Ao quantificar a mudança no preço da ação após o pagamento de dividendos, levando em conta as mudanças na legislação fiscal, a pesquisa busca contribuir com um estudo do efeito clientela, evidenciando como o mercado avalia o pagamento de dividendos. Para tanto, foram analisados importantes companhias abertas que anunciaram o pagamento de dividendos durante o período de 2001 a 2013, cujo banco de dados estava disponível na Economática® (2014), através da aplicação do modelo de Elton e Gruber (1970). Os resultados do estudo sinalizam que no mercado brasileiro para o período de análises, os postulados do efeito clientela não conseguiram explicar a formação dos preços das ações pagadoras de dividendos, principalmente pela baixa influência dos aspectos tributários. Além disso, os resultados confirmaram a inexistência do efeito clientela sobre dividendos no mercado acionário brasileiro e contribuíram às evidências já existentes. / By quantifying the change in share price after the dividend payment, taking into account changes to tax legislation, the research seeks to contribute to the study of the clientele effect, showing how the market assesses the payment of dividends. For this, important public companies were analyzed in the period from 2001 to 2013, using data available in Economática® (2014) and applying the Elton e Gruber model (1970). The findings point that, for the Brazilian market for the period of analysis, it is postulated that the clientele effect failed to explain the pricing of paying stock dividends, mainly by the low influence of tax aspects. Overall, the results confirmed the inexistence of the clientele effect on dividends in the Brazilian stock market and contributed to the existing evidence.

Ao quantificar a mudança no preço da ação após o pagamento de dividendos, levando em conta as mudanças na legislação fiscal, a pesquisa busca contribuir com um estudo do efeito clientela, evidenciando como o mercado avalia o pagamento de dividendos. Para tanto, foram analisados importantes companhias abertas que anunciaram o pagamento de dividendos durante o período de 2001 a 2013, cujo banco de dados estava disponível na Economática® (2014), através da aplicação do modelo de Elton e Gruber (1970). Os resultados do estudo sinalizam que no mercado brasileiro para o período de análises, os postulados do efeito clientela não conseguiram explicar a formação dos preços das ações pagadoras de dividendos, principalmente pela baixa influência dos aspectos tributários. Além disso, os resultados confirmaram a inexistência do efeito clientela sobre dividendos no mercado acionário brasileiro e contribuíram às evidências já existentes. / By quantifying the change in share price after the dividend payment, taking into account changes to tax legislation, the research seeks to contribute to the study of the clientele effect, showing how the market assesses the payment of dividends. For this, important public companies were analyzed in the period from 2001 to 2013, using data available in Economática® (2014) and applying the Elton e Gruber model (1970). The findings point that, for the Brazilian market for the period of analysis, it is postulated that the clientele effect failed to explain the pricing of paying stock dividends, mainly by the low influence of tax aspects. Overall, the results confirmed the inexistence of the clientele effect on dividends in the Brazilian stock market and contributed to the existing evidence.

Ao quantificar a mudança no preço da ação após o pagamento de dividendos, levando em conta as mudanças na legislação fiscal, a pesquisa busca contribuir com um estudo do efeito clientela, evidenciando como o mercado avalia o pagamento de dividendos. Para tanto, foram analisados importantes companhias abertas que anunciaram o pagamento de dividendos durante o período de 2001 a 2013, cujo banco de dados estava disponível na Economática® (2014), através da aplicação do modelo de Elton e Gruber (1970). Os resultados do estudo sinalizam que no mercado brasileiro para o período de análises, os postulados do efeito clientela não conseguiram explicar a formação dos preços das ações pagadoras de dividendos, principalmente pela baixa influência dos aspectos tributários. Além disso, os resultados confirmaram a inexistência do efeito clientela sobre dividendos no mercado acionário brasileiro e contribuíram às evidências já existentes. / By quantifying the change in share price after the dividend payment, taking into account changes to tax legislation, the research seeks to contribute to the study of the clientele effect, showing how the market assesses the payment of dividends. For this, important public companies were analyzed in the period from 2001 to 2013, using data available in Economática® (2014) and applying the Elton e Gruber model (1970). The findings point that, for the Brazilian market for the period of analysis, it is postulated that the clientele effect failed to explain the pricing of paying stock dividends, mainly by the low influence of tax aspects. Overall, the results confirmed the inexistence of the clientele effect on dividends in the Brazilian stock market and contributed to the existing evidence.

Asset allocation and portfolio decisions are at the heart of money management and draw great attention from both academics and practitioners. In addition, the segmentation of fund investors (i.e., the clientele effect) in the money management industry is well known but poorly understood. The objective of this dissertation is to study the implications of regime switching behaviors in asset returns on asset allocation and to analyze the clientele effect as well as the impact of portfolio management contracts on fund investment. Chapter 2 presents an innovative regime switching multi-factor model accounting for the different regime switching behaviors in the systematic and idiosyncratic components of asset returns. A Gibbs sampling approach for estimation is proposed to deal with the computational challenges that arise from a large number of assets and multiple Markov chains. In the empirical analysis, the model is applied to study sector exchange-traded funds (ETFs). The idiosyncratic volatilities of different sector ETFs exhibit a strong degree of covariation and state-dependent patterns, which are different from the dynamics of their systematic component. In a dynamic asset allocation problem, the certainty equivalent return is computed and compared across various models for an investor with constant relative risk aversion. The out-of-sample asset allocation experiments show that the new regime switching model statistically significantly outperformed the linear multi-factor model and conventional regime switching models driven by a common Markov chain. The results suggest that it is not only important to account for regimes in portfolio decisions, but correct specification about the structure and number of regimes is of equal importance. Chapter 3 proposes a rational explanation for the existence of clientele effects under commonly used portfolio management contracts. It shows that although a fund manager always benefits from his market timing skill, which comes from his private information about future market returns, the value of the manager's private information to an investor can be negative when the investor is sufficiently more risk-averse than the manager. This suggests different clienteles for skilled and unskilled funds. Investors in skilled funds are uniformly more risk-tolerant than investors in unskilled funds. Moreover, a comparative statics analysis is conducted to investigate the effects of the manager's skill level, contract parameters, and market conditions on an investor's fund choice. The results suggest that the investors who are sufficiently more risk-averse than the manager should include fulcrum fees in the contract to benefit from the skilled manager's information advantage.

Liquidity is a measure of the ease with which an asset can be converted into cash. In a perfectly liquid market, conversion is instantaneous and does not incur costs. Amihud and Mendelson (1986:224) proposed that illiquidity increases the expected return on an investment (liquidity premium) and simultaneously lengthens the holding period. These two effects are known respectively as the “spread-return relationship” and the “clientele effect” and have theoretical as well as practical implications. From a theoretical perspective it may help to explain the gap between the capital asset pricing model (which assumes that markets are perfectly liquid) and the associated empirical evidence; which thus far has been rather poor. From a practical perspective, liquidity will influence stakeholders’ decisions and market competitiveness (Amihud&Mendelson, 1991:61-64). The relevant stakeholders are governments, stock exchange regulators, corporations, investors and financial intermediaries. Emerging economies such as the South African economy typically have less liquid markets than the developed world. While this may be attractive for investors looking for higher returns, Amihud and Mendelson (1991:61) are of the opinion that liquid markets are more generally favoured by investors. Constantinides (1986:842-858), also proposes a model for liquidity, but found the liquidity premium to be of lesser importance than that proposed by Amihud and Mendelson (1986:223-231) but also supports the suggestion that investors will favour liquid markets. Although it is by no means a perfect proxy, a security’s bid-ask spread has been found to be an attractive and effective measure of liquidity. It has been found to correlate with beta as well as market capitalisation and several other variables commonly used in capital markets research. Because of this correlation the effect of the bid-ask spread cannot be studied in isolation when regression techniques are employed (Ramanathan, 1998:166). This is particularly problematic because empirical evidence for beta, which is arguably the most important independent variable in financial cross sectional relationships, is weak. Beta has to be estimated and so it is not clear if real markets do not support CAPM theory or if beta cannot be estimated with the required accuracy. All of the common independent variables used in empirical capital markets research are correlated to beta, and for this reason it cannot be established if these variables have a real effect or if they are simply serving as a proxy for the difference between the real and the estimated beta. Various strategies have been proposed to increase the accuracy of beta estimation and these are discussed in detail in this research. Successes with these strategies have been mixed. A second problem encountered in the empirical research base relating to the CAPM is that in the theory the cross-sectional relationship is between expected market return (which cannot be observed due to the vast number of real investments beyond those listed on exchanges) and beta, whereas empirical research makes use of actual return on a market proxy and beta. In order for the actual return to approach the expected return, empirical studies have to be conducted over extended periods. Accurate data for such periods are generally lacking and severe macro-economic changes such as wars, may also affect rational economic behaviour. It has to be kept in mind that the entire CAPM theory flows from the simple assumption that investors aim to achieve the highest return per unit of risk, and so a rejection of beta is a rejection of rational investor behaviour. Liquidity however, addresses one of the assumptions of CAPM, namely that markets are perfectly liquid; which obviously is not met in real markets and so CAPM models expanded for liquidity should be a reasonably fundamental starting point for all empirical capital markets research. The current empirical evidence for the spread-return relationship is inconclusive. While some researchers have found a significant relationship, others have questioned the ability of the methodology to differentiate a true relationship from the ‘proxy for errors in the estimated beta’ problem. Deductions (as explained in section 4.3) that have been made from the research of Marshall and Young (2003:176-186) in particular, provide strong evidence that at least some of the relationship is due to the ‘errors in estimated beta’ problem. Little empirical work has been done on the clientele effect. Atkins and Dyl (1997:318-321) found a significant relationship between holding period and bid-ask spread, although their approach was somewhat unorthodox in the sense that portfolio formation was not done and the effect of beta was not tested. This study tests empirically both the spread-return relationship and the clientele effect on the Johannesburg Stock Exchange over the period stretching from January 2002 to June 2007. The methodology of Fama and Macbeth (1973:614-617) as well as the aggregated beta of Dimson (1979:203-204) were mainly used, with some modifications as suggested by other researchers. With regard to the spread-return relationship, the findings of this study do not support theoretical expectations. This may be due to the short time period that was used as well as the difficulty in estimating beta. To the contrary, very significant evidence for the clientele effect was found, with little to no influence from market capitalisation and beta, which is as expected. Further investigation into the spread-return relationship is required. If a liquidity premium is not present, foreign investors will favour liquid developed markets above the JSE. This implies that efforts of exchange regulators and the government to decrease illiquidity will lead to foreign portfolio investment inflow into the South African economy. / Dissertation (MBA)--University of Pretoria, 2008. / Graduate School of Management / unrestricted

Ce travail de recherche est dédié à l’analyse des politiques de dividendes dans le contexte des fusions-acquisitions américaines. Le premier chapitre de cette thèse décrit le cadre de l’étude. Il présente le cadre théorique des politiques de dividendes, puis celui des fusions-acquisitions avant d’exposer les champs exploratoires relatifs aux spécificités des politiques de dividendes lors des opérations de fusions-acquisitions. Il traite, à la fin, une illustration d’une fusion américaine qui incarne un cas réel des interactions des politiques de dividendes lors des rapprochements des firmes. Le deuxième chapitre de la thèse explore empiriquement l’impact de la différence entre les politiques de dividendes des firmes fusionnées sur la politique de dividendes post-fusion, et teste un éventuel effet de compensation de la prime de fusion. Le troisième chapitre part de l’idée que la réaction négative du marché à l’annonce des acquisitions en titres de firmes cotées est l’issu de l’évaluation incorrecte de l’acquéreur. De ce fait, il explore un possible rôle informationnel de la politique de dividendes de l’acquéreur dans ce type d’opérations qui peut réduire l’asymétrie d’information sur la valorisation de l’acquéreur, et ainsi alléger la réaction négative du marché à l’annonce. Le quatrième chapitre étudie les caractéristiques financières des firmes fusionnées qui sont déterminantes de leurs politiques de dividendes. Au vu de cela, il suppose que la réussite de la fusion peut être affectée par la différence entre les politiques de dividendes des firmes fusionnées issue de la différence entre leurs caractéristiques. Les résultats de nos recherches prouvent l’effet de la divergence entre les politiques de dividendes des firmes fusionnées sur le déroulement de la fusion au moment et après la transaction. La principale contribution de cette thèse est donc d’illustrer l’importance de tenir compte des politiques de dividendes des firmes impliquées dans des opérations de fusions-acquisitions, afin de pouvoir prendre les bonnes décisions lors du rapprochement. La généralisation de l’effet de clientèle sur les firmes fusionnées permet de détecter des chocs de clientèles de dividendes, et de révéler la nécessité d’absorber ces chocs par certains termes transactionnels et par la conduite post-fusion de la firme combinée. / This research is dedicated to the analysis of dividend policy in the context of U.S. mergers and acquisitions. The first chapter of this thesis presents the framework of the study. It outlines the theoretical framework of the dividend policies and the mergers-acquisitions before stating exploratory fields related to the specificities and contributions of dividend policies in the M&A setting. Furthermore, it discusses an illustration of an US merger that embodies a real case of interactions between dividend policies during mergers-acquisitions. The second chapter empirically explores the impact of the difference between merging firms’ dividend policies on the post-merger dividend policy, and tests a probable compensation effect of the bid premium. The third chapter starts from the idea that the negative market reaction to the announcement of stock acquisitions of listed firms is derived from the acquirer’s misevaluation. Thereby, it explores the information content of the acquirer dividend policy in such deals which may reduce the information asymmetry on the acquirer valuation, and thus alleviate the negative market reaction at the announcement. The fourth chapter examines the financial characteristics of merging firms that are determining their existing dividend policies. In light of this, it assumes that the merger completion may be affected by the difference between merging firms’ dividend policies which are resulting from the difference between their characteristics. The findings of our research confirm the impact of the difference between the merging firms’ dividend policies on the conduct of the merger during and following the transaction. The main contribution of this thesis is to illustrate the importance of considering the dividend policies of companies involved in mergers-acquisitions in order to make the right decisions in favor of the reconciliation. The generalization of the clientele effect on the M&A setting allow to detect dividend clientele shocks, and reveal the need to absorb these shocks by transaction specifics and the post-merger conduct of the merged firm.

The relevance or irrelevance of dividend payments has been the topic of much discussion for the past eight decades. The primary objective of this study was to determine the relationship between dividend policy and agency problems of financial services companies listed on the (JSE). Dividend Policy and the Agency Theory underpinned the study. Secondary data of sampled listed financial companies for the period 2005-2016 was sourced from IRESS database. Data was analysed using EViews version 9. The results revealed that the presence of institutional ownership resolves the asymmetry information problems, and, reduces the need to pay dividends. The results also revealed that 54.69% of JSE listed companies under the financials’ services sector practise dividend decisions. The results further revealed that the dividend payout ratio is positively correlated with ROE and LEV, and negatively correlated INST, DIRS and FOREIGN variables. The results confirmed the existence of agency problems on listed financial services companies. / Ukubaluleka okanye ukungabaluleki kokuhlawula izahlulo bekusoloko kusisihloko sengxoxo kumashumi asibhozo eminyaka edluleyo. Injongo ephambili yesi sifundo yayikukufumanisa ulwalamano phakathi komgaqo nkqubo wezahlulelo neengxaki zobumeli (ubuarhente) beenkampani ezinikezela ngeenkonzo zemicimbi yoqoqosho nezidweliswe kwiJohannesburg Securities Exchange (JSE). Izisekelo zesi sifundo nguMgaqo Nkqubo Wezahlulo (Dividend Policy) neNgcingane Yobumeli (Agency Theory). Iqela lesibini ledatha yeenkampani ezidwelisiweyo kwiminyaka ye-2005– 2016 yafunyanwa kwiqula leedatha elaziwa ngokuba yi-IRESS database. Idatha yahlalutywa ngokusebenzisa isixhobo sohlalutyo iEViews version 9. Iziphumo zadiza ukuba ubukho babanini kwiziko loshishino buyazisombulula iingxaki zonxibelelwano olungalingani kakuhle kwaye kuyasicutha isidingo sokuhlawula izahlulo. Kwakhona, iziphumo zadiza ukuba ama-54.69% eenkampani ezidweliswe kwiJSE, phantsi kodidi lweenkampani ezinikezela ngeenkonzo zemicimbi yoqoqosho, enza izigqibo zezahlulo. Iziphumo zaphinda zadiza ukuba intlawulo yezahlulo ihambelana kakuhle neenqobo zeROE neLEV, kanti azihambelani neenqobo zeINST, ezeDIRS kunye nekuthiwa ziFOREIGN. Ezi ziphumo zangqina ukuba kukho iingxaki zobumeli/ubuarhente kwiinkampani ezinikezela ngeenkonzo zemicimbi yoqoqosho / Bonnete le go se be bonnete ga ditefelo tša letseno e bile hlogo ya ditherišano tše dintši mo mo dingwagasome tše seswai tša go feta. Nepo ya motheo ya thuto ye ke go ela kamano gare ga pholisi le mathata a dikhamphani tša ditirelo tša Matlotlo tšeo di lego lenaneong la Johannesburg Securities Exchange (JSE). Pholisi ya Ditseno le Teori ya Etšensi ke motheo wa thuto ye. Datha ya magareng ya dikhamphani tša mašeleng tšeo di lego lenaneong la paka ya 2005–2016 e be e hwetšagala go tšwa go lenaneo la datha la IRESS. Datha e sekasekilwe go šomišwa EViews version 9. Dipoelo di utullotše gore go ba gona ga bong ka gare ga sehlongwa go rarolla mathata a tshedimošo ya go se lekalekane, le go fokotša nyakego ya go lefa mašokotšo. Dipoelo le tšona di tšweleditše go re diperesente tše 54.69 tša dikhamphani tšeo di lego lenaneong la JSE ka fase ga ditirelo tša sekgao sa go phethagatša diphetho tša mašokotšo. Dipoelo di tšwetša pele go utulla go re ditekanyetšo tša ditefelo tša mašokotšo du sepelelana gabotse le ROE le LEV, le go sepelelana gannyane le INST, DIRS le FOREIGN. Dipoelo di netefatša go ba gona ga mathata a Etšensi ao a ngwadilwego lenaneong la dikhamphani tša ditirelo tša mašeleng / Abstracts in English, Zulu, Sepedi / Business Management / M. Com. (Business Management)