Financial crises can be devastating. They wreak economic havoc within the economies of the relevant countries. Despite being extremely unwelcome they continue to reoccur and, interestingly, their features and root causes seem to be very similar. While there are accepted frameworks that outline the sequential stages of financial crises, the range of potential actions to contain them appear to be rarely academically assessed, or even identified. Such containment actions are diverse and undertaken by a variety of institutions. Thus, the aim of the research presented in this thesis is to provide insights that emerge from an analysis and evaluation of relevant financial crisis containment actions. The analysis is undertaken applying a complex system approach to appropriate financial crisis variables-data. Complex systems theory argues that the effectiveness of actions cannot be assessed by an isolated analysis. Side-effects and interferences from other actions may, in fact, neutralise an intended effect. However, the consequences of actions can be identified by a range of analytical techniques associated with complex systems. Against that background, using models developed from extant theories of financial crises, financial markets and financial containment, such actions are inductively analysed in terms of their sustainability, strength and impact on key indicators. Then, a “mix” of appropriate containment actions is identified with their relative effectiveness. The results of this analysis suggest that there is not a single all-embracing action that alone can contain a financial crisis. However, with varying consequences and degrees of effectiveness, there appear to be several containment actions that can help. Countries facing an isolated domestic financial crisis may apply only few actions to reach three desired key goals (i.e. increased asset prices, reduced risk of bank runs and stable foreign exchange rates). An international financial crisis however, seems to call for attention on other fronts. In these cases, central banks should arrange a harmonisation of monetary policies causing no changes of the foreign exchange rate. More containment actions are also of merit and could be applied. An historical evaluation of the identified “mix” of appropriate containment actions conducted as part of the thesis, in part, supports and strengthens the results of the systemic analysis. Implications, derived from the research, point to a weighted combination of effective containment actions that can be taken by central banks, governments and regulators when attempting to contain financial crises.

This thesis consists of three empirical chapters that investigate the nature, reasons and consequences of financial analysts’ forecasts in London Stock Exchange. The first empirical chapter examines the rationality and accuracy of financial analysts’ forecasts. Results show that analyst forecasts are overall optimistic, but not as extreme as the literature suggests. However, analysts seem to converge to a more rational position the closer they get to the announcement date. Despite no evidence of relationship is found between forecast error and prior year change in earnings per share, analysts are believed to be systematically revising their forecasts downwards as the time approaches the earnings’ announcement date. The second empirical chapter attempts to study the factors that contribute to the forecast error and in particular earnings management. Results show that earnings management positively affects the magnitude of the forecast error, that is, when earnings are manipulated the forecast error appears to be bigger. However, this positive impact appears to be driven by accruals earnings management and not by real earnings management. Moreover, forecasts seem to be more optimistic for companies that manage their earnings downwards through accruals. These findings reveal that analysts may not be as biased as the literature claim, instead, they are probably victims of earnings management. The third empirical chapter examines whether financial analysts’ forecast is a major component of market sentiment and tests how this contribution can affect cross sectional returns. Results confirm that analysts releasing higher than average earnings per share forecasts lead to higher sentiment levels. Inconsistent with previous literature, short term stock returns are significantly positively affected by sentiment levels, but growth stocks appear to be more sensitive to shifts in sentiment than value stocks.

This study aims to build an understanding of beneficiary accountability, including defining the term, the operational mechanisms through which it is discharged, the processes that enable such practice and the consequences that result from those processes. To achieve the aim, a qualitative case study design is adopted and a rich fieldwork carried out in an Indonesian NGO to gather empirical evidences via 46 interviews, five focus groups and field observations. Framed by Nahapiet and Ghoshal (1998)’s three dimensions of social capital (cognitive, structural and relational), this study shows that social capital acts as both an antecedent factor facilitating the discharge of beneficiary accountability, and also as its consequence. The study thus makes a theoretical contribution to social capital literature while also addressing Inkpen and Tsang (2005)’s call for research to examine interaction effects among the three dimensions of social capital, particularly within NGO accountability context. Moreover, the discharge of beneficiary accountability, as understood by participants in this study, can be viewed as the non-procedural practice of positioning beneficiaries as the central focus of an NGO’s activities, whether in delivering provisions and assistance, disclosing financial information or strategically empowering beneficiaries to become self-reliant. This investigation into what constitutes beneficiary accountability serves as a critical path to shedding light on the operationalisation of beneficiary accountability. It also enables this study to respond to recent calls (e.g. by Banks, Hulme, & Edwards, 2015; Boomsma & O'Dwyer, 2014; Schmitz, Raggo, & Vijfeijken, 2012) for a more comprehensive understanding of beneficiary accountability practices. Additionally, practitioners working in NGOs may also derive benefits from this study as it provides empirical evidence for them to reflect on their commitment to beneficiaries as the very reason for their work, allowing them to be inspired by a comprehensive discussion of the mechanisms through which accountability is discharged to beneficiaries.

This empirical study tests the short-term stock abnormal returns associated with cross-border M&A announcements. Our countries of interest are the US and Japan. This thesis contains three empirical chapters. In the first two empirical chapters, we test the announcement effects of acquirers and targets according to acquirer and target industry characteristics and deal characteristics. We find that the factors that explicitly related to synergistic effects show significant explanatory power for the abnormal returns. In contrast, the explanatory power of the factors that are associated with agency motive tend to be mixed. In the third empirical chapter, we test the explanatory power of acquirer and target financial characteristics to the announcement returns. We find that some of the variation in the abnormal returns can be explained by the financial characteristics of the firms. Our test provides several contributions to the M&A literature. Firstly, we show that investors are more likely to be influenced by multiple factors in response to M&A announcements. In addition, investors can have inconsistent interpretation to the same information. Secondly, we employ F-F-C four-factor CAPM that has less misspecification problems for our test compared with the standard CAPM. Also, we use the adj. BMP t-statistic to overcome the potential upward bias associated with the BMP t-statistic. Inconsistent with previous studies, we find that cross-border M&As do not always generate positive ARs for acquirers. Finally, we find that the market shows inconsistent reaction to the M&A announcements made by the US and Japanese acquirers. However, when we control for the deal characteristics and financial characteristics of acquirers and targets, we find some common patterns of the abnormal returns.

This thesis consists of three empirical essays on the Value-at-Risk (VaR) estimates. The first empirical study (Chapter 2) evaluates the performance of bank VaRs. The second empirical study (Chapter 3) investigates the predictive power of various VaR models using bank data. The third empirical study (Chapter 4) explores VaR estimates with high-frequency data. The first study examines the performance of VaR estimates at seven international banks from 2001 to 2012. Using statistical tests, we find that bank VaRs were conservatively estimated in pre-crisis and post-crisis periods. During financial crisis, while some banks continued to overstate their VaRs, the others significantly underestimated their risk. The potential causes of the poor performance of bank VaRs are also discussed. The second study investigates the predictive power of various VaR models using bank data. We find that the GARCH-based models are superior in estimating bank VaRs in both normal and crisis periods. We conclude that good VaR estimates at banks can be obtained using simple, accessible models rather than the complicated approach or banks’ internal model. Thus, we argue that VaR should not be blamed for misleading risk estimates during financial crisis. The third study evaluates VaR estimates using 5-minute sampling data of WTI Futures. First, we acknowledge the value of high-frequency data on the measure of volatility to characterize the quantile forecast of asset returns. Second, we find that quantile combination can improve the forecast accuracy. With the VaR implication, we show that VaR combination provides more accurate and robust results than individual VaR estimates.

This thesis examines the effects of stock market openness on the cost of equity capital and investment. Whilst theoretical models and extant empirical evidence suggest that emerging markets integration with global markets promotes risk sharing between domestic and foreign investors, reducing the cost of capital and increasing investments, other strands of research take a more critical stance, counter-arguing that integration is rather an imperfect process, with cost of capital benefits restricted to subsets of firms only, and that agency costs and weak levels of institutional development partially or fully impede gains from integration to be channeled to real investments. Motivated by this setup, this thesis contributes to the financial integration literature,in particular to the debate on the pros and cons of financial openness. The first essay studies the relationship between stock market integration and the cost of equity capital, using Brazil as a case study. The paper also places particular emphasis on the role played by asset characteristics in the process of integration. Taking imperfect integration as theoretical underpinning, international asset pricing models are estimated for stocks’ portfolios sorted by characteristics of size, book-to-market ratios, illiquidity, momentum, corporate governance and investability. Results show that stock market integration, as proxied by foreign stock ownership, reduces cost of equity capital, with larger benefits reaped by large caps, highly liquid stocks and strong governance firms. Results corroborate theoretical models of imperfectintegration, suggesting that integration brings beneficial effects on firms’ funding costs. In the second essay, the attention shifts to real economic effects of integration, with an investigationof the effects of stock market openness on corporate investment. Using a large sample offirms from 45 emerging and frontier markets, empirical investment models are estimated, employingdynamic panel data techniques. The analysis utilises two measures of stock openness, bothat country-level and at firm-level. At country-level, De Jure current-account openness indices, calculated by the International Monetary Fund are employed, whereas firm-specific De Factointegration is captured by foreign institutional stock ownership. Results suggest positive effectsof stock market openness on corporate investment, with findings remaining consistent across3both country and firm-level integration measures, and robust to endogeneity concerns. Strongereffects are found in countries with lower institutional development and higher expropriationrisks, consistent with the idea that the influx of foreign investors brings about improvements inmonitoring and governance standards. Results contribute important evidence that stock marketopenness, additionally to exerting positive effect on funding costs, also stimulates real economicactivity, by increasing firm-level investment. The third and last essay escalates the analysis to the macroeconomic level. The relationship between foreign portfolio equity capital flows and domestic aggregate investment is investigated,paying attention again to the role of institutional quality in this relationship. Cross-country static and dynamic panel data models are estimated, for a sample of 44 emerging and frontier markets. Results at the macro level corroborate the findings obtained at micro level, with equity inflows associated to increases in domestic investment, measured both as gross capital formation and as the growth rate of domestic capital stock per capita. Again, effects are stronger in countries with lower institutional development, consistent with firm-level evidence. In summary, results show that integration effects spillover from micro to macro level, benefiting the whole domestic economy by expanding countries' capital stock.

Classification based on the attributes of firms’ or stocks’ performance is one of the commonly used methods in stock selection. This is known as style investing. This thesis examines three style investing techniques that classify stocks in different ways: (a) historical return based trading strategies, (b) value versus growth trading strategies, and (c) corporate solvency based trading strategies. In the context of these strategies this thesis aims to address two main research questions (a) can these trading strategies generate superior profits?, and (b) can risk, business cycles, and/or investors’ sentiment explain the profitability of these strategies? The three-factor model by Fama and French (1993) is mainly used to control for risk. The investors’ sentiment introduced by Baker and Wurgler (2006) and CLI index compiled by OECD are employed as the factors to investigate the role of investors’ sentiment and business cycles, respectively. Chapter 2 of the thesis deals with the historical return based trading strategies. Under this criteria portfolios are formed on the basis of trends in historical returns. The two commonly used trading strategies that involve analysis of historical return trends are momentum and contrarian trading. Going long (short) on winnerstocks and short (long) on loser stocks is called momentum (contrarian) trading. Momentum profit is generated if the return from the strategy of going long on winnerstocks and short on loser stocks is positive (i.e. returns from long position minus returns from short position are positive). The findings of this thesis, however, do not provide evidence of momentum profit when conventional methods of momentum trading strategies are applied. On the other hand, if the returns from the strategy of going long on loser stocks and short on winner stocks (i.e. contrarian) are positive, then contrarian profit exists. The finding of this thesis provides evidence of contrarian profit in the short-horizon and long-horizon when conventional contrarian trading strategies are applied. When the three-factor model is applied to control for risk, the intercept is statistically significant. This suggests contrarian profits are not explained by risk. Similar results are found after incorporating the investors’ sentiment factor into the model. This suggests contrarian profit exists even when controlling for both risk and investors’ sentiment – contrarian profit cannot be explained by risk and investors’ sentiment. This thesis also employs the residual trading strategies, which form portfolios on the basis of residual returns. The residual contrarian profit, however, cannot be observed when portfolios are formed on the basis of residual returns. In Chapter 3 this thesis examines whether strategies involving going long on value stocks and short on growth stocks generate superior returns. Value investors believe that value stocks are undervalued while growth stocks are overvalued but they should be correctly priced in the future, leading to excess returns. The value versus growth trading strategies are expected to generate profits, which are called value premiums. The findings of this thesis provide evidence that value premiums are persistently observed for all holding periods. The observed value premium exists even after controlling for risk, suggesting that the value premium is not driven by risk. A positive and significant coefficient of business cycle factor is observed after the business cycle factor is incorporated into the three-factor model (i.e. after controlling for risk). This finding suggests that the value premium is positively driven by stages of the business cycle. The value premium, however, cannot be explained by investors’ sentiment. At the industry level, the value premium of some industries (i.e. Consumer Durables, Manufacturing, Business Equipment, Shops, and Health) can be explained by stages of the business cycle. The relationship between value premium and investors’ sentiment is consistent with the aggregate level, i.e.investors’ sentiment is unable to explain the value premium of any of the industries. Finally, in Chapter 4 this thesis investigates if strategy that takes a long position on high solvency stocks and a short position on low solvency stocks can generate abnormal returns. Solvency is the ability of firms to cover their financial obligations. The high solvency firms are those firms with sufficient cash flows (orbalance) to cover their debt obligations while low solvency firms refer to firms that are unlikely to meet their debt obligations. The profitability of this strategy is called the solvency premium. The findings of this thesis show evidence of the solvency premium in the short-horizon but it reverts to solvency discount in the long-horizon. When the three-factor model is applied to control for risk, the solvency premium disappears. This suggests the solvency premium can be explained by risk. Further analysis, however, shows that after controlling for risk, the solvency premium exists in economic contraction and disappears during economic expansion. The solvency discount, inversely, is observed only during economic expansion. When the investors’ sentiment factor is incorporated into the three-factor model, the positive and significant coefficient of investors’ sentiment is observed. This suggests that investors’ sentiment is also relevant in explaining solvency premium, i.e. high investors’ sentiment leads to higher solvency premium. This thesis shows that three styles of investing techniques can generate superior returns (i.e. conventional contrarian trading strategy, value versus growthtrading strategies, and corporate solvency based trading strategy). However, momentum trading fails to generate any significant return. The findings benefit both individual and institutional investors to identify the stocks that are likely to generate superior returns and allocate their funds efficiently. These styles still exist until the market is more efficient relative to these styles and superior returns cannot be earned(Cao, 2011). These styles, then, disappear.

The purpose of this thesis is to examine the predictability of hedge fund performance by using survival risk and liquidity risk analyses. Institutional investors are interested in long-run investments in the hedge fund industry and the high liquidation rate in the hedge fund industry brings significant risk to their investors. This research not only estimates the relationship between hedge fund characteristics and failure risk, but also examines the relationship between hedge fund survival risk, liquidity risk and their relative performance. This thesis is relevant to both researchers and practitioners in exploring a tangible analysis of hedge fund performance. The sample of this study derives from the TASS database from January 1984 to July 2014. The sampling time period covers the Asian crisis in 1997, the Russian crisis in 1998, the collapse of the sub-prime mortgage crisis in the US in 2007 and the subsequent credit crunch. The original database contains 14,031 hedge funds for this period, of which 6,505 are live funds and 7,526 are liquidated funds. The first empirical chapter estimates the predictability of hedge fund performance by use of a semi-parametric procedure. The results suggest that hedge fund monthly returns are predictable with proper identification of fund failure. The identification of fund failure can extract funds that are liquidated because of poor performance. The empirical evidence suggests that fund failure risk has strong explanatory power regarding hedge fund performance The second empirical chapter estimates the predictability of hedge fund performance by using investor-induced liquidity. It suggests that hedge fund liquidity risk derived from investors is an important factor of hedge fund performance analysis. The result also confirms that investor-induced liquidity in the more recent past has more explanatory power regarding its post-performance. Moreover, incubation bias could influence the predictability of hedge fund performance significantly. The result from fund performance shows that the fire sale problem was more significant in the recent financial crisis period but not significant in a normal period. The last empirical chapter investigates the predictability of hedge fund performance by using a combined prediction model. The result indicates that a model combining survival risk and liquidity risk exhibits more detail and performs better than using a prediction model with a single dimension. The result also indicates that incubation bias influences the predictability of hedge fund performance. Moreover, more recent data influences the predictability of hedge fund performance more significantly. On the other hand, long distance past data can provide a more significant result in estimation of covariates by using the Cox proportional hazard model. It is helpful to investigate the interactions between the risk of hedge fund characteristics and their performance practically.

In recent years, the financial status of pension schemes has attracted a great deal of attention from the national press and policy makers. Despite the resulting increase in regulation, many authors maintain that the governance of UK pension schemes remains opaque. This thesis analyses the accountability relationships that are evident in the governance mechanisms of UK pension schemes and investigates how accountability is discharged therein. It finds that trustees are central to the governance of UK pension schemes and that the following stakeholders are accountable to the trustees: (i) sub-committees to the trustee board; (ii) the fund manager; and (iii) the actuary. The evidence suggests that accountability is fully discharged in these relationships. Conversely, trustees are accountable to (i) the auditor; (ii) the PR; (iii) the sponsoring employer; and (iv) the members/beneficiaries of the pension scheme. The evidence suggests that a variety of documents are used to discharge the trustees’ accountability including: (i) the annual report of the pension scheme; (ii) the annual report of the sponsoring employer; (iii) the Statement of Investment Principles; (iv) the Summary Funding Statement; (v) the Popular Report; (vi) and other pension scheme media such as pension scheme booklets, the pension scheme web-site and annual benefit statements. In doing so, the evidence suggests that, in terms of Stewart’s (1984) model, accountability for probity and legality, process, performance and policy accountability is discharged. The evidence also suggests that, with the exception of the pension scheme members/beneficiaries, the trustees are held to account in all of their accountability relationships. The main finding of this thesis is that pension scheme members/beneficiaries fail to engage in the governance processes of the pension schemes on which they rely so much; if they wish to preserve their future pension benefits, they will need to find a voice.

This study aims to examine the relationships between pressure from the institutional environment and auditor behaviour in the context of Indonesia. Auditors play an important role in the economy of a country by providing credible information for various users of audited financial statements for decision-making. However, auditors often show inappropriate behaviour when performing audit procedures, and this may affect audit quality and influence the users of financial statements. Institutional theory and literature provides an analytical framework which suggests that besides being a source of stability, the institutional environment is, at the same time, a source of pressure for auditors and affects their behaviour with implications for audit quality. Through interviewing 33 and surveying 356 auditors during February-June 2013, this study reveals several key findings. First, the institutional environment, comprising both external and internal audit firm factors, significantly affects auditor behaviour. In Indonesia, the external environment, encompassing rules and regulations, audit market and culture and society, in conjunction with internal factors (audit process and firm culture) coercively, normatively and culturally create complexity and pressure for auditors. Auditors in larger firms tend to have more pressure from both external and internal firm environments than those in smaller firms. Second, this institutional environment urges audit firms to pursue a simultaneous fulfilment of professional and commercial logics. With higher pressure from the environment, audit firms focus more on pursuing commercial goals than complying with their professional role. Although professional and commercial logics compete with one another, both are seen as necessary and complementary. Third, as a result of pressure and competing logics, auditors commit various behaviours from professional to dysfunctional to manipulative. Auditors in bigger firms commit less dysfunctional behaviour as a response to higher pressure than those in smaller audit firms. This suggests that bigger firms are likely to have more resources and capacities to deal with institutional pressure. Fourth, auditor behaviour is a complex issue, since it is affected by multiple environmental variables rather than a single factor such as time pressure, which is often documented in the literature. Furthermore, certain institutional pressures establish particular settings of auditor behaviour. Fifth, although dysfunctional behaviour as institutional work may affect audit quality, auditors commit such behaviour to seek to fulfil the duality of professional and commercial logics to achieve a level of performance and to maintain their appearance. The thesis contributes to and enriches an understanding of the social construction of auditor behaviour. Facilitated by the combined lens of institutional logics and institutional work, in conjunction with an adopted methodology, dysfunctional auditor behaviour as institutional work is affected by a complex institutional environment and two competing logics of audit firms. Auditor institutional work is ambivalent, consisting of multiple realities, from a negative tone to normalcy, from a taken-for-granted to a rationalised action-based sense making of the auditing environment, to preserve and transform their organisations.