Die vorliegende kumulative Dissertationsschrift beschäftigt sich mit theoretischen Fragestellungen der Finanzwissenschaft im Bereich des Asset Pricing und im Detail der Unternehmensbewertung. Dabei wird sowohl auf Problemstellungen der akademischen und praxisnahen Forschung eingegangen. Der erste Artikel beschäftigt sich mit der Fragestellung welche Implikationen die Annahme einer arithmetischen Brownschen Bewegung auf bestimmte Aspekte der Unternehmensbewertung hat. Es folgen drei Artikel die sich auf unterschiedliche Weise mit der Zinsschrankenregelung auseinandersetzen. Die darauf folgenden zwei Artikel behandeln hauptsächlich die Modellierung von Insolvenz im Rahmen der Unternehmensbewertung bei Annahme verschiedener Finanzierungspolitiken. Der achte Artikel geht näher auf die Thematik der empirischen Bestätigung bestimmter Kapitalstrukturtheorien ein. Die Dissertation schließt mit einem Artikel zu wichtigen Parametern für die Unternehmensbewertung.

Modern financial asset pricing theory is a broad, and at times, complex field. The literature review in this study covers many of the asset pricing techniques including factor models, random walk models, correlation models, Bayesian methods, autoregressive models, moment-matching models, stochastic jumps and mean reversion models. An important topic in finance is portfolio opti-misation with respect to risk and reward such as the mean variance optimisation introduced by Markowitz (1952). This study covers optimisation techniques such as single period mean variance optimisation, optimisation with risk aversion, multi-period stochastic programs, two-fund separa- tion theory, downside optimisation techniques and multi-period optimisation such as the Bellman dynamic programming model. The question asked in this study is, in the context of investing for South African individuals in a multi-asset portfolio, whether an active investment strategy is signi cantly di erent from a passive investment strategy. The passive strategy is built using stochastic programming with moment matching methods for non-Gaussian asset class distributions. The strategy is optimised in a framework using a downside risk metric, the conditional variance at risk. The active strategy is built with forward forecasts for asset classes using the time-varying transitional-probability Markov regime switching model. The active portfolio is finalised by a dynamic optimisation using a two-stage stochastic programme with recourse, which is solved as a large linear program. A hypothesis test is used to establish whether the results of two strategies are statistically different. The performance of the strategies are also reviewed relative to multi-asset peer rankings. Lastly, we consider whether the findings reveal information on the degree of effi ciency in the market place for multi-asset investments for the South African investor. / Operations Management / M. Sc. (Operations Research)

Die vorliegende kumulative Dissertationsschrift beschäftigt sich mit theoretischen Fragestellungen der Finanzwissenschaft im Bereich des Asset Pricing und im Detail der Unternehmensbewertung. Dabei wird sowohl auf Problemstellungen der akademischen und praxisnahen Forschung eingegangen. Der erste Artikel beschäftigt sich mit der Fragestellung welche Implikationen die Annahme einer arithmetischen Brownschen Bewegung auf bestimmte Aspekte der Unternehmensbewertung hat. Es folgen drei Artikel die sich auf unterschiedliche Weise mit der Zinsschrankenregelung auseinandersetzen. Die darauf folgenden zwei Artikel behandeln hauptsächlich die Modellierung von Insolvenz im Rahmen der Unternehmensbewertung bei Annahme verschiedener Finanzierungspolitiken. Der achte Artikel geht näher auf die Thematik der empirischen Bestätigung bestimmter Kapitalstrukturtheorien ein. Die Dissertation schließt mit einem Artikel zu wichtigen Parametern für die Unternehmensbewertung.:1. Thematische Einordnung und Forschungsbeitrag … 1 2. The Arithmetic Brownian Motion in Corporate Valuation … 12 3. Die Bewertung der Zinsschranke … 52 4. Zinsschranke, Unternehmensbewertung und APV-Ansatz- eine Anmerkung zum Beitrag von Förster/Stöckl/Brenken (ZfB 2009, S. 985 ff.) … 97 5. Der Einfluss der Zinsschranke auf den Unternehmenswert … 122 6. Tax Shield, Insolvenz und Zinsschranke … 147 7. Tax Shield, Insolvenzwahrscheinlichkeit und Zinsschranke - eine empirische Analyse … 207 8. Zur Überprüfung von Kapitalstrukturtheorien in einer von Krisen geplagten Zeit … 249 9. Die Kapitalmarktdaten von www.finexpert.info und der Fachverlag Gruppe … 291

Socially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible investment objectives with financial investment objectives during the investment decision-making process. Social, ethical and responsible investment objectives are set in line with environmental, social and corporate governance (ESG) criteria which are established within the SRI strategy followed. SRI strategies include screening (negative, positive and best-of-sector), shareholder activism and cause-based investing. Although international SRI markets such as that of the United States of America and the United Kingdom are sophisticated and established markets, the South African SRI market is still relatively new and is yet to reach its full potential. Thus, as a growing market, little research regarding the long term risk-adjusted performance of SRI funds in South Africa has been conducted. The long term risk-adjusted performance of the sample of SRI funds was measured through the use of five risk-adjusted performance measures, namely the Treynor ratio, Sharpe ratio, Jensen’s alpha, Sortino ratio and Omega ratio, and through the use of three performance measurement models which included the capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model. The risk-adjusted performance of the sample of SRI funds was measured with the intent to establish if these funds out- or underperformed against three benchmark categories, namely the Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) SRI Index, a matched sample of conventional investment (non-SRI) funds and the FTSE/JSE All Share Index. The probable effect of the 2007/08 global financial crisis was also measured to analyse whether such a hazardous market event affected the performance of the SRI funds. According to the results and findings, the risk-adjusted performance of the SRI funds has improved over the research period. However, the SRI funds neither outperformed nor underperformed against the three benchmark categories over the research period. The performance measurement models’ analysis indicated that the SRI funds were less sensitive to market fluctuations, more exposed to small capitalisation portfolios, more growth-oriented, and exhibited significant momentum after the period of the 2007/08 global financial crisis. Furthermore, the analysis indicated that the SRI funds significantly underperformed against the non-SRI funds during the Performance of socially responsible investment funds in South Africa research period. Mixed results were obtained with regards to the probable effect of the 2007/08 global financial crisis on the performance of the SRI funds.

Socially responsible investing has presented itself as a growing, multifaceted, advanced and sophisticated investment philosophy. Socially responsible investment (SRI) involves incorporating social, ethical and responsible investment objectives with financial investment objectives during the investment decision-making process. Social, ethical and responsible investment objectives are set in line with environmental, social and corporate governance (ESG) criteria which are established within the SRI strategy followed. SRI strategies include screening (negative, positive and best-of-sector), shareholder activism and cause-based investing. Although international SRI markets such as that of the United States of America and the United Kingdom are sophisticated and established markets, the South African SRI market is still relatively new and is yet to reach its full potential. Thus, as a growing market, little research regarding the long term risk-adjusted performance of SRI funds in South Africa has been conducted. The long term risk-adjusted performance of the sample of SRI funds was measured through the use of five risk-adjusted performance measures, namely the Treynor ratio, Sharpe ratio, Jensen’s alpha, Sortino ratio and Omega ratio, and through the use of three performance measurement models which included the capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model. The risk-adjusted performance of the sample of SRI funds was measured with the intent to establish if these funds out- or underperformed against three benchmark categories, namely the Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) SRI Index, a matched sample of conventional investment (non-SRI) funds and the FTSE/JSE All Share Index. The probable effect of the 2007/08 global financial crisis was also measured to analyse whether such a hazardous market event affected the performance of the SRI funds. According to the results and findings, the risk-adjusted performance of the SRI funds has improved over the research period. However, the SRI funds neither outperformed nor underperformed against the three benchmark categories over the research period. The performance measurement models’ analysis indicated that the SRI funds were less sensitive to market fluctuations, more exposed to small capitalisation portfolios, more growth-oriented, and exhibited significant momentum after the period of the 2007/08 global financial crisis. Furthermore, the analysis indicated that the SRI funds significantly underperformed against the non-SRI funds during the Performance of socially responsible investment funds in South Africa research period. Mixed results were obtained with regards to the probable effect of the 2007/08 global financial crisis on the performance of the SRI funds.

本文以完全規避通膨風險債券資產為評價基礎，推導出三因子實質消費資本資產訂價模型與s+4共同基金定理。三因子分別為實質消費成長因子、消費習慣因子以及情緒性預期偏差因子。情緒性三因子實證部份，橫斷面報酬模型平均解釋力約有61.79%，此實證結果顯示傳統消費資本資產訂價模型中訂價績效表現不佳，是忽略部份重要因素所致。 s+4共同基金為完全規避通膨風險債券資產、投機性巿場投資組合、s個規避實質狀態變數不利於投資機會集合變動之巿場投資組合、規避情緒性預期偏差風險的共同基金以及維持未來整體生活消費型態的共同基金。這之中完全規避通膨風險債券資產可減少巿場共同基金數目和降低交易成本之實質效果。 / This thesis derives an inter-temporal asset pricing model in a real-term, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunity. When the inflation-indexed securities are available, a three-factor asset pricing model is derived in terms of real consumption growth, consumption-habit variation, and inflation rate change (or sentimental inflation expectation). Empirical results suggest that the derived asset pricing model in real framework can explain above a 60% of the variation in asset returns. Under the real framework, we demonstrate that s+4 fund separation applies. These funds may be chosen to be: (1) the instantaneously inflation-indexed bond, (2) the market portfolio, (3) the sentimental inflation-related asset, (4) the consumption habit-related asset, and (5) the s portfolios having the high correlations, respectively, with the s state variables.

This thesis consists of three essays that explore the dynamics of interconnected markets and examine the relationships between markets, investor behavior, and fundamental characteristics of the firm and the economy. In the first essay, we investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit in producer countries have stock returns that are strongly predictable based on the returns of their associated customer countries. This behavior is especially prevalent among firms with high levels of foreign sales. To better understand this effect we develop an asset pricing model in which firms in different countries are connected by trade credit links. The model offers further predictions about this phenomenon, including stronger predictability during periods of high credit constraints and low uninformed trading volume. We find supportive empirical evidence for these predictions. The second essay investigates the dynamics of commodity futures volatility. I derive the variance decomposition for the futures basis to show how unexpected excess returns result from new information about expected future interest rates, convenience yields, and risk premia. Using data on major commodity futures markets and global bilateral commodity trade, I analyze the extent to which commodity volatility is related to fundamental uncertainty arising from increased emerging market demand and macroeconomic uncertainty, and control for the potential impact of financial frictions introduced by changing market structure and index trading. I find that a higher concentration in the emerging market importers of a commodity is associated with higher futures volatility. Commodity futures volatility is significantly predictable using variables capturing macroeconomic uncertainty. The third essay investigates the differential explanatory power of consumer (importing countries) and producer (exporting countries) risk in explaining the volatility of commodity spot premia and term premia using trade-weighted indices of GDP volatility. Using data for major commodity futures markets, bilateral commodity trade, exchange rates, and GDP for countries trading these commodities, I test hypotheses on the heterogeneous impact of consumer and producer shocks, potentially driven by differences in hedging preferences and investment planning horizons. Producer risk is significant for both short-dated and long-dated maturities, while consumer risk has greater explanatory power for the volatility of the term spread.

Les titres financiers sont souvent modélisés par des équations différentielles stochastiques (ÉDS). Ces équations peuvent décrire le comportement de l'actif, et aussi parfois certains paramètres du modèle. Par exemple, le modèle de Heston (1993), qui s'inscrit dans la catégorie des modèles à volatilité stochastique, décrit le comportement de l'actif et de la variance de ce dernier. Le modèle de Heston est très intéressant puisqu'il admet des formules semi-analytiques pour certains produits dérivés, ainsi qu'un certain réalisme. Cependant, la plupart des algorithmes de simulation pour ce modèle font face à quelques problèmes lorsque la condition de Feller (1951) n'est pas respectée. Dans ce mémoire, nous introduisons trois nouveaux algorithmes de simulation pour le modèle de Heston. Ces nouveaux algorithmes visent à accélérer le célèbre algorithme de Broadie et Kaya (2006); pour ce faire, nous utiliserons, entre autres, des méthodes de Monte Carlo par chaînes de Markov (MCMC) et des approximations. Dans le premier algorithme, nous modifions la seconde étape de la méthode de Broadie et Kaya afin de l'accélérer. Alors, au lieu d'utiliser la méthode de Newton du second ordre et l'approche d'inversion, nous utilisons l'algorithme de Metropolis-Hastings (voir Hastings (1970)). Le second algorithme est une amélioration du premier. Au lieu d'utiliser la vraie densité de la variance intégrée, nous utilisons l'approximation de Smith (2007). Cette amélioration diminue la dimension de l'équation caractéristique et accélère l'algorithme. Notre dernier algorithme n'est pas basé sur une méthode MCMC. Cependant, nous essayons toujours d'accélérer la seconde étape de la méthode de Broadie et Kaya (2006). Afin de réussir ceci, nous utilisons une variable aléatoire gamma dont les moments sont appariés à la vraie variable aléatoire de la variance intégrée par rapport au temps. Selon Stewart et al. (2007), il est possible d'approximer une convolution de variables aléatoires gamma (qui ressemble beaucoup à la représentation donnée par Glasserman et Kim (2008) si le pas de temps est petit) par une simple variable aléatoire gamma. / Financial stocks are often modeled by stochastic differential equations (SDEs). These equations could describe the behavior of the underlying asset as well as some of the model's parameters. For example, the Heston (1993) model, which is a stochastic volatility model, describes the behavior of the stock and the variance of the latter. The Heston model is very interesting since it has semi-closed formulas for some derivatives, and it is quite realistic. However, many simulation schemes for this model have problems when the Feller (1951) condition is violated. In this thesis, we introduce new simulation schemes to simulate price paths using the Heston model. These new algorithms are based on Broadie and Kaya's (2006) method. In order to increase the speed of the exact scheme of Broadie and Kaya, we use, among other things, Markov chains Monte Carlo (MCMC) algorithms and some well-chosen approximations. In our first algorithm, we modify the second step of the Broadie and Kaya's method in order to get faster schemes. Instead of using the second-order Newton method coupled with the inversion approach, we use a Metropolis-Hastings algorithm. The second algorithm is a small improvement of our latter scheme. Instead of using the real integrated variance over time p.d.f., we use Smith's (2007) approximation. This helps us decrease the dimension of our problem (from three to two). Our last algorithm is not based on MCMC methods. However, we still try to speed up the second step of Broadie and Kaya. In order to achieve this, we use a moment-matched gamma random variable. According to Stewart et al. (2007), it is possible to approximate a complex gamma convolution (somewhat near the representation given by Glasserman and Kim (2008) when T-t is close to zero) by a gamma distribution.

This thesis focuses on the equity premium puzzle, risk-free rate puzzle and possible solutions of these two quantitative conundrums. Original formulation of both puzzles is introduced and comprehensive literature survey is presented to show the developments regarding this topic. These include risk-based explanations, non-risk based explanations and behavioral finance perspective. Main contribution of this study dwells in estimation of these two puzzles for the Czech Republic. Using consumption-based asset pricing model with time separable preferences, presence of the two puzzles is estimated employing annual Czech data from 1995 to 2011. The equity premium puzzle is not present in the Czech Republic, as the coefficient of risk aversion 5.57  . On the other hand, the risk-free rate puzzle is as severe as in developed economies. Furthermore, the individual time preference parameter  is estimated to be larger than one - a counterintuitive result suggesting consumers prefer unit of consumption tomorrow to unit of consumption today. Robustness of the results is confirmed when different proxy for a risk-free rate is used. Results do not change significantly and the risk-free rate puzzle persists. Direction for future research of the financial market puzzles in the Czech Republic is suggested.

The issue of forecasting the future price of risky financial assets has attracted academia and business practice since the inception of the stock exchange. Also due to the just finished financial crisis, which was the worst crisis since the Great Depression, it is clear that research in this area has not been finished yet. On the contrary, new challenges have been raised. The main goal of the thesis is the demonstration of the significant information potential which is hidden in option market prices. These prices contain informations on probability distribution of the underlying asset returns and the risk connected with these returns. Other objectives of the thesis are the forecast of the underlying asset price distribution using parametric and nonparametric estimates, the improvement of this forecast using the utility function of the representative investor, the description of the current market sentiment and the determination of the risk premium, especially the risk premium on Czech market. The thesis deals with the forecast of the underlying asset price probability distribution implied by the current option market prices using parametric and nonparametric estimates. The resulting distribution is described by the moment characteristics which represent a valuable tool for analyzing the current market sentiment. According to the theory, the probability distribution of the underlying asset price implied by option prices is risk neutral, i.e. it applies only to risk neutral investors. The theory further implies that the distribution of real world can be derived from the risk neutral distribution using utility function of the representative investor. The inclusion of a utility function of representative investor improves the forecast of the underlying asset price distribution. Three different utility functions of traditional risk theory are used in the thesis. These functions range from the simple power function to the general function of hyperbolic absolute risk aversion (HARA). Further, Friedman-Savage utility function is used. This function allows both a risk averse investor and a risk loving investor. The thesis also answers the question: Are the current asset prices at so high level that the purchase of the asset means a gamble? The risk premium associated with investing in the risky asset is derived in the thesis. The risk premium can be understood as the premium demanded by investors for investment in a risky asset against the investment in a riskless asset. All the theoretical methods introduced in the thesis are demonstrated on real data coming from two different markets. Developing market is represented by shares of CEZ and developed market is represented by S&P 500 futures. The thesis deals with demonstrations in single point in time as well as in available history of the data. The forecasts of the underlying asset price distribution and the relating risk premium are constructed in the available data history. The goals and the objectives of the thesis have been achieved. The contribution of the thesis is the development of parametric and nonparametric methodology for estimating the underlying asset price probability distribution implied by the option market prices so that the nature of the particular market and instrument is captured. The further contribution of the thesis is the construction of the forecasts of the underlying asset price distribution and the construction of the market sentiment in the available history of data. The contribution of the thesis is also the construction of the market risk premium in the available history and the establishment of the hypothesis that the markets gamble before the crisis.