The objective of this study is to analyse the impact of the change in the definition of bank capital according to Basel 3. The 2008 financial crisis exposed the flaws in the global regulatory and supervision framework and also showed that Basel 2 could not fully protect against bank failures. In order to address the gaps, loopholes and deficiencies of Basel 2 and to guard against any future crises, the Basel 3 accord was implemented in 2013. The key change introduced by Basel 3 is the requirement that banks hold more capital. However, the Basel 3 accord also changed the definition of bank capital and the definition of risk-weighted assets (RWAs). In comparing Basel 2 with Basel 3, several changes in the definition of capital appear. It is therefore important to analyse the impact of the capital definition change introduced in Basel 3 excluding the changes in the definition of RWAs. The study used a sample of the fifty largest commercial and investment banks by asset size from the USA and the Europe region. The study calculated the Basel 2 Tier 1 capital ratio and Basel 3 Tier 1 capital ratio at the same point in time by only changing the reported capital under Basel 2 and Basel 3 but keeping the RWAs the same at Basel 2 level. This is to isolate the capital definition change and exclude changes to the RWAs definition. The change in the regulatory Tier 1 capital ratio is the estimated impact of the change in the definition of bank capital according to Basel 3. The data sample shows that the banks in the Europe region are larger in size than the USA banks on average. The results show that the change in the Basel 3 capital definition had a positive impact on the European banks' capital ratios and in contrast there was a negative impact on the USA banks' capital ratios. The limitations of the study include the use of a small sample size of fifty banks, the omission of Asian banks from the sample size even though these include some of the largest banks in the world, and the selection of banks with December year ends only. This study contributes to the literature because it is the first study to examine the capital definition change in Basel 3.

Includes abstract. / Includes bibliographical references (leaves 105-108). / This study presents research on credit risk assessment in emerging market countries with particular emphasis on the Kenyan and Nigerian markets. Using prior emerging market research, information from credit rating agencies and information gained from a country visit, a revised methodology is devised. Using this methodology, the individual banks scores are in line with the expectations of how they would rank relative to each other in terms of qualitative and quantitative factors.

There is a growing interest in renewable energy generation projects due to environmental and sustainability concerns. However, initial costs and uncertainties caused by a number of factors can render renewable energy projects unattractive when subject to conventional financial assessment. The overall benefits of renewable energy technologies are often not well understood and consequently are often evaluated to be less effective than traditional technologies. From the moment that the energy sector abroad started a deregulation process, with a high level of competitiveness and associated increased market uncertainty, traditional evaluation techniques became insufficient to properly deal with these additional risk and uncertainty factors. Consequently, the way investors evaluate their investments require more sophisticated evaluation techniques. Initial research suggests that the value of renewable energy projects can be enhanced by the application of real options theory. In addition to revealing the benefits that renewable energy projects provide when employing real options, analytical results indicate that real option analysis is a highly effective means of quantifying how policy planning uncertainty, including managerial flexibility, influences renewable energy development. However, real option literature regarding renewable energy generation projects is limited and the theory requires further development to take advantage of more flexibility value within renewable energy projects. Literature is particularly limited in terms of small businesses and individual homeowners and worthy of analysis. This study attempts to address this issue. This study shows that real option analysis is useful, in the face of numerous uncertainties, in assisting South African homeowners and small businesses in the six largest metros and Eskom when considering an investment in a solar PV system. Within these six metros and Eskom three different tariff structures are offered, some of which encourage such investments while others don’t, thus forcing the latter to purchase expensive battery systems and consequently making the investment somewhat ineffective. Investments in solar PV systems are relatively costly and so, before committing, one needs to be certain that the system will be cost effective. In this study, it is shown that there is strong evidence that real option analysis is, not only useful in determining whether such an investment is cost effective, but also in assisting with the timing of such investments. This could be crucial for success. The findings of this study have theoretical implications in terms of the efficiency of real option analysis in the South African energy sector, and thus provide a contribution to real option literature in this sector. They also have practical insights for investors, both homeowners and small businesses in the South African context, who are looking to invest in a solar PV system. The study starts with an introduction and background to energy generation and then presents a literature review concentrating on the use of real options as an appropriate valuation method for renewables. Thereafter, the hypothesis is stated and the data sample and research methodology discussed. One of the limitations of this study was the unreliable data and the difficulty finding it, which could give rise to self-selection bias. Finally, the results and a brief analysis are presented and then, in conclusion, there is a discussion on the limitations of the study and suggestions for further research.

Forecasting nonperforming loans (NPLs) is a primary objective for credit providers. NPL forecasts assist in financial budgeting and provisioning for bad debts. The difficulty in accurately identifying the determinants of domestic NPLs has led to a review of time series forecasting techniques. This dissertation explores whether a forecasting model combining a traditional time series approach with a Fourier series residual modification technique performs well in projecting NPLs. It also seeks to establish if selecting an adequate time series model before modifying its residual terms is of benefit. Using the data of an unsecured consumer credit provider in South Africa, the in-sample and out-of-sample performance for a seasonal time series model and residual modified model were evaluated. The results demonstrate that a time series model performs well but the out-of-sample forecasting errors may be reduced by including the lowest Fourier frequencies to modify the residual terms.

Includes bibliographical references. / My research looks into Mergers and Acquisitions (M&A) and examines crossborder mergers and acquisitions (CBMAs) as an important channel for investments in the emerging markets via Foreign Direct Investments (FDIs) over the last two decades. Compared to previous M&A transactions, mostly from developed countries, multinational companies from emerging markets have played an increasingly important role in concluding these multi-million dollar deals. Previously small and domestic companies were developed into multinational enterprises (MNEs) in order to access international markets and to enable them to compete globally. This research looks into those valuable characteristics of CBMAs and tries to establish whether they create market value for the acquiring companies originating from the emerging markets. Statistical and financial data has been gathered about a number of CBMAs concluded by MNEs, especially from the emerging markets. This data covers period the 1990 to the beginning of 2013.

Includes bibliographical references. / This study investigates predictability in financial markets, specifically the South African financial market, proxied by the Johannesburg Stock Exchange (JSE) All Share Index (ALSI). It provides scientific evidence of past research of turning points in markets, focusing on bull markets as evidence suggests that predictability of bull markets leads to superior returns for an asset manager. In addition, this study provides an analysis of macroeconomic variables that can be used for predictability in the South Africa financial market. We found that certain macroeconomic variables do contain an element of predictability with the yield spread and short term interest rates being the best indicators. In addition we found that predicting the Bull Run in its earliest phase provides superior returns to an asset manager.

Includes bibliographica references (leaves 107-114). / The aim of this research was to establish whether corporate social responsibility (CSR) affects a company's image by researching stakeholders' views on the CSR of an unlisted company operating in South Africa. Stakeholders of the organisation were identified and questionnaires were sent to Board members, management, employees, suppliers and customers. The results of the questionnaires were analysed to establish stakeholders' views of CSR and the implications thereof. The research provided insights into stakeholders' views on CSR and highlighted the significance of CSR to companies

Includes bibliographical references (leaves 86-87). / This study investigates the seasonality in agricultural commodity futures prices. Futures prices are modelled using the model developed by Sørensen (2002). The model defines the commodity spot price as the sum of a nonstationary state variable, a stationary state variable and a deterministic seasonal component. Standard no-arbitrage arguments are applied in order to derive futures and option prices. Model parameters are estimated using Kalman filter methodology and maximum likelihood estimation. Model parameters are estimated for white maize, yellow maize and wheat futures traded on the South African Futures Exchange (SAFEX). Furthermore, this research considers other models for commodity derivatives as well as pricing futures contracts in the presence of price limits.

Includes bibliographical references. / This dissertation examines overconfidence in an investing environment to determine if there is evidence of the phenomenon amongst a sample of academics at participating universities. A survey was sent out to over 6 000 staff members at four South African universities assessing respondents’ ability to estimate their return earned in unit trusts in which they were invested, as well as assessing whether they would adjust their estimate when presented with an anchor (the relevant JSE All Share Index return). 466 completed responses were obtained, of which 81 respondents indicated that they were invested directly in a South African equity unit trust to allow for statistical testing. The data obtained were analysed for evidence of overconfidence and anchoring by comparing respondents’ estimates of fund returns against historical returns and then checking whether they adjusted their estimate after being presented with an anchor. It was found that investors were under-confident rather than overconfident with women giving lower, and thus more under-confident estimates than their male counterparts. Furthermore, it was found that older respondents were better able to estimate their past returns than younger respondents. The presence of an anchor appeared to have no effect on respondents’ estimates.

The Overreaction Hypothesis and share price overreaction has been a widely researched phenomenon since the 1980s, although most work has focused on longer-term share return reversals. As an emerging market and part of the BRICS collective, South Africa provides an interesting investment environment within which to investigate this phenomenon. Limited research has been done in South Africa on share price overreaction, again nearly all focusing on the longer term. This dissertation examined short term overreaction (over 1 and 5-day periods) on the Johannesburg Stock Exchange (JSE) over the period July 2000 to June 2015. Furthermore, periods of financial crisis were isolated from the full sample period and tested separately, in order to assess whether periods of financial instability affect the magnitude of share price overreaction on the JSE. Whereas the common approach in this field is to investigate overreaction on a relative basis (for example by ranking share returns over a prior period and focusing on extreme relative performances), this thesis follows other literature that examines share return reversals following extreme one-day share price changes beyond absolute cut-off values (in this case ±5% and ±10%). The methodology considered an abnormal returns measure based on total return index values, and used a multivariate regression to test for one day and five day share return reversals. The effect of average prior returns, market volatility, company size, value, price-to-earnings and book-to-market ratios on abnormal returns were also considered. Lastly, a portfolio strategy based on one day and five day return reversals following large positive or negative one-day returns was investigated to test for usability as a possible trading strategy.