Doctor of Philosophy / Department of Agricultural Economics / Ted Schroeder / Food recalls have been an issue of great concern in the food industry. Stakeholder responses to food safety scares can cause significant economic losses for food firms. Assessing the overall impact that may result from a food recall requires a thorough understanding of the costs incurred by firms. However, quantifying these costs is daunting if not impossible. A direct measurement of a firm’s total costs and losses of revenue associated with a food recall requires firm-level data that is not available. The method utilized in this study overcomes this severe limitation. Using an event study, the impact of meat and poultry recalls is quantified by analyzing price reactions in financial markets, where it is expected that stock prices would reflect the overall economic impact of a recall. A unique contribution of this study is evaluating whether recall and firm specific characteristics are economic drivers of the magnitude of impact of meat and poultry recalls on stock prices. Results indicate that on average shareholders’ wealth is reduced by 1.15% within 5 days after a firm is implicated in a recall involving serious food safety hazards. However, when recalls involve less severe hazards, stock markets do not react negatively. Also, reductions in company valuations return to pre-recall levels after day 20. Firm size, firm’s experience, media information and recall size are drivers of the economic impact of meat and poultry recalls. That is, firms recalling a larger amount of product perceive greater reductions in company valuations. Additionally, recalls issued by larger firms are less likely to present negative effects on stock prices, compared to smaller firms. Moreover, firms that have recently issued a recall are less harmed by a new recall compared to those firms issuing a recall for first time. Thus, suggesting that investors take into consideration the past performance of a company when dealing with food recalls. Furthermore, media information has a negative impact on shareholder’s wealth. Findings from this study provide essential information to the meat industry. In particular, understanding the likely impact of such “black swan” events is critical for firm’s investing in food safety technologies and protocols.

Thesis (MBA (Business Management))--University of Stellenbosch, 2010.

Thesis (MBA (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: This research report examines stock market reactions to sudden changes in investor mood. The motivation for the study is the large volume of psychology and finance research showing that investor mood is affected by various non-economic or economically-neutral phenomena. Previous research has provided strong evidence of a link between the outcome of international sporting results, particularly soccer, and investor mood. This report examines the impact of South Africa's national soccer, rugby and cricket teams' performances in international matches on returns on the Johannesburg Stock Exchange (JSE). Match results constitute a mood proxy variable hypothesised to affect stock returns through its influence on investor mood. The unconditional mean return on the JSE All Share index for a 13 ½ year period from September 1995 to February 2009 was compared to the mean return after wins, draws and losses by the national sport teams. An event study approach was followed and four different statistical tests were conducted in order to test for a relationship. The results of the tests indicate the existence of a moderate win effect, with mean returns after wins being statistically significantly higher for all sports combined, cricket and soccer. The report concludes that there is some evidence of a relationship between sporting success and stock returns. / AFRIKAANSE OPSOMMING: Hierdie navorsingsverslag ondersoek die reaksie van die aandelebeurs op skielike veranderings in beleggersentiment. Die motivering vir die studie is die aansienlike volume sielkundige en finansiële navorsing wat toon dat beleggersentiment beïnvloed word deur verskeie nie-ekonomiese of ekonomies-neutrale verskynsels. Vorige navorsing het sterk getuienis verskaf van 'n verband tussen die uitkoms van internasionale sportresultate, veral sokker, en beleggersentiment. Hierdie verslag ondersoek die impak van Suid Afrika se nasionale sokker-, rugby- en krieketspanne se prestasies in internasionale wedstryde op opbrengste op die Johannesburg Effektebeurs (JEB). Wedstryduitslae verteenwoordig 'n sentimentsveranderlike met die hipotese dat dit aandeeloprengste sal beïnvloed deur die uitslae se invloed op beleggersentiment. Die onvoorwaardelike gemiddelde oprengs op die JEB All Aandele-index vir 'n 13 ½ jaar periode van September 1995 to Februarie 2009 is vergelyk met die gemiddelde oprengs na oorwinings, nederlae en gelykopuitslae van die drie nasionale spanne. 'n Gebeurtenisstudie-benadering is gevolg en vier verskillende statistiese toetse is uitgevoer om te toets vir 'n verband. Die resultate van die toetse dui op die bestaan van 'n matige oorwiningseffek met gemiddelde oprengste na oorwinnings wat statisties wesenlik hoër is vir alle sportsoorte gekombineerd, krieket en sokker. Die verslag kom tot die gevolgtrekking dat daar wel getuienis is van 'n verband tussen sportsuksesse en aandeeloprengste.

Thesis (MComm)--Stellenbosch University, 2011. / ENGLISH ABSTRACT: This study investigates the extent to which educational attainment, school quality and numeric competency influence individuals’ employment and earnings prospects in the South African labour market using data from the 2008 National Income Dynamics Study (NIDS). While NIDS is one of the first datasets to contain concurrent information on individual labour market outcomes, educational attainment levels, numeric proficiency and the quality of schooling received in South Africa, it is also characterised by limited and selective response patterns on its school quality and numeracy measures. To account for any estimation biases that arise from the selective observation of these variables or from endogenous selection into labour force participation and employment, the labour market returns to human capital are estimated using the Heckman Maximum Likelihood (ML) approach. The Heckman ML estimates are then compared to Ordinary Least Squares (OLS) estimates obtained using various sub-samples and model specifications in order to distinguish between the effects that model specification, estimation sample, and estimation procedure have on estimates of the labour market returns to human capital in South Africa. The findings from the multivariate analysis suggest that labour market returns to educational attainment in South Africa are largely negligible prior to tertiary levels of attainment and that racial differentials in school quality may explain a significant component of the observed racial differentials in South African labour market earnings. Neither numeracy nor school quality appears to influence labour market outcomes or the convex structure of the labour market returns to educational attainment in South Africa significantly once sociodemographic factors and other human capital endowment differentials have been taken into account. Though the regression results vary substantially across model specifications and estimation samples, they are largely unaffected by attempts to correct for instances of endogenous selection using the Heckman ML procedure. These findings suggest that the scope for overcoming data deficiencies by using standard parametric estimation techniques may be limited when the extent of those deficiencies are severe and that some form of sensitivity analysis is warranted whenever data imperfections threaten to undermine the robustness of one’s results. / AFRIKAANSE OPSOMMING: Hierdie studie ondersoek in watter mate opvoedingspeil, skoolgehalte en numeriese vaardighede individue se werks- en verdienstevooruitsigte in die Suid-Afrikaanse arbeidsmark beïnvloed. Die studie gebruik data van die 2008 National Income Dynamics Study (NIDS). Alhoewel NIDS een van die eerste datastelle is wat inligting oor individuele arbeidsmarkuitkomste, opvoedingsvlakke, numeriese vaardighede sowel as skoolgehalte bevat, word dit ook gekenmerk deur beperkte en selektiewe responspatrone rakende skoolgehalte en die numeriese vaardigheidmaatstaf. Die arbeidsmarkopbrengs op menslike kapitaal word deur middel van die Heckman ‘Maximum Likelihood (ML)’-metode geskat om te kontroleer vir moontlike sydighede wat mag onstaan weens selektiewe waarneming van hierdie veranderlikes of as gevolg van endogene seleksie in arbeidsmarkdeelname of indiensneming. Die Heckman ML-skattings word dan vergelyk met gewone kleinste-kwadrate-skattings wat met behulp van verskeie modelspesifikasies en steekproewe beraam is, om sodoende te bepaal hoe verskillende spesifikasies, steekproewe en beramingstegnieke skattings van die arbeidsmarkopbrengste op menslike kapitaal in Suid-Afrika beïnvloed. Die meerveranderlike-analise dui daarop dat daar grotendeels onbeduidende arbeidsmarkopbrengste is op opvoeding in Suid-Afrika vir opvoedingsvlakke benede tersiêre vlak, en dat rasseverskille in skoolgehalte ’n beduidende deel van waargenome rasseverskille in arbeidsmarkverdienste mag verduidelik. Indien sosio-demografiese faktore en ander menslike kapitaalverskille in ag geneem word, beïnvloed syfervaardigheid en skoolgehalte nie arbeidsmarkuitkomstes en die konvekse struktuur van die arbeidsmarkopbrengste op opvoeding in Suid-Afrika beduidend verder nie. Terwyl die regressieresultate aansienlik tussen die verskillende modelspesifikasies en steekproewe verskil, word die resultate weinig geraak deur vir gevalle van endogene seleksie met behulp van die Heckman ML-metode te kontroleer. Hierdie bevindinge dui daarop dat daar net beperkte ruimte bestaan om ernstige dataleemtes met behulp van standaard parametriese beramingstegnieke te oorkom, en dat die een of ander vorm van sensitiwiteitsanalise benodig word wanneer datagebreke die betroubaarheid van die beraamde resultate nadelig kan raak.

This is a study in two parts. In part-1, I identify several methods of estimating long-run abnormal returns prevalent in the finance literature and present an alternative using propensity score matching. I first demonstrate the concept with a simple simulation using generated data. I then employ historical returns from CRSP and randomly select events from the dataset using various alternating criteria. I test the efficacy of different methods in terms of type-I and type-II errors in detecting abnormal returns over 12- 36- and 60- month periods. I use various forms of propensity score matching: 1--5 Nearest Neighbors in Caliper using distance defined alternatively by Propensity Scores and the Mahalanobis Metric, and Caliper Matching. I show that overall, Propensity Score Matching with two nearest neighbors provides much better performance than traditional methods, especially when the occurence of events is dictated by the presence of certain firm characteristics. In part-2, I demonstrate an application of Propensity Score Matching in the context of open-market share repurchase announcements. I show that traditional methods are ill-suited for the calculation of long-run abnormal returns following such events. Consequently, I am able to improve upon such methods on two fronts. First, I improve upon traditional matching methods by providing better matches on multiple dimensions and by being able to retain a larger sample of firms from the dataset. Second, I am able to eliminate much of the bias inherent in the Fama-French type methods for this particular application. I show this using simulations on samples based on firms that resemble a typical repurchasing firm. As a result, I obtain a statistically significant 1-, 3-, and 5- year abnormal return of about 2%, 5%, and 10% respectively, which is much lower than what prior literature has shown using traditional methods. Further investigation revealed that much of these returns are unique to small and unprofitable firms.

Traditionally, volume has provided the link between trading activity and returns. This study attempts to not only investigate the trading behavior of all aspects of investors by daily order imbalances, the better index than dollar volume, around firm-specific news releases, but also explore the relation between order imbalances and daily returns. This study contributes to the shot-run market reactions and trading behaviours from different three or five kinds of investors around seasoned equity offerings announcement in Taiwan. We have examined 306 SEOs listed on Taiwan stock exchanges from 1995 to 1998, and test five subsequent SEO-related signaling dates, such as the shareholders’ conventions date, the formal announcement date, the ex-right date and the listed date. Our findings indicated the anomalies on returns and order imbalance did exist with the publication of SEO news in Taiwan. The negative information effect is significant on the shareholders’ convention date. Further we find a strong relation between order imbalance from individuals and daily return in the five day window. We infer that individual investors are extreme sensitivity to any news released and that the majority of traders in TSE are comprised by individual can explain the phenomenon. Finally, we also find not only correlation among different type of traders but also that returns, cash per share and the interest rate influence trading decision deeply. / Traditionally, volume has provided the link between trading activity and returns. This study attempts to not only investigate the trading behavior of all aspects of investors by daily order imbalances, the better index than dollar volume, around firm-specific news releases, but also explore the relation between order imbalances and daily returns. This study contributes to the shot-run market reactions and trading behaviours from different three or five kinds of investors around seasoned equity offerings announcement in Taiwan. We have examined 306 SEOs listed on Taiwan stock exchanges from 1995 to 1998, and test five subsequent SEO-related signaling dates, such as the shareholders’ conventions date, the formal announcement date, the ex-right date and the listed date. Our findings indicated the anomalies on returns and order imbalance did exist with the publication of SEO news in Taiwan. The negative information effect is significant on the shareholders’ convention date. Further we find a strong relation between order imbalance from individuals and daily return in the five day window. We infer that individual investors are extreme sensitivity to any news released and that the majority of traders in TSE are comprised by individual can explain the phenomenon. Finally, we also find not only correlation among different type of traders but also that returns, cash per share and the interest rate influence trading decision deeply.

In this dissertation, I investigate whether corporate governance affects the negative association between investment and future excess returns. Shareholders are concerned with the effectiveness of the firm's governance regime as a tool to reduce agency costs. In the absence of strong control over firm assets, managers may choose to invest in value-decreasing projects. The probability that managers select value-decreasing projects is an increasing (decreasing) function in investment activity (governance regime). At the time of investment, the capital market prices expected returns to the investment activity conditioned on the governance regime in place. This study examines future risk-adjusted returns to investment activities conditioned on low and high governance regimes. If the market correctly prices the governance environment and the expected returns to expenditures at time t, there should be no future risk-adjusted returns to either governance or expenditure information. I find that for firms with low external monitoring, and separately, for firms with high shareholder rights, lower (higher) investment activity results in positive (negative) future risk-adjusted returns. Implementing a trading strategy which holds low investment firms and shorts high investment firms results in 7.1% and 5.6% annual risk-adjusted returns when conditioned on low institutional holdings and high shareholder right, respectively. This study also provides preliminary evidence that outside blockholder and activist ownership is effective in mitigating the negative association between investment activity and future excess returns through the shareholder rights mechanism. Finally, I provide evidence that the diversification discount associated with multi-segment firms is generally invariant to investment activity levels.

<p>In Chapter 1, I review the existing literature on the investor and contracting usefulness of other comprehensive income (OCI) components. In Chapter 2, I perform empirical tests focused on one aspect of investor usefulness of accounting information: risk-relevance. I examine whether OCI component volatilities are associated with investors' returns volatility using a sample of bank holding companies from 1998 to 2012. The results indicate that the volatilities of unrealized gains and losses on available-for-sale (AFS) securities and cash-flow hedges, typically deemed beyond managers' control, are negatively associated with risk, while volatilities of OTTI losses, over which managers have relatively more control, are positively associated with risk. The results are consistent with investors perceiving the volatility of non-OTTI AFS unrealized gains and losses as relatively less important, less risky, or less risk-relevant, than the volatility of OTTI losses, and perceiving the volatility of OTTI losses as an informative signal about risk. In Chapter 3, I find that Tier 1 Capital including more components of accumulated other comprehensive income (AOCI), as stipulated by Basel III, is no more volatile than pre-Basel-III Tier 1 Capital, and that the volatilities of the AOCI components new to Tier 1 Capital are not positively associated with risk. In Chapter 4, I discuss future research.</p> / Dissertation

The day-of-the-week effect is a market anomaly that manifests as the cyclical behaviour of traders in the market. This market anomaly was first observed by M.F.M. Osborne (1959). The literature distinguishes between two types of cyclical effects in the market: the cyclical pattern of mean returns and the cyclical pattern of volatility in returns. This dissertation studies and reports on cyclical patterns in the South African market, seeking evidence of the existence of the day-of-the-week effect. In addition, the dissertation aims to investigate the implications of such an effect on hedge fund managers in South Africa. The phenomenon of cyclical volatility and mean returns patterns (day-of-the-week effect) in the South African All-share index returns are investigated by making use of four generalised heteroskedastic conditional autoregressive (GARCH) models. These were based on Nelson's (1991) Exponential GARCH (EGARCH) models. In order to account for the risk taken by investors in the market Engle et al's, (1987) 'in-Mean' (risk factor) effects were also incorporated into the model. To avoid the dummy variable trap, two different approaches were tested for viability in testing for the day-of- the-week effect. In the first approach, one day is omitted from the equation so as to avoid multi-colinearity in the model. The second approach allows for the restriction of the daily dummy variables where all the parameters of the daily dummy variables adds up to zero. This dissertation found evidence of a mean returns effect and a volatility effect (day-of-the- week effect) in South Africa's All-share index returns data (where Wednesdays have been omitted from the GARCH equations). This holds significant implications for hedge fund managers. as hedge funds are very sensitive to volatility patterns in the market, because of their leveraged trading activities. As a result of adverse price movements, hedge fund managers employ strict risk management processes and constantly rebalance their portfolios according to a mandate, to avoid incurring losses. This rebalancing typically involves the simultaneous opening of new positions and closing out of existing positions. Hedge fund managers run the risk of incurring losses should they rebalance their portfolios on days on which the volatility in market returns is high. This study proves the existence of the day-of-the-week effect in the South African market. These results are further confirmed by the evidence of the trading volumes of the JSE's All-share index data for the period of the study. The mean returns effect (high mean returns) and low volatility found on Thursdays, coincide with the evidence that trading volumes on the JSE on Thursdays are the highest of all the days of the week. The volatility effect on Fridays, (high volatility in returns) is similarly correlated with the evidence of the trading volumes found in the JSE's All-share index data for the period of the study. Accordingly. hedge fund managers would be advised to avoid rebalancing their portfolios on Fridays, which show evidence of high volatility patterns. Hedge fund managers are advised to rather rebalance their portfolios on Thursdays, which show evidence of high mean returns patterns, low volatility patterns and high liquidity. / Thesis (M.Com. (Risk Management))--North-West University, Potchefstroom Campus, 2006.

This thesis addresses asset pricing in Chinese A-share stock markets using a dataset consisting of all shares listed in Shanghai and Shenzhen stock exchanges from January 1997 to December 2007. The empirical work is carried out based on two theoretical foundations: the efficient market hypothesis and behavioural finance. It examines and compares the validity of two traditional asset pricing models and two behavioural asset pricing models. The investigation is initially performed within a traditional asset pricing framework. The three-factor Fama-French model is estimated and then augmented by additional macroeconomic and bond market variables. The results suggest that these traditional asset pricing models fail to explain fully the time-variation of stock returns in Chinese stock markets, leaving non-normally distributed and heteroskedastic residuals, calling for further explanatory variables and suggesting the existence of a structure break. Indeed, the macroeconomic and bond market factors provide little help to the asset pricing model. Using the Fama-French model as the benchmark, further research is done by investigating investor sentiment as the third dimension beside returns and risks. Investor sentiment helps explain the mis-pricing component of returns in the Fama-French model and the time-variation in the factors themselves. Incorporating investor sentiment into the asset pricing model improves the model performance, lessening the importance of the Fama-French factors, and suggesting that in China, sentiment affects both the way in which investors judge risks as well as portfolio returns directly. The sentiment effect on asset pricing is also examined under a nonlinear Markov-switching framework. The stochastic regime-dependent model reveals that stock returns in China are driven by fundamental factors in bear and low volatility markets but are prone to sentiment and become uncoupled from fundamental risks in bull and high volatility markets.