O desempenho superior do investimento em ações de valor é um fenômeno largamente documentado na literatura e tema de discussão desde o trabalho de Nicholson (1960). Autores como Fama e French (1992, 1998) afirmam que na verdade as ações value apresentam riscos maiores, e por isso seu desempenho é superior. No entanto, esse risco não é capturado pelos modelos tradicionais de precificação de ativos, como o CAPM. Esta dissertação testou uma estratégia de investimento em valor para o mercado brasileiro, usando critérios para a seleção de ações sugeridos por Benjamin Graham (2007), de modo que fossem eliminadas as empresas de desempenho inferior que apresentassem riscos não capturados pelos modelos tradicionais. Buscou-se verificar (i) a validade do modelo de Graham para selecionar ações no mercado brasileiro, (ii) dos filtros de Graham quais possuem maior relevância, (iii) qual a composição ideal de uma carteira de investimentos orientada pelo value investing para o mercado brasileiro no período de 2005 a 2014. Em comparação com o Ibovespa verificou-se que as carteiras obtidas foram capazes de oferecer retornos equivalentes certos superiores ao do índice no período, além de betas inferiores. Concluiu-se que é possível se obter um portfólio com retornos acima do índice de mercado sem incorrer em riscos maiores utilizando-se os filtros de Graham. Os resultados atestaram a validade da estratégia de value investing no mercado nacional. / The outperformance of value stocks is a widely documented phenomenon in literature and matter of discussion since Nicholson (1960). Authors such as Fama and French (1992, 1998) claim that in fact value shares present higher risk, thus justifying its superior performance. However, this risk is not captured by the traditional models of asset pricing (like CAPM). This work tested a value investing strategy in the Brazilian market selecting stocks through the criteria suggested by Benjamin Graham (2007) so that lower quality companies, that potentially would present risks not captured by traditional risk models, are eliminated. It was attempted to verify (i) the validity of the Graham model for stock selection in the Brazilian market, (ii) which filters present greater relevance, (iii) what is the ideal composition of a value investing portfolio in the Brazilian market for the period of 2005 - 2014. As the portfolios were able to offer higher certainty equivalent returns than Ibovespa in the period, as well as lower betas, it was concluded that it is possible to obtain a portfolio that offers above market average returns without incurring in greater risks using Graham criteria. The results confirmed the validity of the value investing strategy in the domestic market.

O desempenho superior do investimento em ações de valor é um fenômeno largamente documentado na literatura e tema de discussão desde o trabalho de Nicholson (1960). Autores como Fama e French (1992, 1998) afirmam que na verdade as ações value apresentam riscos maiores, e por isso seu desempenho é superior. No entanto, esse risco não é capturado pelos modelos tradicionais de precificação de ativos, como o CAPM. Esta dissertação testou uma estratégia de investimento em valor para o mercado brasileiro, usando critérios para a seleção de ações sugeridos por Benjamin Graham (2007), de modo que fossem eliminadas as empresas de desempenho inferior que apresentassem riscos não capturados pelos modelos tradicionais. Buscou-se verificar (i) a validade do modelo de Graham para selecionar ações no mercado brasileiro, (ii) dos filtros de Graham quais possuem maior relevância, (iii) qual a composição ideal de uma carteira de investimentos orientada pelo value investing para o mercado brasileiro no período de 2005 a 2014. Em comparação com o Ibovespa verificou-se que as carteiras obtidas foram capazes de oferecer retornos equivalentes certos superiores ao do índice no período, além de betas inferiores. Concluiu-se que é possível se obter um portfólio com retornos acima do índice de mercado sem incorrer em riscos maiores utilizando-se os filtros de Graham. Os resultados atestaram a validade da estratégia de value investing no mercado nacional. / The outperformance of value stocks is a widely documented phenomenon in literature and matter of discussion since Nicholson (1960). Authors such as Fama and French (1992, 1998) claim that in fact value shares present higher risk, thus justifying its superior performance. However, this risk is not captured by the traditional models of asset pricing (like CAPM). This work tested a value investing strategy in the Brazilian market selecting stocks through the criteria suggested by Benjamin Graham (2007) so that lower quality companies, that potentially would present risks not captured by traditional risk models, are eliminated. It was attempted to verify (i) the validity of the Graham model for stock selection in the Brazilian market, (ii) which filters present greater relevance, (iii) what is the ideal composition of a value investing portfolio in the Brazilian market for the period of 2005 - 2014. As the portfolios were able to offer higher certainty equivalent returns than Ibovespa in the period, as well as lower betas, it was concluded that it is possible to obtain a portfolio that offers above market average returns without incurring in greater risks using Graham criteria. The results confirmed the validity of the value investing strategy in the domestic market.

So, King Pui. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 49-52). / Abstracts in English and Chinese; appendix II, III also in Chinese. / Cover Page --- p.1 / Abstract --- p.2 / Chinese Version --- p.3 / Acknowledgements --- p.4 / Contents --- p.5 / Chapter 1. --- Introduction --- p.7 / Chapter 2. --- Definition and basic idea of Cumulative Voting --- p.9 / Chapter 3. --- Literature Review --- p.11 / Chapter 4. --- History and Development --- p.12 / Chapter 4.1. --- Around the world --- p.12 / Chapter 4.2. --- Cumulative voting in listed companies in China --- p.13 / Chapter 5. --- Hypothesis --- p.15 / Chapter 5.1. --- Nature of cumulative voting --- p.15 / Chapter 5.2 --- Relationship of corporate governance mechanism and tunneling in signaling the effect of cumulative voting --- p.18 / Chapter 5.2.1. --- Ownership characteristics --- p.18 / Chapter 5.2.2. --- Activeness of minority shareholders --- p.20 / Chapter 5.2.3. --- Legal framework --- p.21 / Chapter 5.2.4. --- Ownership nature --- p.22 / Chapter 5.2.5. --- Board of directors and supervisors --- p.22 / Chapter 5.2.6. --- Compensations of top executives --- p.23 / Chapter 6. --- Methodology --- p.24 / Chapter 6.1. --- Cumulative voting in the election of the board of director --- p.24 / Chapter 6.2. --- Ownership concentration and characteristics --- p.24 / Chapter 6.3. --- Legal framework --- p.25 / Chapter 6.4. --- Firm Operation Policy --- p.25 / Chapter 6.5. --- Ownership Nature --- p.25 / Chapter 6.6. --- Board of directors and supervisors --- p.26 / Chapter 6.7. --- Top Executives' compensations --- p.27 / Chapter 6.8. --- Operating performance --- p.27 / Chapter 6.9. --- Industry sectors --- p.28 / Chapter 6.10. --- Market firm value --- p.28 / Chapter 6.11. --- Event study approach --- p.29 / Chapter 6.12. --- Matched Propensity Scores Approach --- p.32 / Chapter 6.13. --- Top Executives' Pay-Performance Sensitivities --- p.34 / Chapter 6.14. --- Difference in differences approach --- p.35 / Chapter 7. --- Data --- p.39 / Chapter 7.1. --- Sources of Data --- p.39 / Chapter 7.2. --- Cumulative voting announcements and firm characteristics --- p.39 / Chapter 8. --- Empirical Results --- p.40 / Chapter 8.1. --- Short-term market response --- p.40 / Chapter 8.1.1. --- Event study --- p.40 / Chapter 8.1.2. --- Univariate test --- p.41 / Chapter 8.1.3. --- Multivate OLS regressions --- p.42 / Chapter 8.2. --- Long-term impact --- p.43 / Chapter 8.2.1. --- Matched Propensity Scores --- p.43 / Chapter 8.2.2. --- Top Executives' Pay-Performance Sensitivities --- p.44 / Chapter 8.2.3. --- Univariate test --- p.45 / Chapter 8.2.4. --- Difference in Differences regressions --- p.46 / Chapter 9. --- Conclusions --- p.47 / References --- p.49 / Table 1: Descriptive statistics for firms announcing the implementation of cumulative voting in the election of board of directors --- p.53 / Table 2: Descriptive statistics for firm characteristics --- p.54 / Table 3: Descriptive statistics for annual shareholders' meetings from 2002-2008 --- p.56 / Table 4: Cumulative abnormal returns for an event study of the information content of implementation of cumulative voting in election of board of directors announcements --- p.56 / Table 5: Abnormal returns for an event study of the information content of implementation of cumulative voting in election of board of directors announcements --- p.57 / Table 6: Descriptive statistics for firm characteristics --- p.57 / "Table 7: Mean comparison between above median/ ´ب´ب 1"" group and below median/ ""0"" group using t-test" --- p.59 / Table 8: OLS regression --- p.60 / Table 9: First stage Logistic Model --- p.62 / Table 10: Top Executives Pay-Performance sensitivities for salary and inside stock ownership --- p.64 / Table 11: Mean comparison between cumulative voting and straight voting group using t-test --- p.65 / Table 12: Difference in differences regressions (Corporate governance) --- p.66 / Table 13: Difference in differences regressions (Operating performance) --- p.67 / Table 14: Difference in differences regressions (Market firm value) --- p.68 / Appendix I --- p.68 / Appendix II --- p.71 / Appendix III --- p.72

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The aim of this thesis is the valuation of the company Pegas Nonwovens SA and estimates a fair market value of the share price. The thesis was split into two parts. The theoretical part describes all methods and fundamentals used in the practical part. The practical part starts with a strategic and a financial analysis that evaluate the current situation of the company and identifies main drivers of the equity value. Introduction of key value drivers provides a baseline for the financial plan and the CF projection and it is followed by the final valuation with discounted cash flow model using FCFF. In addition, comparable companies multiples are used as a supplementary valuation method and in the end the thesis also provides an investment recommendation.

Tam Wai-man Grace. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 76-77). / Abstracts in English and Chinese. / Abstract --- p.ii / 序言 --- p.iii / Acknowledgement --- p.iv / Table of Contents --- p.v / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- Literature Review --- p.7 / Chapter 2.1 --- Dividend Irrelevance Theory --- p.8 / Chapter 2.2 --- Bird-in-the-hand Theory --- p.9 / Chapter 2.3 --- Clientele Effect Theory --- p.10 / Chapter 2.4 --- Signaling Theory --- p.11 / Chapter 2.5 --- Agency Cost Theory / Chapter 2.5.1 --- Theoretical Models --- p.15 / Chapter 2.5.2 --- The Latest Agency Cost Model --- p.19 / Chapter 2.6 --- Residual Theory --- p.24 / Chapter 2.7 --- Other Studies on Dividend Policy / Chapter 2.7.1 --- Low-Regular-Dividend-Plus-Extras Policy --- p.26 / Chapter 2.7.2 --- Comparison of the Dividend Policies of Japanese and U.S. Firms --- p.27 / Chapter Chapter 3 --- Methodology / Chapter 3.1 --- Model --- p.28 / Chapter 3.2 --- Anti-Signaling Hypothesis --- p.29 / Chapter 3.3 --- Agency Cost Hypothesis --- p.30 / Chapter 3.4 --- Residual Hypothesis --- p.31 / Chapter 3.5 --- Investment Opportunities Hypothesis --- p.32 / Chapter 3.6 --- Industry Control --- p.33 / Chapter 3.7 --- The Four-Hypothesis Model --- p.34 / Chapter Chapter 4 --- Sample and Data Description / Chapter 4.1 --- Sample Description --- p.35 / Chapter 4.2 --- Variable Description --- p.36 / Chapter 4.3 --- Limitations --- p.39 / Chapter 4.4 --- Descriptive Statistics --- p.41 / Chapter Chapter 5 / Chapter 5.1 --- Regression Results and Implications --- p.42 / Chapter 5.2 --- Alternative measurement for Agency Cost Hypothesis --- p.45 / Chapter 5.3 --- Comparison of the Dividend Policies of Hong Kong and the World --- p.47 / Chapter Chapter 6 --- Conclusion --- p.49 / Tables / Table 1 Summary of the Four-Hypothesis Model --- p.50 / Table 2 Construction of Variables --- p.51 / Table 3 Dividend Payout Ratios of 83 Hong Kong Listed Firms from1992 to 1999 --- p.52 / Table 4 Earnings Growth Rate of 33 Hang Seng Index Constituents from 1996to 1999 --- p.54 / Table 5 Dividend Payout Ratio of 33 Hang Seng Index Constituents from 1996 to 1999 --- p.55 / Table 6 Regression Results for Raw Data --- p.55 / Table 7 Regression Results using Substantial Shareholders Concentration as Proxy for Agency Cost Hypothesis --- p.57 / Table 8 Summary of Regression Results --- p.58 / Charts / Chart 1 Dividend Payout Ratios of 83 Hong Kong Listed Firms from1992 to 1999 --- p.59 / Chart 2 Earnings Growth Rate of 33 Hang Seng Index Constituents from 1996 to 1999 --- p.60 / Chart 3 Dividend Payout Ratio of 33 Hang Seng Index Constituents from 1996 to 1999 --- p.60 / Appendices / Appendix 1 The Complete Dataset --- p.61 / Appendix 2 Definition of Variables in Different Sectors --- p.63 / Appendix 3 Non-Nested Tests --- p.54 / Table A3.1 Non-Nested Tests Results --- p.65 / Table A3.2 Non-Nested Test Statistics and Choice Criteria - Anti-signaling Hypothesis vs Agency Cost Hypothesis --- p.66 / Table A3.3 Non-Nested Test Statistics and Choice Criteria - Anti-signaling Hypothesis vs Residual Hypothesis --- p.67 / Table A3.4 Non-Nested Test Statistics and Choice Criteria 一 Anti-signaling Hypothesis vs Investment Opportunity Hypothesis --- p.68 / Table A3.5 Non-Nested Test Statistics and Choice Criteria ´ؤ Residual Hypothesis vs Agency Cost Hypothesis --- p.69 / Table A3.6 Non-Nested Test Statistics and Choice Criteria ´ؤ Agency Cost Hypothesis vs Investment Opportunity Hypothesis --- p.70 / Table A3.7 Non-Nested Test Statistics and Choice Criteria ´ؤ Residual Hypothesis vs Investment Opportunity Hypothesis --- p.71 / Table A3.8 Non-Nested Test Statistics and Choice Criteria ´ؤ Agency Cost Hypothesis vs Anti-signaling Hypothesis --- p.72 / Table A3.9 Non-Nested Test Statistics and Choice Criteria ´ؤ Agency Cost Hypothesis vs Residual Hypothesis --- p.73 / Table A3.10 Non-Nested Test Statistics and Choice Criteria ´ؤ Agency Cost Hypothesis vs Investment Opportunity Hypothesis --- p.74 / Table A3.11 Non-Nested Test Statistics and Choice Criteria 一 Technology Industry Phenomenon vs Anti-signaling Hypothesis --- p.75 / Bibliography --- p.76

Submitted by Matthew Bray (bray.mr@gmail.com) on 2017-03-04T02:01:12Z No. of bitstreams: 1 FGV Submission - M. Bray.pdf: 788865 bytes, checksum: 9d980792a0b71eccdcf65068d6377e99 (MD5) / Rejected by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br), reason: Dear Matthew, It's necessary correct some things in your thesis, please, do it and post again: • Withdraw the numbers of the pages before the introduction, but they need to be considered, example: if your thesis has 9 pages before the introduction, It must to starts with the page 10 there; • All the numbers of the pages must to be on the right superior side of the page; • On the page 4, in “data da aprovação” you need to put your presentation date: 02/02/2017; on 2017-03-06T11:57:14Z (GMT) / Submitted by Matthew Bray (bray.mr@gmail.com) on 2017-03-07T10:35:55Z No. of bitstreams: 1 FGV Submission - M. Bray.pdf: 782291 bytes, checksum: 232ced01ca9486e413cbb2ca2b6338da (MD5) / Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2017-03-07T11:06:52Z (GMT) No. of bitstreams: 1 FGV Submission - M. Bray.pdf: 782291 bytes, checksum: 232ced01ca9486e413cbb2ca2b6338da (MD5) / Made available in DSpace on 2017-03-07T19:01:13Z (GMT). No. of bitstreams: 1 FGV Submission - M. Bray.pdf: 782291 bytes, checksum: 232ced01ca9486e413cbb2ca2b6338da (MD5) Previous issue date: 2017-02-02 / Agency costs as a result of the separation of ownership and control within a firm can be a hurdle to the performance and profitability. It has been suggested that these costs can be reduced by the presence of a single large shareholder monitoring management and their decisions. On the contrary it has also been argued that a large shareholder negatively affects firm performance by deriving personal benefits from the firm and making suboptimal decisions. This research aims to investigate the relationship between the profitability of a firm and the level to which the shares of that firm are concentrated into a single shareholder. A random effects GLS panel regression is used to determine the effect of a large shareholder being present in Spanish and Portuguese firms by studying firms listed on these bourses over the period 2005 – 2014. The results show that a large shareholder has a negative influence in the Portuguese market, and no statistically significant effect in the Spanish market / Os custos de agência que resultam essencialmente da separação de poder e controlo de uma empresa, podem contribuir negativamente para a performance e rentabilidade desta. A literatura existente sugere que estes custos podem ser minimizados pela presença de um único grande accionista tendo em conta que pode monitorizar mais de perto os seus gestores e respectivas acções e decisões. Por outro lado, existem vários argumentos em estudos passados que defendem que um grande accionista pode afectar negativamente a performance de uma empresa, privilegiando a sua utilidade em detrimento de decisões que beneficiem a sociedade que controla. Este estudo tem por isso como objectivo investigar a relação entre a rentabilidade, lucro de uma empresa e proporção de acções que está concentrada num único accionista. Uma regressão de efeitos aleatórios de dados painel GLS é usada então para determinar o efeito da presença de grandes accionistas em empresas portuguesas e espanholas, listadas em bolsa no período 2005- 2014. Os resultados mostram que a presença de grandes accionistas tem um impacto negativo no mercado português, ao passo que não existe qualquer evidência significativa no caso espanhol.