This project describes the underlying principles of Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM), and multi-factor models in detail. It also explores the process of constructing optimal portfolios using Modern Portfolio Theory, as well as estimates the expected return and covariance matrix of assets using the CAPM and multi-factor models. Finally, the project applies these models in real markets to analyze our portfolios and compare their performances.

This diploma thesis is based on the theory of behavioral attention and examines the effect of the search for negative words in conjunction with the name of the bank on the price and on the yield of the shares of these banks. As a sample, 12 global, publicly traded and significant banks were selected. In this work, the behavioral attention is identified as the level of search on Google. The panel regression with random effects is used in the work, and Bayesian Model Averaging is used to identify suitable variables. The data proves the effect of negative behavioral attention, when an increased level of attention diminishes yield and share price. The results are then subjected to a robustness analysis where the impact of behavioral attention is examined before, during, and after the financial crisis. Furthermore, the effect of regulation and the level of behavioral attention itself is examined. The diploma thesis corresponds to the knowledge of behavioral economics and confirms a certain irrational behavior of investors on the market.

This thesis deals with the description and testing of the capital market models. It consists of an analysis of the most famous models such as the CAPM, the three-factor Fama-French model, the four-factor Fama-French-Carhart model and an alternative multi-factor model that includes the current relevant risk factors. In the first part, one can find the introduction to the capital market theory that is essential for the definition of model assumptions. The second part is dedicated to the description and construction of the models in reference to the relevant research papers. The last part of this thesis contains the regression model estimates, taking into account the data set of the fifteen most profitable IT companies. A portfolio of these firms is expected to exhibit a positive and statistically significant alpha. Daily portfolio returns in the period 1990 -- 2014 are regressed on risk factors of particular models. The aim of this thesis is to test whether the capital market models are valid for the long-term portfolio returns composed of the selected shares.

This study investigated the long-run investment performance of 411 South African IPOs during the period 1992 to 2007. Consistent with historical studies, no evidence of abnormal performance was found on a calendar-time approach using the Fama- French (1993) three-factor model. While the long-run performance did not differ materially, factors such as financial and industrial industry classifications were found to impact after-market performance of IPO portfolios. It was found that large new company issuances within the Financials and Industrials categories produced abnormal returns, but on a collective basis there was no evidence of abnormal performance. In particular, a positive relationship was found to exist between book-tomarket ratios and IPO performance in the financial and industrial sectors, but there was scant evidence on a collective basis. Market conditions were found to have an impact on IPO performance. In periods of market buoyancy, IPOs performed well and in periods of market distress, IPOs‟ performance suffered. The implications of this study are that investors, in making decisions on whether or not to invest in new issues, should not expect to make superior returns to the market over a five-year period by investing in IPOs. IPO performance after the five-year period was not part of the scope for this study and may form the basis for future studies. Copyright / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

This research investigates brand equity’s role in mitigating the impact of the COVID-19, a complex crisis, on firms’ stock performance. It also compares a high brand equity stock (HBES) portfolio with the overall market during three periods of the crisis (downturn, upturn, and total disturbance). To delineate brand equity’s influences across different periods of the COVID-19 crisis, I distinguish between three market periods: (1) market downturn; (2) market upturn; (3) total disturbance. Furthermore, the excess returns of the HBES portfolio with the overall market, containing all the firms listed collectively on the Center for Research in Security Prices (CRSP), NYSE, AMEX, and NASDAQ, are compared. The Fama-French (FF; Fama and French, 1993) method is used to examine the brand equity’s effects on stock return and risk factors, namely volatility and beta. Using the Behavioral Portfolio Theory (BPT), this research shows brand equity insulates firm performance during the COVID-19 crisis by improving stock return and mitigating risks. However, brand equity effects vary across the three market periods, improving stock return and reducing volatility in the downturn. Nevertheless, brand equity does not buffer stock return in the upturn. Overall, during the total disturbance period, brand equity protects stock return and diminishes risk. The comparative findings indicate brand equity is a strong protector of stock return in the downturn, while it is more effective in reducing risk in the upturn. The findings advance research by providing evidence pertaining to brand’s role in mitigating the impact of unpredictable market shocks and crises, such as the COVID-19 pandemic, on stock performance. While brands are mostly viewed as drivers of sustained competitive advantage and profitability, their protective role in times of crisis is noteworthy. The findings can potentially help marketing and brand managers justify marketing spending and aid them in crafting strategies to enhance firm performance during crises similar to the COVID-19. The marketing-finance interface can benefit from insights offered by the COVID-19 pandemic, as such crises are becoming prevalent and are capable of damaging various stakeholder’s outcomes (firms, investors, customers).