The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)

Dissertação (mestrado) - Fundação Getúlio Vargas, Escola Brasileira de Administração pública e de Empresas, Rio de Janeiro, 2015. / Bibliografia: p. 106-116. / As concessões e as Parcerias Público-Privadas (PPP) são mecanismos cada vez mais utilizados pelo setor público para alavancar os investimentos em infraestrutura no país. Para que haja viabilidade econômica das mesmas, as suas taxas internas de retorno (TIR) apresentam- se como variáveis que precisam refletir os riscos e a realidade do negócio. O presente estudo busca analisar as taxas de retorno utilizadas para a modelagem das tarifas - teto do setor de rodovias federais frente às especificidades do seu mercado. Para tal, são seguidas três frentes: a primeira é analisar a metodologia da taxa de retorno utilizada para a modelagem das concessões mais recentes de rodovias; a segunda é estimar uma taxa de retorno a partir de pesquisa bibliográfica; e a terceira é, por meio de dados de rentabilidade de balanços de concessionárias do setor, observar se as taxas de retorno das primeiras concessões foram devidamente calculadas na época. Na dissertação, concluímos que a atual metodologia da taxa de retorno do Tesouro Nacional pode ser aprimorada, principalmente em relação aos parâmetros de grau de alavancagem e capital de terceiros, e observamos que a taxa de retorno tem se aproximado do custo de oportunidade do setor ao longo das últimas etapas de concessão. O estudo visa contribuir para o debate sobre a rentabilidade dos projetos de infraestrutura rodoviária, em meio a um período de intensos investimentos no setor. / Concessions and Public-Private Partner ships (PPP) are mechanisms increasingly used by the public sector to enhance the investments in infrastructure in Brazil. To achieve economic viability in these projects, their internal rates of return (IRR) are variables which must reflect the risks and reality of the business. The present study seeks to analyse the IRRs used for modeling the price-caps of the federal highways' sector, under the specificities of such market. For this purpose, three approaches are pursued: the first one analyses the methodology of IRR calculation applied for modelling the most recent highway concessions; the second estimates an IRR based on bibliographic research; and the third makes use of data acquired from the balance sheets from the sector's concessionaries, to observe if the IRR for the first concessions of federal highways were propelly calculated at the time. In this dissertation, we concluded that the current National Treasury's methodology of the rate of return can be improved, especially in relation to parameters like leverage and debt, and we observed that the rate of return has come closer to the opportunity cost for the sector throughout the last concession rounds. This study aims to contribute to the debate on the profitability of road infrastructure projects, a midst a period of intense investments in the sector.

Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie (APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September 1987 en Januarie 1989 tot Junie 1997. Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige stapsgewyse regressie-ontleding is gebruik om die bewegings van die nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir die implementering van 'n tydsberekeningstrategie. Die resultate van die studie is die volgende: • Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6 die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik. • Waar die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou- strategie vir tydperk een en twee onderskeidelik. Die belangrikste gevolgtrekking van die studie is dat die APT en 'n tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet bepaal word. / The study compares the performance of a buy-and-hold strategy with that of a markettiming strategy in the framework of the arbitrage pricing theory (APT) applied to the industrial index of the Johannesburg Stock Exchange (JSE). The study period is divided into two parts, namely January 1970 to September 1987 and January 1989 to June 1997. The long-term trend of the industrial index and every APT factor is determined by finding the best nonlinear model for each time series. Linear multiple stepwise regression analysis, with the lagged time series of the long-term trend error terms of the APT factors, is used to forecast the movement of the industrial index around its long-term trend. Decision lines were developed to implement a market-timing strategy. The results of the study are as follows: • Where the lagged time series of the long-term trend error terms of the APT factors were used as possible predictors, the risk-adjusted return of a markettiming strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand- hold strategy for periods one and two respectively. • Where the lagged time series of the first-order difference of the long-term trend error term of the APT factors were used as possible predictors, the riskadjusted return of the market-timing strategy was 10,40 percent and 1,04 percent higher than that of a buy-and-hold strategy for periods one and two respectively. The main conclusion of the study is that the APT and a market-timing strategy are theoretically and practically reconcilable on the JSE. The main recommendations of the study are the following: (1) systematic risk factors, other than macroeconomic factors, should be identified in order to increase the forecasting value of these factors in the second period of the study; (2) each step of the model developed in this study should be repeated on every index of the JSE; and (3) the influence of transaction costs and dividends on the potential benefits of a market-timing strategy should be determined. / Business Management / DCom (Sakebestuur)

The impact of political and economic events on the asset pricing model described by the arbitrage pricing theory (APTM) was examined in order to establish if they had caused any changes in its specification. It was concluded that the APTM is not stationary and that it must be continuously tested before it can be used as political and economic events can change its specification. It was also found that political events had a more direct effect on the specification of the APTM, in that their effect is more immediate, than did economic events, which influenced the APTM by first influencing the economic environment in which it operated. The conventional approach that would have evaluated important political and economic events, case by case, to determine whether they affected the linear factor model (LFM), and subsequently the APTM, could not be used since no correlation was found between the pricing of a risk factor in the LFM and its subsequent pricing in the APTM. A new approach was then followed in which a correlation with a political or economic event was sought whenever a change was detected in the specification of the APTM. This was achieved by first finding the best subset LFM, chosen for producing the highest adjusted R2 , month by month, over 87 periods from 20 October1991 to 21 June 1998, using a combination of nine prespecified risk factors (five of which were proxies for economic events and one for political events). Multivariate analysis techniques were then used to establish which risk factors were priced most often during the three equal subperiods into which the 87 periods were broken up. Using the above methodology, the researcher was able to conclude that political events changed the specification of the APTM in late 1991. After the national elections in April 1994 it was found that the acceptance of South Africa into the world economic community had again changed the specification of the APTM and the two most important factors were proxies for economic events. / Business Leadership / DBL

The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)

This diploma thesis deals with assesing the value of a specific company and with theoretical aspects of such valuation. A construction company called MORAVOSTAV Brno, a. s. stavební společnost was chosen for the assessment. Based on the theoretical findings a strategic and financial analysis was conducted and the value of the company was established by valuation methods of discounted cash flow and economic value added.

This study aims at investigating household food accessibility categories (food insecure, vulnerable, marginal and food secure) of rural households in Sekhukhune district of Limpopo province. The study is based on five wards in Mamone village in the Limpopo province of South Africa. Ten households from each ward were randomly selected for the study. Structured questionnaires administered by enumerators were used to collect information from household heads. In all 50 household heads constitutes the sample size for the study. Data was collected from 20 August 2007 to 25 August 2007. Responses in the questionnaires were tabulated, coded and processed using Statistical Package for Social Sciences (SPSS) programme. Based on comprehensive food security and vulnerability analysis the study showed that over 70 per cent of the sampled households were food insecure. Lack of education, income sources, water source, and infrastructure were some of the important factors contributing to food insecurity. The government should also give special attention to policy measures that guide towards the provision of household assets. It is recommended that special attention be given to measures that will provide the necessary factors that negatively affect household food security and vulnerability. / Agriculture, Animal Health and Human Ecology / M.A. (Human Ecology)

This study aims at investigating household food accessibility categories (food insecure, vulnerable, marginal and food secure) of rural households in Sekhukhune district of Limpopo province. The study is based on five wards in Mamone village in the Limpopo province of South Africa. Ten households from each ward were randomly selected for the study. Structured questionnaires administered by enumerators were used to collect information from household heads. In all 50 household heads constitutes the sample size for the study. Data was collected from 20 August 2007 to 25 August 2007. Responses in the questionnaires were tabulated, coded and processed using Statistical Package for Social Sciences (SPSS) programme. Based on comprehensive food security and vulnerability analysis the study showed that over 70 per cent of the sampled households were food insecure. Lack of education, income sources, water source, and infrastructure were some of the important factors contributing to food insecurity. The government should also give special attention to policy measures that guide towards the provision of household assets. It is recommended that special attention be given to measures that will provide the necessary factors that negatively affect household food security and vulnerability. / Agriculture, Animal Health and Human Ecology / M.A. (Human Ecology)