O Sistema Financeiro de um país tem como uma de suas funções principais a de permitir a eficiência alocativa de recursos da sociedade, ou seja, viabilizar a transferência de recursos entre agentes superavitários e agentes deficitários, de maneira que os benefícios sejam adequadamente distribuídos, incentivando tanto a poupança quanto o investimento produtivo. O Mercado de Capitais, por sua vez, como um dos segmentos do sistema financeiro, atua na intermediação financeira de médio e longo prazo, disponibilizando recursos para investimentos com prazos de maturação mais longos, assumindo um relevante papel no desenvolvimento econômico. No Brasil, o mercado de capitais se especializou, historicamente, no repasse de recursos de dívida (debt). No entanto, nos últimos 4 anos, especificamente a partir de 2004, um segmento do mercado de capitais aflorou novamente: o de recursos de capital (equity). De fato, o volume de aberturas de capital via emissão pública de ações (initial public offer IPO) cresceu mais de 600% entre 2004 e 2007, saltando de um volume de R$ 9,2 bilhões naquele ano para cerca de R$ 67,3 bilhões em 2007. Para que se torne uma alternativa de financiamento permanente às empresas brasileiras, objetivo historicamente sempre perseguido pelas autoridades econômicas, é fundamental que os benefícios decorrentes do funcionamento desse mercado estejam sendo adequadamente distribuídos entre tomadores e doadores de recursos. Nessa lógica, o presente estudo possui dois objetivos específicos: (i) traçar um quadro geral do processo de abertura de capital via oferta pública de ações ocorrido no período 2004/2007 e (ii) verificar se os benefícios de tal processo estão sendo adequadamente distribuídos entre vendedores e compradores desses papéis. Para tanto, numa abordagem exploratório-descritiva, o trabalho foi estruturado em duas linhas: (i) análise comparada do atual ciclo de emissão de ações com os ciclos anteriores de abertura de capital, e (ii) análise dos retornos gerados por essas ações após sua emissão, a curto e longo prazo, analisando seus efeitos e conseqüências para vendedores e compradores, bem como para a sociedade em geral. Pela análise comparada com os ciclos anteriores, verificou-se a repetição do mesmo conjunto de características, com destaque para os indícios de especulação financeira. Na análise dos retornos dessas ações, verificou-se a ocorrência do underpricing no primeiro dia, enquanto que, no médio e longo prazo, observou-se a ocorrência de overpricing. Já quando comparadas com o retorno do Ibovespa, essas ações apresentaram retornos inferiores, enquanto o esperado seria um retorno superior, em função do risco mais elevado das novas ações. Em termos de retornos nominais, essas novas ações apresentaram retornos positivos enquanto o mercado estava em um ciclo de alta (20.05.08, pico de Ibovespa), e forte retorno negativo quando o mercado mudou para um período de queda (data-base 31.10.08). Por fim, foram apurados, mediante consulta aos prospectos de emissão, os valores patrimoniais das novas ações antes da emissão, identificando-se um conjunto de preços bem inferiores aos respectivos preços de lançamento. Tal realidade indica que as empresas e sócios que fizeram a venda desses papéis via oferta pública inicial obtiveram preços bastante elevados, que dificilmente obteriam em negociações privadas de ativos. Nessa lógica, a questão do underpricing perde consistência, cuja perda seria compensada pelo ganho com a abertura de capital. Esse conjunto de análises aponta que o atual ciclo vem trazendo ótimos retornos para os vendedores (empresas e sócios), mas retornos negativos aos compradores (investidores), com o que não estaria sendo benéfico para a sociedade como um todo. / The Financial System of a country has as one of its main features that of allowing the efficient allocation of resources of the society, that is, promote the transfer of resources between superavitary and deficitary agents, so that the benefits can be suitably distributed, fostering both savings and the productive investment. The Capital Market, on its side, as one of the segments of the financial system, acts in the financial intermediation of medium and long term, making resources available for investments with longer maturity terms, taking over a relevant role in the economic development. In Brazil, the capital markets historically specialized in the transfer of debt resources (debt). However, during the last 4 years, specifically as of 2004, a segment of the capital market has once again come up: that of capital resources (equity). Actually, the volume of the capital openings through public issue of shares (initial public offer - IPO) grew more than 600% between 2004 and 2007, jumping from a volume of R$ 9.2 billion during such year to around R$ 67.3 billion in 2007. In order to remain a permanent finance alternative for the Brazilian companies, the object which has been historically pursued by the economic authorities, it is essential that the benefits originated from the operation of such market are suitably distributed among receivers and donors of resources. Within this logic, the present study has two specific purposes: (i) trace a general picture of the capital opening process by public offer of shares occurred during the period 2004/2007 and (ii) check whether the benefits of such process are being suitably distributed among sellers and buyers of such papers. For such purpose, in a descriptiveexploratory view, the work was structured in two lines: (i) comparative analysis of the current cycle of issue of shares with the previous cycles of capital opening, and (ii) analysis of returns generated by such shares after their issue, at short and long term, analyzing their effects and consequences for sellers and buyers, as well as for the general society. From the compared analysis with the previous cycles, we found the repetition of the same set of characteristics, with emphasis for the indications of financial speculation. From the analysis of the returns of such shares, we found the occurrence of underpricing on the first day, whilst at the medium and long range, overpricing was determined. When compared with the Ibovespa return, such shares showed inferior returns, whilst the expected would be a higher return, as a consequence of the higher risk of the new shares. In terms of nominal returns, such new shares showed positive returns whilst the market was in a height cycle (05.20.08, Ibovespa peak), and strong negative return when the market changed to a drop period (base date 10.31.08). Finally, there were determined, by means of consultation of the issue prospectus, the book values of the new shares prior to issue, identifying a set of prices quite lower than the corresponding launching prices. Such reality indicates that the companies and partners performing the sale of such papers through initial public offer obtained quite high prices, which would seldom be obtained in private negotiations of assets. Under such logic, the issue of underpricing looses consistency, which loss would be offset by the gains due to the open capital. This set of analysis points out that the current cycle has been producing excellent returns to the sellers (companies and partners) but negative returns to the buyers (investors), reason why it would not be beneficial to the society as a whole.

This thesis examines how Distributed Ledger Technologies (DLTs) could be utilized in capital markets in general and in the Nordic capital market in particular. DLTs were introduced with the so called cryptocurrency Bitcoin in 2009 and has in the last few years been of interest to various financial institutions as a means to streamline financial processes. By combining computer scientific concepts such as public-key cryptography and consensus algorithms DLTs make it possible to keep shared databases with limited trust among the participators and without the use of a trusted third party. In this thesis various actors on the Nordic capital market were interviewed and their stance on DLTs were summarized. In addition to this a Proof of Concept of a permissioned DLT application for ownership registration of securities was constructed. It was found that all the interviewees were generally optimistic about DLTs potential to increase the efficiency of capital markets. The technology needs to be adopted to handle the capital markets demand for privacy and large transaction volumes, but there is a general agreement among the interviewees that these issues will be solved. The biggest challenge for an adoption of DLTs seem to lie in that of finding a common industry-wide standard.

The paper focuses on capital market integration at sovereign bond market in eleven selected euro zone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, and Spain). The first main objective is to test the degree of capital market integration before and after the crisis using Germany as a benchmark country and also among them as well. Secondly it evaluates and provides reasons of capital integration in time. The examination is applied through i) sigma convergence ii) yield spreads iii) correlation matrix iv) cointegration tests. I found almost zero yield differences before crisis. After 2008 results show segmentation in euro zone countries with certain special characteristic for countries with high credit ratings.

京都大学 / 0048 / 新制・課程博士 / 博士(地域研究) / 甲第22674号 / 地博第276号 / 新制||地||105(附属図書館) / 京都大学大学院アジア・アフリカ地域研究研究科東南アジア地域研究専攻 / (主査)教授 三重野 文晴, 教授 高橋 基樹, 准教授 町北 朋洋 / 学位規則第4条第1項該当 / Doctor of Area Studies / Kyoto University / DGAM

A research report submitted to the Faculty of Commerce, Law and Management, in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investment, University of the Witwatersrand, Johannesburg, 2018 / This paper aims to optimise the financial conditions index (FCI) indicator that best describes the monetary policy interest rate setting behaviour of twelve emerging market central banks. This is achieved by analysing and looking at the background of modelling interest rates and forecasting interest rate setting behaviour from various regions globally. Following the credit crisis of 2008, the conventional wisdom and foundations that prevailed before were profoundly shaken. Particularly the conduct and behaviour of central banks in response to financial conditions assumed centre stage. Consequently, there has been a consensus among economists and policymakers on the importance of financial conditions, and the influence thereof, on the interest rate setting. However, in order for central banks to achieve their financial stability objectives, they need to construct an optimal indicator that best describes financial conditions. To construct such an optimal indicator, this paper firstly investigates whether the central banks of emerging markets follow the Taylor rule in setting their interest rates. Secondly, it investigates whether the FCI with optimal time-varying weights better describes interest rate movements in emerging markets, when incorporated in the Taylor rule. Lastly, it evaluates interest rate predictability by comparing various models that include non-optimized FCIs. The paper finds that the majority of emerging countries follow the Taylor rule. It also finds that most emerging markets take into account the information contained in FCIs and the majority of these countries, optimize the variables that enter the FCIs. When evaluating the forecasting accuracy of these models, the paper finds that the optimized model ranks superior in most countries in terms of forecasting accuracy. The optimization and allocation of the variables that enter the optimized FCI happen in a similar manner that was proposed by Markowitz in portfolio allocation theory. / GR2019

A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment of the requirements for the degree of Master of Management (in the field of Finance and Investment), 2016 / This study examines the determinants of stock market development in a broader sense, in an effort to investigate the positive or negative impact they can have on the establishment of the national stock market in Lesotho. The focus is on the benefits enjoyed by other African countries from the establishment of stock markets, in particular, in Sub-Saharan Africa, whose effects can also be enjoyed by the Lesotho economy. I have concluded that Lesotho can also benefit from the establishment of a stock market and reforms to strengthen the institutional infrastructure are essential. / GR2018

A dissertation submitted in fulfillment of the requirements for the degree in Masters in Management Finance and Investment , University of the Witwatersrand, Johannesburg, 2017 / This thesis examines the performance of value and growth stocks during the ten year period June 2006 to 2016 within five emerging markets countries namely South Africa, Nigeria, Brazil, India and Argentina. Value stocks are those stocks that trade at low prices in comparison to its fundaments value of the company and growth stocks are those stocks that trade at high prices compared to the company’s fundaments. The portfolios of value and growth stocks are created in the five abovementioned countries. The performance of value and growth stocks are studied by constructing portfolios on the basis of price-to-earnings, price-to-book, price-to-cash flow and price-earnings-growth. The data to calculate these price-multiples are derived from the audited statement of comprehensive income, statement of financial position and statement of cash flow of the companies. Trade data on listed stock, listed indices, cash dividends and risk-free rates are derived from mainly from Bloomberg.com and Morningstar.com. To classify stocks to be included in value or growth portfolios, a 30 percent cut-off is used. The portfolio returns and risk, price-multiples are studied as well to research whether one price-multiple provide higher return than others. Total return and risk-adjusted measures are studied by means of average daily returns to scrutinize which class of stocks, value or growth, provided the highest return. A regression analysis is performed to study if the Capital Asset Pricing model and a two-factor model can elaborate on the excess returns yield by value and growth portfolios. The findings are that value stock portfolio provide a higher total return than growth stocks portfolio. The value stocks as compared to growth stocks, also provide a fraction of higher return per unit of risk, as measured by Jensen’s Alpha and Treynor. The study also shows that value portfolios classified on price-to-book yield higher returns than portfolios constructed on other price multipliers. The regression analyses show that the CAPM two-factor model is able to explain the excess returns on value and growth portfolios. The beta coefficients of value stocks are higher than growth stocks, which is consistent with the general theory that higher betas found in stocks should, by definition, produce higher returns, this also suggest that the reason behind the of outperformance by value stocks over growth stocks is a compensation of risk. While value and growth stocks are studied over a period of 10 years on five emerging markets there is some limitations and implications for future research exist. One major limitation concern is the sample size of 5 emerging markets out of 152 emerging and developing countries as listed by the International Monetary Fund. Therefore reaching statistical conclusion makes it difficult to generalize towards other countries. / MT 2018

No description available.

Using a random sample of transactions data from the time period of September 1, 1978 through August 31, 1985, the high end-of-day transaction returns noted by Wood, Mclnish and Ord and by Harris were examined to determine their persistence over time and their relationship to a commonly used measure of daily security performance. Additionally, final transactions were classified by type of price change-reversal or continuation-in order to document whether the high end-of-day returns are the result of security price appreciation or the result of increases in transactions at the ask price. New information provided by this study can be summarized as follows: 1. The end-of-day anomaly persisted over the time period of the study and appeared to be strongest in the last three years. 2. A Friday effect was found in that the mean return to the final transaction on Friday was at least as great or greater than the mean final transaction returns on the other days of the week. 3. A relationship was found to exist between CRSP excess return level (good day/bad day) and the final transaction return, and there was evidence that the final transaction may have had a large impact on the CRSP excess return. 4. Reversals are more frequent than continuations on the final trade, particularly after 3:56pm, and the mean return to reversals is greater than the mean return to continuations. / Ph. D.

by Chan Chung King, Siu Wang Ching. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaves 82-84.