Over 61 percent of Africans are involved in agriculture; of this, only a few have access to financial services catered for their business. To get financial assistance, farmers have to provide sufficient collateral in the form of land, machinery and other large assets, many of which they do not own. Instead, farmers own mostly agricultural assets such as cattle, pigs and crop trees. The aim of this study is to make use of the agricultural resources available to farmers as collateral for financial loans. This was achieved through the development of a decentralised agricultural registry between farmers and the financial sector. Through an exploratory study, it was found many African countries introduced Movable Property laws to help increase acceptable collateral for financial loans. Unfortunately, many limitations were encountered which resulted in the adoption of the laws to be extremely low. As a result, this paper looks to blockchain technology as a solution as it would allow for transparency between farmers, government and financial sector. By creating a decentralised agricultural registry, farmers can register their biological assets and financiers can verify that the assets exists, are healthy and are currently not being used as collateral in another loan agreement. It is hoped that the registry can be used as a tool when financial agreements between farmers and banks are conducted.

Includes bibliographical references. / This research investigates the relationship between firm-specific style attributes and the cross-section of equity returns on the JSE Securities Exchange (JSE) over the period from 1 January 1997 to 31 December 2007. Both linear and nonlinear expected returns forecasting models are constructed based on the cross-section of equity returns. A blended approach combining a linear modeling technique with a nonlinear artificial neural network technique is developed to identify future potential top performing shares on the JSE. 1. Both linear and nonlinear models identify book-value-to-price and cash flow-to-price as significant styles attributes that distinguish near-term future share returns on the JSE. 2. This thesis found updating the identity of attributes is equally important as updating the factor payoffs of attributes in applying the stepwise regression approach. 3. Nonlinearity on the JSE equity returns is found to complement the forecasting power of linear factor models. 4. In terms of artificial neural network modeling, the extended Kalman filter learning rule introduced in the thesis is found to outperform the traditional back-propagation approach. 5. This thesis found that updating the identity of attributes via a genetic algorithm in the nonlinear forecasting models is superior to the static nonlinear forecasting models. 6. Both linear and nonlinear models are found to be more adequate in identifying future outperformers than identifying future underperformers on the JSE. The results of the research provide for potential alpha generating stock selection techniques for active portfolio managers in the South African equity market using the blended linear-nonlinear approach.

When fixed property is disposed of the proceeds are generally received anywhere from three months to a year after the transaction is required to be recognised for income tax purposes. A provisional taxpayer could therefore be required to declare and pay tax prior to the receipt of these proceeds and therefore fund such tax from sources other than the transaction in question. The practical problem resulting from the time of accrual, and the due date of the tax payable in respect of such accrual, occurring prior to the receipt of the proceeds does not appear to have been addressed in the legislation. It is submitted that accrual date could be more closely linked to the date of transfer and receipt of the proceeds to mitigate this issue. The timing of such accruals is examined in the light of the conveyancing process, the relevant sections of the Income Tax Act, other taxes relevant in respect of disposals of fixed property, appropriate case law and accounting and SARS practices, in order to ascertain whether amendments to the Income Tax Act are justifiable. Particular attention is given to s 24(1) (“Credit agreements and debtors allowance”) following the ITC 14005 judgement which deemed the accrual to be the date of the agreement whether or not a credit agreement is extant. It is submitted that by making a few changes to the legislation, the risk of inequitable cash flow positions (and potential penalties) could be greatly reduced. While a closer alignment of tax accrual with cash receipt may have a material positive effect on taxpayers’ cash flows, the effect for SARS is arguably minimal.

This dissertation studies return seasonalities in the cross section and highlights the link between investor psychology and cross-sectional seasonalities. We document four main categories of return seasonalities in the stock market where predictable return persistence or reversal occurs across different calendar months, weekdays, holidays and firms' earnings announcement days. First, relative performance across stocks during months with high (low) market returns tends to persist during months when aggregate returns are predicted to be high (low), but reverse during months when aggregate returns are predicted to be low (high). Second, relative performance across stocks on weekdays with high (low) market returns tends to persist on weekdays when aggregate returns are predicted to be high (low), but reverse on weekdays when aggregate returns are predicted to be low (high). These two types of seasonalities are robust to placebo tests and don't diminish when controlling for risk and characteristics. Using such months or weekdays, we construct a mood beta with strong predictive power for monthly or daily returns. Third, we document a strong pre-holiday seasonality where stocks with above-average return during the two to three days immediately preceding or on a holiday tend to earn above-average return during the same pre-holiday window for at least 10 years. This pre-holiday seasonality is long-lasting, cannot be explained by a host of firm attributes, is present in foreign equity markets and only among firms with a retail clientele, and tends to reverse in the immediate, post-holiday period. A long-short strategy based on pre-holiday seasonality earns abnormal returns with high Sharpe ratios. Last, we document a strong seasonality during firms' earnings announcement days. We show that a firm's cumulative abnormal return (CAR) in a given fiscal quarter in a given fiscal year exhibits strong persistent patterns at fiscal annual intervals, while SUE doesn't. Such persistence exists regardless of the content of SUE. We also show a strong persistence of firm's earnings response (ER) at fiscal annual intervals. Collectively, we document a broad set of strong and puzzling return seasonalities in the cross section that cannot be explained by risk or characteristics. A model is provided to support our hypothesis that investors' mood, attention and expectation swings are important sources of such seasonalities in the cross section. / A Dissertation submitted to the Department of Finance in partial fulfillment of the Doctor of Philosophy. / Spring Semester 2016. / April 8, 2016. / investor psychology, Return seasonalities / Includes bibliographical references. / Danling Jiang, Professor Directing Dissertation; Bruce Billings, University Representative; David Peterson, Committee Member; Donald Autore, Committee Member; Rick Morton, Committee Member.

Corporate cash holdings have a significantly positive impact on executive compensation, distinct from the well-documented relation between performance and compensation. An increase of cash holdings by 10% of assets corresponds to about $2.7 million additional CEO total compensation. This relation is driven primarily by discretionary compensation components such as bonus and option-based compensation. In companies with weaker governance, the relation between cash holdings and executive compensation is even stronger. Using awards and losses associated with corporate litigation as exogenous shocks to the firms' cash, I show that CEO compensation readily responds to these changes in cash holdings. Prior studies postulate that the optimal level of firms' cash holding is dynamic and, thereby, managers should actively adjust cash holdings. I find that the more volatile a firm's cash holdings, the higher its firm value. The correlation is more pronounced in smaller firms, younger firms, and firms in high tech industries. The findings are robust when controlling for the level of cash holdings and cash flow volatility, among other factors. The positive connection between cash holdings volatility and firm value is consistent with the need for active management of cash. Specialized managers who actively adjust the amount of cash holdings help enhance the firm value more than generalist managers, consistent with the idea that specialized management has a better understanding of the firm's cash needs. / A Dissertation submitted to the Department of Finance in partial fulfillment of the requirements for the degree of Doctor of Philosophy. / Spring Semester 2016. / February 19, 2016. / Includes bibliographical references. / Yingmei Cheng, Professor Directing Dissertation; Thomas Zuehlke, University Representative; Irena Hutton, Committee Member; Baixiao Liu, Committee Member.

In this thesis, we consider a rational inattentive agent who does not observe the environment perfectly and needs to acquire costly signal to make decisions. By observing agents actions, we formulate the inverse rational inattention framework to recover agents utility. We formulate problems both in static and dynamic settings. In the static setting, we show the recovered utility is unique in equivalent classes. We propose efficient algorithms and show their convergence. We apply the model and algorithm to robo-advising problems of recovering investors utilities by observing their investment strategies in both mean-variance and target date investment settings. / 2024-05-20T00:00:00Z

Includes bibliographical references. / This study empirically investigates the usefulness of South African stockbroker analysts' two primary forms of expectational output: earnings forecasts and investment (buy, hold, and sell) recommendations. Instead of focusing on individual stockbroker analysts' forecasts and recommendations, the consensus estimates are examined as they are accessible to a large community of investors.

Includes bibliographical references. / This thesis follows the methodologies of Fama and Macbeth (1973) and Robertson (2003) and empirically investigates the cross-sectional relationship between firm-specific attributes and stock returns on the Tokyo Stock Exchange (TSE). A dataset of 226 firm-specific attributes are constructed and tested. The data are adjusted for thin-trading and outliers are free from look-ahead bias. Two separate time periods are investigated in order to reduce the likelihood of data snooping. The in-sample regressions are run over the 1 January 1993 to 31 December 2000 time period and out-sample regressions cover 1 January 2001 to 31 December 2004.

Bibliography: leaves 94-96. / The objective of this study is to evaluate the performance and risk characteristics of three market timing strategies, namely traditional, bull and bear timing, and how different market conditions affect these strategies. The market is segmented into bullish and bearish phases and three independent but corroborative studies test how each of the timing strategies perform under the identified market conditions by measuring the returns, the required predictive accuracy and the degree of risk taken. The results of the various studies are compared across the three timing strategies as well as across the different market conditions. This gives an indication of each strategy's performance and risk characteristics. The results of the three studies indicate that potential rewards from market timing are high if perfect forecasting is achieved. This return will also be achieved at a lower level of risk compared to that of the market. However as the forecasting ability falls the advantages of market timing are quickly eroded. The potential returns are not only lower but will generally be achieved at a higher level of risk compared to perfect timing, unless a bull timing strategy is employed. To be guaranteed success at market timing, predictive ability of approximately 80% is required. For timing abilities below this threshold the success and risk profile of such a strategy will largely be dependent on which review periods are incorrectly predicted. For predictive ability below about 60% investors are more likely to under perform the market than to beat it. On a risk adjusted basis this falls to 55% suggesting that investors need at least some level of predictive ability to be successful at market timing. The results also suggest that it is generally more important to predict the bullish periods than the bearish ones. It is also evident that the market condition has a significant effect on all the market timing strategies analysed. When the market is in a bullish phase, extremely high levels of predictive accuracy are required just to have an even chance of beating the index, even to the extent that a bull timing strategy may not outperform the index regardless of the predictive ability. Only on a risk adjusted basis are returns above the market possible, albeit at high levels of predictive accuracy. Evidently, when the market is bullish, market timing is not a viable investment strategy. Nevertheless this study does highlight that there exists pockets of time where market timing may be viable. When the market turns bearish the required forecasting ability necessary to outperform the market falls drastically such that random guesses as to the next review period's performance are more than likely to produce a return above that of the market. Again, market timing during a bearish period achieves returns at a level of risk below that of the index. The studies also give insight as to how each of the strategies themselves perform under the different market conditions. It is clear that, for very high levels of predictive accuracy, traditional timing performs the best on both a nominal and on a risk adjusted basis. However, poor timing using this strategy performs the worst on a nominal basis. Only when risk is taken into account does poor traditional timing outperform poor bull timing.

Bibliography: leaves 118-125. / During the 1990s, many African policymakers liberalised their capital accounts and opened equity markets to foreign investment. The motivation behind these liberalisations was to obtain the promised benefits of increased liquidity and market participation. In the same decade, however, African markets witnessed their more mature emerging market counterparts suffering the consequences of crisis and contagion. In light of this, policymakers are now concerned about how best to approach future capital account policy. Should they actively proceed to encourage foreign investment, for instance by listing a country fund? Alternatively, should liberalisations be revoked and foreign investment prohibited? Or is the best option to wait and see? In response to these questions, this thesis presents an investigation into integration, growth and contagion in African equity markets.