This dissertation investigates the limitations on the emergence of the Angolan stock market. It also examines the strategies developed by sub-Saharan African stock exchanges when facing similar issues. It uses information obtained from participants to recommend actions to be taken by the Angolan government and institutions related to capital markets. The analysis shows that some prerequisites must be prepared to establish any equity market and enhance the continued development of capital markets. Determinants of capital markets show that macroeconomic and institutional approaches are critical tools for stock market development. Results of this study tell us that stock markets do not follow a linear path. No such formula exists to apply to have the same results as other geographies because market characteristics are different. However, some conditions must be conceived to host the stock market. Additionally, the collaboration of the government, regulators, policymakers, and other stakeholders has been crucial for developing capital markets.

Researchers have over-concentrated on the relationship between bank stock returns and interest rate changes without paying much attention to the impact of interest rates on non-bank financial institutions, in particular the insurance and real estate industries. This research attempts to examine the sensitivity and importance of interest rates and stock market price behaviour on non-bank financial institutions across three countries: the United States, the United Kingdom and Australia. The results provide a different perspective on the relationship non-bank financial institutions have with the fixed income and equity markets, and sheds new light on their long-run interaction. For the insurance market, interest rate movements seem to be just as important as the stock market in explaining the variation of insurance portfolio returns in the United States. However, there is only a weak relationship between interest rate changes and insurance portfolio returns in the United Kingdom and Australia. The liquidity problem in the United Kingdom and small sample size issues in Australia may have influenced the final results. In addition, size and profitability of the insurance companies do influence the significance of interest rate coefficients. This suggests that the financial makeup of a firm can modify or influence the sensitivity of stock returns towards interest rate changes. For the securitised property market, once structural breaks are accounted for, the results show that securitised property is driven by both interest rate and stock market changes, regardless of the type of financial institutions being examined. Evidence also points to companies with different leverage ratios and companies that are tax-exempt entities are still all influenced by both the equity and fixed income markets over the long-run period, although the influence these factors have does vary across time. A major contribution of this study clearly points to the relative weightings that portfolio managers may now consider to be appropriate with regard to their holdings of bonds, equities and non-bank financial institutions in their portfolios for both their tactical and strategic asset allocations. For example, it may not be a wise decision to invest significant amounts of capital in both securitised properties and fixed income securities given that both instruments are co-integrated in the long-run. Although this research was primarily conducted prior to the current economic situation, some of the major conclusions from this research are particularly relevant today. Moreover, with better understanding of the sensitivity among security prices and various financial risk factors, financial managers are able to manage and control their companies’ risk exposure towards interest rate risk and stock market conditions more effectively and efficiently. / http://proxy.library.adelaide.edu.au/login?url= http://library.adelaide.edu.au/cgi-bin/Pwebrecon.cgi?BBID=1371959 / Thesis (Ph.D.) - University of Adelaide, Business School, 2009

This analyses the impact of unexpected changes in monetary policy on the South African equity market over the period 2005 -2018. In an attempt to understand this relationship, two main views have emerged. The wealth effect suggests that monetary policy changes have an indirect effect on the stock market, via changes in the value of private portfolios. On the other hand, it has been argued that the stock market is an independent source of macroeconomic volatility to which policy makers may wish to consider. This paper applies an event study approach to examine the stock market reaction to monetary policy. Furthermore, to understand the economic sources underpinning that reaction a Vector autoregressive model is estimated. The results suggest that on average, a surprise rate hike of 100 basis points causes short term JSE All Share index total returns to decline by 2.71%. We also find that the stock market reacts positively (negatively) to expansionary (contractionary) unexpected monetary policy actions due to revised market expectations about future dividends, excess premiums and the discount rate. The findings are crucial for central bank policy makers and JSE stock market investors.

[pt] Um dos fatos estilizados mais pronunciados acerca das distribuições de retornos financeiros diz respeito à presença de caudas pesadas. Isso torna os modelos paramétricos tradicionais de cálculo de Valor em Risco (VaR) inadequados para a estimação de VaR de baixas probabilidades (1% ou menos), dado que estes se baseiam na hipótese de normalidade para as distribuições dos retornos. Tais modelos não são capazes de inferir sobre as reais possibilidades de ocorrência de retornos atípicos. Sendo assim, o objetivo do presente trabalho é investigar o desempenho de modelos baseados na Teoria dos Valores Extremos para o cálculo de VaR, comparando-os com modelos tradicionais. Um modelo incondicional, proposto a caracterizar o comportamento de longo prazo da série, e um modelo condicional, sugerido por McNeil e Frey(1999), proposto a caracterizar a dependência presente na variância condicional dos retornos foram utilizados e testados em quatro séries de retornos de ações representativas do mercado brasileiro: retornos de Ibovespa, retornos de Ibovespa Futuro, retornos das ações da Telesp e retornos das ações da Petrobrás. Os resultados indicam que os modelos baseados na Teoria dos Valores Extremos são mais adequados para a modelagem das caudas, e conseqüentemente para a estimação de Valor em Risco quando os níveis de probabilidade de interesse são baixos. Além disso, o modelo condicional é mais adequado em épocas de crise, pois, ao contrário do modelo incondicional, tem a capacidade de responder rapidamente a mudanças na volatilidade. Medidas alternativas de risco, como a perda média e a perda mediana também foram propostas, a fim de fornecer estimativas para as perdas no caso do VaR ser violado. / [en] The existence of fat tails is one of the striking stylized facts of financial returns distributions. This fact makes the use of traditional parametric models for Value at Risk (VaR) estimation unsuitable for the estimation of low probability events (1% or less). This is because traditional models are based on the conditional normality assumption for financial returns distributions, making them unsuitable to predict the actual probabilities of occurrence of atypical returns. The main purpose of this dissertation is to investigate the performance of VaR models based on Extreme Value Theory (EVT), and to compare them to some traditional models. Two classes of models are investigated. The first class is based in an unconditional model, which characterizes the long-term behavior of the time series of returns. The other class of models is a conditional one, which incorporates the short- term behavior of the return series, characterized by the strong dependency observed on the conditional variance of the returns.Both models were applied to four representative time series of the Brazilian stock market: The Bovespa Index, Future of Bovespa Index, Telesp stocks and Petrobrás stocks. The results indicates that EVT based models are suitable for low probability VaR estimation. Besides that, its possible to conclude that the conditional model is more appropriate for crisis periods, because of its capacity to quickly respond to volatility changes. Alternative risk measures are also used, to give estimates of the losses magnitudes in the case of VaR violation.

De acordo com a teoria de equity market timing, as companhias tendem a emitir ações ou dívidas de modo a explorar janelas de oportunidade e esse comportamento é um determinante significativo da estrutura de capital das empresas, reflexo das decisões de financiamento. Com base nessa assertiva e nas evidências recentes, esta dissertação investiga a ocorrência de equity market timing na decisão de emissão primária de ações (IPO e Follow-on) no mercado de capitais brasileiro. Em um primeiro momento, analisaram-se os determinantes da estrutura de capital das companhias brasileiras, com base em variáveis comuns na literatura: índice market-to-book, tamanho, tangibilidade, rentabilidade e setor. Mais tarde, para averiguar a existência do comportamento de market timing na decisão de emitir ações, utilizou-se a relação dos retornos anormais, antes e após a emissão, com o volume total de capital levantado por meio da oferta desses títulos, além da quantidade de ações que a empresa emitiu e o preço inicial de negociação, medidas relativas utilizadas por Alti (2006). A amostra analisada leva em conta características setoriais e compreende 123 empresas de capital aberto que emitiram novas ações na BM&FBOVESPA entre 2004 e 2015, somando 165 emissões primárias durante esse período. Foram utilizadas análises descritivas de dados, testes de diferença de médias e regressões lineares para prover evidências da ocorrência desse fenômeno. Os resultados indicam que mais da metade das emissões de ações no Brasil ocorre nos meses que antecedem o prazo máximo de divulgação dos demonstrativos contábeis das empresas, e que 75% das emissões aconteceram depois de retornos anormais positivos. Ademais, as empresas que tiveram retornos anormais negativos depois da emissão de ações foram as que captaram mais recursos por essa via de financiamento, indo a favor da prática de equity market timing na decisão de emissão de ações no mercado brasileiro. Destaca-se, ainda, a constatação de que esse comportamento oportunista está mais claramente ligado à oferta inicial de ações (IPO), ou seja, quando a empresa utiliza essa fonte de financiamento pela primeira vez do que quando a emissão é subsequente (Follow-on), além das evidências de que o setor tem papel importante no comportamento de market timing dos gestores, indicando que as empresas de um mesmo ramo setorial tomam decisões semelhantes com a finalidade de explorar janelas de oportunidades possivelmente relacionadas aos seus respectivos setores. / According to the equity market timing theory, companies tend to issue stocks or debts in order to explore windows of opportunity, and this behavior is a significant determinant of the capital structure of companies, which reflects from financing decisions. Based on this assertion and on recent evidence, this dissertation investigates the occurrence of equity market timing in the decision of primary issuance of shares (IPO and Follow-on) in the Brazilian capital market. First, determinants of the capital structure of Brazilian companies were analyzed, based on common variables in the literature: market-to-book ratio, size, tangibility, profitability and industry. Later, in order to determine the occurrence of market timing behavior in the decision to issue shares, it was investigated the relation of abnormal returns - both before and after the issue - with the total volume of capital raised through securities\' offers and also the quantity of shares issued by the company and the initial trading price, relative measures used by Alti (2006). The analyzed sample takes into account industrial characteristics and comprises 123 public companies that issued new shares on BM&FBOVESPA between 2004 and 2015, resulting in to 165 primary issues during this period. Descriptive data analyzes, mean difference tests and linear regressions were used to provide evidence of the occurrence of this phenomenon. The results indicate that more than half of Brazil\'s equity issues occur in the months leading up to the maximum disclosure period of the companies\' financial statements, and that 75% of the issues occurred after abnormal positive returns. In addition, the companies that had negative abnormal returns after the issuance of shares were the ones that captured more resources through this financing channel, favoring the practice of equity market timing in the decision to issue shares in the Brazilian market. It should also be pointed out that this opportunistic behavior is more clearly linked to the initial public offering (IPO), that is, when the company uses this source of financing for the first time than when the issue is secondary (Follow- on). Also, there is evidence that the industry plays an important role in the manager\'s market timing behavior, indicating that the companies belonging to a same industry make similar decisions with the purpose of exploring windows of opportunities that possibly related to their respective industries.

De acordo com a teoria de equity market timing, as companhias tendem a emitir ações ou dívidas de modo a explorar janelas de oportunidade e esse comportamento é um determinante significativo da estrutura de capital das empresas, reflexo das decisões de financiamento. Com base nessa assertiva e nas evidências recentes, esta dissertação investiga a ocorrência de equity market timing na decisão de emissão primária de ações (IPO e Follow-on) no mercado de capitais brasileiro. Em um primeiro momento, analisaram-se os determinantes da estrutura de capital das companhias brasileiras, com base em variáveis comuns na literatura: índice market-to-book, tamanho, tangibilidade, rentabilidade e setor. Mais tarde, para averiguar a existência do comportamento de market timing na decisão de emitir ações, utilizou-se a relação dos retornos anormais, antes e após a emissão, com o volume total de capital levantado por meio da oferta desses títulos, além da quantidade de ações que a empresa emitiu e o preço inicial de negociação, medidas relativas utilizadas por Alti (2006). A amostra analisada leva em conta características setoriais e compreende 123 empresas de capital aberto que emitiram novas ações na BM&FBOVESPA entre 2004 e 2015, somando 165 emissões primárias durante esse período. Foram utilizadas análises descritivas de dados, testes de diferença de médias e regressões lineares para prover evidências da ocorrência desse fenômeno. Os resultados indicam que mais da metade das emissões de ações no Brasil ocorre nos meses que antecedem o prazo máximo de divulgação dos demonstrativos contábeis das empresas, e que 75% das emissões aconteceram depois de retornos anormais positivos. Ademais, as empresas que tiveram retornos anormais negativos depois da emissão de ações foram as que captaram mais recursos por essa via de financiamento, indo a favor da prática de equity market timing na decisão de emissão de ações no mercado brasileiro. Destaca-se, ainda, a constatação de que esse comportamento oportunista está mais claramente ligado à oferta inicial de ações (IPO), ou seja, quando a empresa utiliza essa fonte de financiamento pela primeira vez do que quando a emissão é subsequente (Follow-on), além das evidências de que o setor tem papel importante no comportamento de market timing dos gestores, indicando que as empresas de um mesmo ramo setorial tomam decisões semelhantes com a finalidade de explorar janelas de oportunidades possivelmente relacionadas aos seus respectivos setores. / According to the equity market timing theory, companies tend to issue stocks or debts in order to explore windows of opportunity, and this behavior is a significant determinant of the capital structure of companies, which reflects from financing decisions. Based on this assertion and on recent evidence, this dissertation investigates the occurrence of equity market timing in the decision of primary issuance of shares (IPO and Follow-on) in the Brazilian capital market. First, determinants of the capital structure of Brazilian companies were analyzed, based on common variables in the literature: market-to-book ratio, size, tangibility, profitability and industry. Later, in order to determine the occurrence of market timing behavior in the decision to issue shares, it was investigated the relation of abnormal returns - both before and after the issue - with the total volume of capital raised through securities\' offers and also the quantity of shares issued by the company and the initial trading price, relative measures used by Alti (2006). The analyzed sample takes into account industrial characteristics and comprises 123 public companies that issued new shares on BM&FBOVESPA between 2004 and 2015, resulting in to 165 primary issues during this period. Descriptive data analyzes, mean difference tests and linear regressions were used to provide evidence of the occurrence of this phenomenon. The results indicate that more than half of Brazil\'s equity issues occur in the months leading up to the maximum disclosure period of the companies\' financial statements, and that 75% of the issues occurred after abnormal positive returns. In addition, the companies that had negative abnormal returns after the issuance of shares were the ones that captured more resources through this financing channel, favoring the practice of equity market timing in the decision to issue shares in the Brazilian market. It should also be pointed out that this opportunistic behavior is more clearly linked to the initial public offering (IPO), that is, when the company uses this source of financing for the first time than when the issue is secondary (Follow- on). Also, there is evidence that the industry plays an important role in the manager\'s market timing behavior, indicating that the companies belonging to a same industry make similar decisions with the purpose of exploring windows of opportunities that possibly related to their respective industries.

Made available in DSpace on 2016-03-15T19:31:05Z (GMT). No. of bitstreams: 1 Eduardo Alexandre Mendes.pdf: 1448919 bytes, checksum: 4f0c6c969d447331f42471938bb8bfc0 (MD5) Previous issue date: 2014-11-21 / This study contributes to confirmatory evidence of asymmetric information to explain the equity issuesdecisionsat hot periods, as predict a time-varying adverse selection version ofthe equity market timing theory. Through testing with data from US companies for the period 1988-2012, it was found that the companies held their IPOs in hotperiods (hot market) showed a higher degree of information asymmetry compared to companies that issues in hot periods (cold market). For companies that have made seasoned primary issues in hot periods, the information asymmetry was lower compared to those companies that issued in hot periods. The information asymmetry was measured by quantitative variables of market microstructure and subsequently grouped into two factors, and only one of the factors was significant in the tests. It was also noted the influence of information asymmetry in the amount of equity issues and in financial leverage throughstatic and dynamic panel data regressions in all sub-periods (1988-1999 and 2000-2012) analyzed. The information asymmetry exerts inversely proportional influence on the volume of annual equity issues for considering companies. In the case of leverage, inversely proportional influence was noted. / O presente trabalho contribui com indícios confirmatórios da assimetria informacional para explicação da decisão de emitir ações das empresas em momentos considerados oportunos, como prediz a versão da variação temporal da seleção adversa da teoria do equity maket timing. Por meio de testes com dados de empresas norte-americanas referentes ao período de 1988 a 2012, foi possível constatar que as empresas que realizaram suas ofertas públicas iniciais em momentos aquecidos (hot market) apresentaram maior grau de assimetria informacional em comparação a empresas que o fizeram em momentos desaquecidos (cold market). Para empresas que fizeram emissões públicas subsequentes em momentos aquecidos, a assimetria informacional se mostrou mais baixa em comparação àquelas empresas que emitiram em períodos desaquecidos. A assimetria informacional foi medida por meio de variáveis quantitativas de microestrutura de mercado e posteriormente agrupada em dois fatores, sendo que apenas um dos fatores se mostrou significante nos testes realizados. Também foi constatado a influência da assimetria informacional nas emissões anuais de capital próprio e no endividamento contábil através de regressões com dados em painel estático e dinâmico das empresas em todos os subperíodos (1988 a 1999 e 2000 a 2012) analisados. A assimetria informacional exerce influência inversamente proporcional no volume de emissões anuais das empresas estudadas. Com relação a questão do endividamento financeiro, constatou-se influência inversamente proporcional.

Thesis (MDF (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: This paper gives an insight of the uniqueness of the South African Private Equity Industry and the underlying reasons for that. It also highlights the differences between the South African Private Equity Industry and both the African Private Equity Industry as well as the Global Private Equity Industry. It highlights challenges that all three industries are facing, both as a result of the global financial meltdown, the resulting global economic recession, and otherwise. Additionally, the paper highlights challenges and trends that are unique to South Africa. Further, it discusses views of industry experts and academics through proposals aimed at addressing these challenges and the roles of industry stakeholders. The discussions around the trends are mainly to highlight certain characteristics about the industry, globally, in Africa and in South Africa. The evidence provided in this paper, shows that the South African Private Equity Industry, owing mainly to regulatory and legislative causes, has proven to be much more resilient than the Global Private Equity Market; as such, it is still able to operate and do business. This finding is not only applicable to the Private Equity industry, but cuts across the financial services industry as a whole. The evidence provided also shows that the one solution that cuts across most of the challenges that the South African Private Equity industry is facing, is educating the stakeholders about the industry and doing a much better job at marketing the industry to them.

Existe uma extensa literatura teórica e empírica que procura determinar quais são os fatores que determinam a estrutura de capital das empresas, no entanto pouco se concluiu a respeito dessas teorias. Buscando identificar quais são os fatores que a literatura aponta como determinantes para as decisões de financiamento das firmas, nota-se uma escassez de estudos internacionais e nacionais que tratam a liquidez no mercado de ações como um fator significante nas decisões da estrutura de capital das empresas. Neste sentindo este trabalho tem como objetivo principal investigar a relação entre liquidez no mercado de ações e estrutura de capital das empresas brasileiras de capital aberto. Os dados foram coletados por meio do sistema Economática, aplicado a um conjunto de 587 firmas não financeiras durante o período de 1998 a 2009. A técnica estatística utilizada neste estudo foi a metodologia do modelo de dados em painel, devido a necessidade de se combinar características de séries temporais com dados em corte transversal. O estudo considera uma regressão em que as medidas representativas da estrutura de capital são índices de endividamento da firma e atuam como variável dependente, e as variáveis de controle são representativas das características específicas das empresas, já para liquidez no mercado de ações, foram utilizadas três medidas diferentes. Como resultado principal percebe-se que a liquidez das ações é significativa para a política de endividamento das firmas. Os resultados da análise obtidos mostraram que empresas com maior liquidez de ação apresentam maior nível de endividamento em longo prazo. / There is an extensive theoretical and empirical literature that seeks to determine what are the factors that determine the capital structure of companies. However little concluded about these theories. Seeking to identify what are the factors that the literature points as determinants to the financing decisions of firms, furthermore liquidity is notably absent in international and national empirical studies about capital structure. Accordingly, the aim of this paper is to examine the relationship between equity market liquidity and and capital structure of Brazilian publicly traded companies. We collected the data using the system Economática, using a sample of 587 Brazilian firms from 1998 - 2009. The statistical technique used in this study was the methodology of panel data model. The proxies of capital structure are levels of leverage and are used as dependent variables in the model, and control variables are representative of the specific characteristics of firms, to liquidity there were four different measures. As main result, it was found that equity liquidity is significant for the debt policy of firms. The analysis results showed that firms with more liquid equity have greater leverage.

This thesis aims to examine whether a merger arbitrage strategy is able to generate market neutral alpha in the Nordic region. Similar studies of merger arbitrage strategies in both the US and Australian market find market neutral alpha. To investigate the viability of such a strategy, we developed a “Merger arbitrage portfolio” which invests in 55 deals during 2003-2017 in the Nordic equity capital market. Our findings provide strong support that a merger arbitrage strategy is market neutral, even in times of financial turmoil. An excess return is recorded, however, when estimating the portfolio with the Market Model we find no statistically significant alpha. The results are affected by large outliers. We conclude that our version of the merger arbitrage strategy is not an optimal investment in terms of its Sharpe Ratio, compared to an index using a similar strategy and the stock market.