation.