The introduction of the Capital Asset Pricing Model in 1964, and its subsequent study by hundreds of thousands if not millions of people at universities throughout the world, has had far reaching consequences in terms of the way portfolios were constructed for many insurance and pension funds. It has affected the investment philosophies of large numbers of investors as well as influenced the calculations of firms costs of capital. Countless investment proposals have been accepted or rejected based on what the Capital Asset Pricing model has calculated the minimum return demanded by shareholders to be. This dissertation looks at the empirical evidence supporting the debate about the usefulness of the Capital Asset Pricing model, as well as presenting evidence as to any possible anomalies to this model on the JSE. / Thesis (MBA)-University of Natal, Durban, 2000.

Thesis (Ph.D) -- University of Western Sydney, 2007. / A thesis submitted to the University of Western Sydney, College of Business, School of Economics and Finance, in fulfilment of the requirements for the degree of Doctor of Philosophy. Includes bibliography.

Thesis (Ph. D.)--University of California, San Diego, 1998. / Vita. Includes bibliographical references (leaves 138-145).

Thesis (M.B.A.)--University of Hong Kong, 1991.

Thesis (Ph. D.)--University of California, Santa Cruz, 1997. / Typescript. Includes bibliographical references (leaves 237-245).

Mergers and acquisitions are a key component in the toolbox of business strategies that companies employ to improve organisational performance. Empirical studies that focus on domestic mergers and acquisitions activity in developed countries are numerous, however there remains a limited amount of research into the effects of cross border mergers and acquisitions on the performance of acquiring companies, especially in emerging markets. This research examined whether cross border mergers and acquisitions concluded by acquiring companies listed on the Johannesburg Stock Exchange have a positive or negative impact on the operating financial and short term share price performance of the listed acquirer. A quantitative approach was adopted for the purpose of this research. In order to analyse the impact of cross border mergers and acquisitions transactions on the share price and operating financial performance of listed acquiring firms secondary data was utilised. The research incorporated publicly available daily share trading data for shares traded on the Johannesburg Stock Exchange and financial and accounting data sourced from McGregorBFA. In addition, the sample of cross border mergers and acquisitions transactions was obtained from the MergerMarket database. Purposive sampling was applied to select an initial sample of 44 transactions. Based on the exclusion of confounding events a final sample of 29 transactions was tested. Given the small sample size, and that confounding events were determined not to have a material impact on the cross border transactions, comparative analysis was performed using the initial sample of 44 transactions. Different lenses were applied for testing financial performance by using three performance measures. These included abnormal share price returns; key financial performance ratios and industry adjusted operating cash flow return on assets. Various short-term event windows were analysed for each of these measures. Parametric tests including t-tests for unequal variance and paired t-tests were applied in the research. Given the small sample size non-parametric testing in the form of Wilcoxon Signed Rank Sum tests was also applied. In addition, bootstrapping was applied to the cumulative average abnormal returns. This research concluded that both the short-term share price and operating financial performance of acquiring companies listed on the Johannesburg Stock Exchange does not improve significantly in the short-term post the cross border merger or acquisition transaction. / Dissertation (MBA)--University of Pretoria, 2013. / lmgibs2014 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted

>Magister Scientiae - MSc / Motivated by the growing attraction of the mutual fund industries across the world, this research seeks to explore the economic benefits contributed by the South African equity unit trust managers over the period from 1 January 2002 to 2 September 2012. The performance is examined over two sub-periods and the overall examination period, where the first sub-period captures the performance of the unit trusts before the 2007/2008 global financial crisis and the second sub-period captures the devastation in performance of the unit trusts after the crisis. Active fund managers are usually presumed to possess superior abilities in asset allocation, security selection and market timing that assist them to consistently generate abnormal returns on a risk-adjusted basis. This research attempts to test this claim by making a distinction in performance attribution between returns generated as a result of managerial skills and those generated as a result of random chance. The study emerges by first examining the risk-adjusted performance of the South African unit trust managers against the performance of a broad market index proxied by FTSE/JSE All Share Index (ALSI). Six different risk-adjusted performance measures are employed for this purpose. Regardless of the different applications of risk parameters employed by each performance measure, the results reveal that on average, most of the South African unit trust managers do not outperform the market on a consistent basis. The majority of the unit trust managers show good performance during the first sub-period, with subsequent inferiority in performance during the second sub-period. The study further examines the performance of the South African unit trust managers relative to the pre-specified sector benchmarks constructed by following a set of performance attribution techniques proposed by Yu (2008) and Hsieh (2010). The objective of this test is to determine whether the equity unit trust managers are able to create value through their security selection skill in addition to their asset allocation decisions. Consistent with international evidence, the results reveal that returns generated by South African unit trusts are driven mainly by asset allocation activities and stock picking of asset managers do not add significant value. In addition, test results also indicate that South African equity unit trust managers are not good at managing risk as the majority of the unit trusts exhibit higher standard deviation compared to their benchmarks. Furthermore, the study examines the economic value contribution of the South African equity unit trust managers through their market timing activities. In particular, the study attempts to determine whether or not unit trust managers possess the ability to correctly anticipate future market movements. To achieve this, two market timing performance models developed by Treynor-Mazuy (1966) and Henrikson-Merton (1981) are employed. The results reveal that, regardless of the changes in market conditions, South African equity unit trust mangers delivered significantly inferior timing performance in both sub-periods and the overall examination periods that actually destroyed fund values. The paper concludes by stating that investors are better off by investing in cost-effective passive investment vehicles such as exchange traded funds (ETF's).

This dissertation consists of two essays dealing with two selected aspects of the investment decision process faced by individuals and corporations. In the first essay, I develop a model of a multiple-stage patent race between two rival firms to study the impact of technological competition on value and return dynamics of Research and Development (R&D) ventures. The model describes a firm's capital budgeting decision process in the presence of technical uncertainty, market uncertainty and preemption. I characterize the equilibrium of the race and derive optimal investment strategies. Analysis of the equilibrium firm value shows that the premium accruing to the technology "leader" is larger than the loss accruing to the technology "lagger" and that the marginal effect of success/failure is increasing in the uncertainty of cash flows. Risk premia demanded by an ownership claim to competing R&D ventures (i) increase when a rival pulls ahead in the race and (ii) are lower when rivals are "closer" to each other in the development process. Compared to the case where rival firms merge, R&D competition reduces the industry value and lowers the expected completion time for a project. The erosion in value, due to preemption, is higher when firms are "neck-and-neck" and in early stages of development. Numerical simulations show that, in later stages of development, risk premia demanded by the perfectly collusive market are generally lower than risk premia demanded by a portfolio of competing firms. The opposite is true in early stages of development, which suggests that R&D competition may actually lower the cost of early stage financing. In the second essay, I solve a portfolio allocation problem for an individual who can select between two risky assets and a riskless asset in the presence of capital gains taxes. I treat capital gains taxes as a form of endogenous transaction costs. Using this analogy, I characterize the trading strategy for the two assets, and study the effect of taxes on optimal portfolio diversification. The optimal strategy contains a "no trade" region and a dynamic tax-timing option. I find that the diversification costs due to capital gains taxes are substantial and the value of the tax deferral option is decreasing in the correlation among assets and in the volatility of the risky assets. By comparing the solution of the multiple asset portfolio problem to the one of an investor who can trade only in a mutual fund I am able to measure the value of the flexibility option of the multi-asset case as well as the cost of mutual fund turnover. Finally, I show that imposing a wash-sale constraint generates discontinuous portfolio rebalancing strategies. / Business, Sauder School of / Finance, Division of / Graduate

This dissertation describes two theories of risky choice based on a normatively axiomatized partial order. The first theory is an atemporal alternative to von Neumann and Morgenstern's Expected Utility Theory that accommodates the status quo bias, violations of Independence and preference reversals. The second theory is an extension of the Inter-temporal von Neumann-Morgenstern theory of Kreps and Porteus (1978) that features a normatively deduced preference for flexibility. A substantial part of the thesis is devoted to examining equilibrium implications of the inter-temporal theory. In particular, a multi-agent multi-period Bayesian rational expectations equilibrium is shown to exist under certain conditions. Implications to asset pricing are then investigated with an explicit parameterization of the model. / Business, Sauder School of / Finance, Division of / Graduate

Limitations of Capital Asset Pricing Model (CAPM) continue to present inconsistent empirical results despite its rm mathematical foundations provided in recent studies. In this thesis, we examine how estimation errors of the CAPM could be minimized using the cross-validation technique, a concept that is widely applied in machine learning (CV-CAPM). We apply our approach to test the assumption of CAPM as a well-diversified portfolio model with data from S&P500 and Dow Jones Industrial Average (DJIA). Our results from the CV-CAPM validate that both S&P500 and DJIA are well-diversified market indices with statistically insignificant variation in unsystematic risks during and after the 2007 financial crisis. Furthermore, the CV-CAPM provides the smallest root mean square errors and mean absolute deviations compared to the traditional CAPM.