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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
41

Does mutual fund investment style consistency affect the performance of mutual funds? : evidence from Chinese mutual funds

Zhao, Yi January 2009 (has links)
While much of the previous research on mutual funds has concentrated on finding the relationship between the investment style, the past performance and the future performance of funds, very few of the studies have paid attention to the effect of a mutual fund manager’s execution of investment style on fund returns. Using return-based analysis methodologies for measuring the style consistency of Chinese mutual funds, this thesis demonstrates that the less style-consistent funds tend to produce higher future risk-adjusted returns than more consistent mutual funds, even after controlling for past performance and net asset value (NAV). Further, these findings are robust across mutual fund investment style classifications, test period intervals (one-year or one-quarter interval), and the model used to calculate the expected returns (four-factor model and Sharpe’s style analysis model). This thesis also documents the performance-persistency effects that exist in Chinese mutual funds, which remain persistent even under the condition of style consistency. More importantly, the research discovered that at a time of change in the Chinese stock market, the negative correlation between style consistency and future performance becomes weaker. The study concludes that style consistency does matter for mutual funds’ future risk-adjusted returns and that there is a significant negative correlation with mutual funds’ future risk-adjusted performance in the longer term (i.e., over the entire test period). Moreover, this connection is distinct from those related to the past risk-adjusted performance and NAV of mutual funds. It is also clear that a significant negative correlation between style consistency and the future risk-adjusted return does exist in Chinese stock and asset allocation mutual funds, even after adjusting for the investment style of the fund. Finally, this thesis provide a mutual funds picking strategy for investors base on the main findings of this study, which can provide significant positive alpha at each year during the test period.
42

Hodnocení investic do stávajícího podniku / Valuation of investment in the existing firm

Nedvěd, Ondřej January 2007 (has links)
The goal of the disertation is valuation of economic effectiveness of the project of building and operation of data centre (telehouse centre). The theoretical part contains basic principles and methods of risk analysis of investment project (break event point, sensitivity analysis), the description of preparation and realisation of investment project, planning of cash flow, determination of discount rate, the possible ways of finance of investment project, the methods of valuation of effectiveness investments. The practical part contains the analysis of telecommunication market, Porters model of competitive powers in the sphere of telecommunication firm, specification of the costs of the project, price statement of Serverhousing, the plan of costs, plan of profit and lost statement, the determination of net present value.
43

Green Bonding With Finance : What Motivated the Swedish Government to Issue a Green Bond?

Witkowsky, Patrik January 2022 (has links)
This study explores the increasingly popular government practice of issuing green bonds. By interviewing individuals involved in the development of the Swedish green government bond issued in 2020, and examining key documents, it provides an in-depth understanding of the motivations driving a government to issue a green bond. The empirical analysis shows that the Swedish government did not issue the green bond to finance green investments, but to promote the green bond market, communicate what it was already doing in terms of environmental investments, help investors attain more sustainable portfolios and strengthen the Swedish government as a bond issuer. While the political driving force behind the green government bond was the Green Party, it was strongly supported by segments of the financial sector. The main criticism came from authorities within the government itself. Even though the proponents of the green government bond shared a concern about the environment, it was not clear how this policy would ultimately contribute to the green transition. This analysis suggest that it is more appropriate to consider it as a form of industrial policy for supporting the sustainable finance industry. This is the first in-depth case study conducted on a green government bond and thus contributes to a new research topic. It also contributes to the literature on Sustainable Finance and Investment and green bonds more generally. Furthermore, it contributes to research on government debt policy and the political economy of the green transition.
44

Responsible investment and ESG : an economic geography

Harnett, Elizabeth S. January 2018 (has links)
There is a growing awareness of, and commitment to, Responsible Investment (RI) in the institutional investment markets internationally. RI is defined as the consideration of environmental, social and/or governance (ESG) issues in long-term oriented investment decision-making. As the role of ESG in determining investment risk and opportunity becomes more evident, and as ESG data becomes more available, RI is increasingly seen as an area of potential investment innovation. This thesis applies institutional, evolutionary and relational economic geography theories to examine this trend, exploring the mainstreaming of RI through novel empirical and conceptual research. This thesis examines the investment learning processes and information channels available in Western liberal market economies of the UK, US and Australia. It adopts economic geography knowledge and innovation frames towards answering the question: 'Now that ESG information is more widely available in the investment markets, why has this not catalysed a greater shift towards RI integration in mainstream investment decisions?'. Learning, language and leadership factors within the institutional investment industry are all argued to help answer this question. This research uses a mixed method approach, with analysis based on a survey of 154 investment professions, 97 semi-structured interviews and a case of RI innovation. This thesis develops a conceptual framework of the communication channels and information sources used in investors' innovation-decision-process, drawing attention to the importance of both social and asocial learning processes in generating and sharing knowledge about climate issues within investment markets. Following this, the thesis examines the role of 'local buzz' and 'global pipelines' in facilitating access to, and uptake of, ESG information. Levels of buzz and pipelines are found to vary in different financial centres, and are facilitated by formal and informal networking linked to RI groups. Importantly, then, this thesis finds that both spatial and relational proximity influence investors' access to ESG information and RI knowledge. The second half of this thesis examines whether and how RI information, knowledge and practice can be integrated into existing individual and organisational decision-making frameworks. It highlights the need to better translate RI information into investment-relevant language, and provides an example of how environmentally-driven stranded assets can be reframed as a version of sunk costs, contributing novel spatial-temporal theorisations of this concept. Through an illustration of RI decision-making by the investment consultant Mercer and the University of Sydney endowment fund, this thesis highlights that the capacity to integrate RI through the investment chain does exist. However, willingness to do so is found to be hindered by institutional and organisational path dependent norms, reduced only in some firms by seeing RI as an innovative area of competitive advantage from growing client demand. This thesis therefore finds that RI is being adopted in increasingly more mainstream investment firms, but this is not always fully integrated throughout the firm, and that uptake is geographically varied based on exposure to networks of information and knowledge sharing, and institutional, organisational and individual norms. Ultimately, this thesis therefore contributes towards understandings of the processes underpinning the mainstreaming of RI, but also contributes to broader economic geographies of investment, knowledge sharing and innovation.
45

Is the Chinese stock market overvalued?

Tan, Zhenhua January 2008 (has links)
The Chinese stock market has experienced tremendous growth and development over the past years. It is now the second largest stock market in Asia (after Japan). The increasing numbers of stock investors and the generally upward trend of the local stock indexes transform the Chinese stock market into one of the most actively traded stock market. This study examined the “pricing errors” of the Chinese stock market. The intrinsic values of equities, which can be compared to actual index prices, were estimated using the dividend discount model. Using a database of daily dividend based index prices of Shanghai composite index 180 and Shenzhen composite index 100 from July 2002 to June 2005, our study shows the stocks were undervalued during the sample period, on average, by approximately 0.09% and 1% for Shanghai and Shenzhen composite indexes respectively. The result reveals during July 2002- June 2005, the Chinese stock markets were close to the real value. Another objective of this study is to examine the impact of the economic conditions on the “pricing errors” of Chinese stock market. We find that the Chinese stock markets are much price momentum driven. The relationships of the economic factors and the deviation between the estimated cost of equity (based on CAPM) and the implied cost of equity (based on the actual index prices) showed similar results. We conclude that the Chinese stock markets do not sufficiently reveal local economic conditions.
46

New Zealand's experiment with prudential regulation : can disclosure discipline moderate excessive risk taking in New Zealand deposit taking institutions? : a thesis presented in partial fulfillment of the requirements for the degree Doctor of Philosophy at Massey University, Albany

Wilson, William Robert January 2009 (has links)
The New Zealand economy in the period up to 2006 provides an opportunity to assess an alternative disclosure based approach to the prudential regulation of deposittakers, in a market free of many of the distortions which arise from traditional regulatory schemes. The overall objective of this research has been to assess the effectiveness of the prudential regulation of New Zealand financial institutions and judge if the country is well served by it. Analysis of New Zealand’s registered bank sector suggests public disclosure adds value to New Zealand’s financial system. However, the significant relationship found between disclosure risk indicators and bank risk premiums was not as a result of market discipline, rather it is argued self-discipline was the mechanism, demonstrating bank management and directors are discharging their duties in a prudent manner. A feature of the New Zealand disclosure regime for banks is the significant responsibilities placed on bank directors; directors are then held accountable for their actions. Findings in the management of banks were in contrast to non-bank deposittakers, where disclosure was judged to be ineffective, and of no practical use due to its poor quality. The management of non-bank deposit-takers appeared to receive very little oversight from depositors, their trustees or official agencies. As a result, many appear to have managed their institution in their own interests, with little consideration given to other stakeholders. Failures which occurred in NBDTs from 2006 resulted from deficiencies in the prudential regulation of these deposit-takers, demonstrating the severity of asymmetric information and moral hazard problems which can arise if prudential regulation is not correctly designed and management interests are not aligned with other stakeholders. The New Zealand disclosure regime will never guarantee a bank will not fail, nor should it try to do so, but it should assist the functioning of a sound and efficient financial system. To this end, it is recommended that the Reserve Bank, in re-designing the regulatory framework for NBDTs, hold the management and directors of NBDTs similarly accountable, while also incorporating regular disclosure and minimum prudential standards. Governments have an important role to play in ensuring the financial system is efficient.
47

An investigation into optimal stock option compensation : a thesis presented in fulfillment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University

Lai, Eugene Chang Fu January 2010 (has links)
Throughout twentieth century, it has become increasingly common for executives to be remunerated with stock options, contracts which allow the recipient to buy company stock at a predetermined price, thus giving the incentive to maximize the stock price in order to increase the value of the stock option contract. Not only has stock option compensation become increasingly prevalent to executives at most major listed companies, but also to employees at all levels of the firm, both big and small. However, along with the growth in popularity, stock option compensation also became a topic of contention, not only among the general public, but among lobbyists, legislators and academics. This thesis aims to provide a better understanding of stock option compensation practice, with a particular emphasis on the United States, where stock option compensation is most prevalent. The thesis is divided into three chapters: the first chapter deals with establishing a foundational understanding of stock option practice and possible drivers through investigating the literature on the history of stock option compensation practice in the US. The second chapter develops a holistic theoretical model of an optimal stock option compensation package to possibly explain some practice currently considered as excessive. Then lastly, the third chapter empirically tests the validity of possible drivers of executive stock option policy in recent times in an attempt to identify whether current practice is optimal or not. The first chapter is primarily a literature review, covering a series of events over the history of stock option compensation in the US, ranging from its early beginnings in the early twentieth century until the present day. Included in the coverage of significant events are: legislation impacting tax benefits for corporate and for recipients; “landmark” events such as the first case of “broad-based” option compensation resulting in companies following a standard business practice; trends in the stock market; academic theory of the development of agency theory which supports the use of tools such as equity based compensation, and the development of major option valuation models; the possible impact of accounting standards; and the possibly impact of major bankruptcies or unethical behavior directly or indirectly tied to executive stock option compensation. The second chapter follows with a theoretical approach to understanding stock option compensation trends by analyzing the major benefits and costs associated with stock options. The model developed differs to most other existing optimization models as it does not focus on one set of benefits or factors, rather a more holistic approach is taken. Using a holistic approach, this model also helps explain how levels of compensation that are considered excessive under an optimisation model based only incentive benefits, can actually be optimal for the firm once other costs and benefits are incorporated. The model also aims to provide an alternative explanation to the managerial power hypothesis to explain why the buoyancy of the market may be positively correlated with compensation levels. This is explained by the impact of the buoyancy of the market on the likelihood of stock option exercise, and the costs and benefits either unconditional, partially conditional or conditional on options being exercised. In addition, smaller companies are also found to benefit from stock options more than larger firms due to some of the unconditional benefits, in particular, the ability to attract higher quality talent which can also help small firms fulfil untapped potential. Lastly, the model also provides useful insight into the appropriateness of using of foregone option premiums as the economic opportunity cost of granting stock options. The third chapter aims to empirically test the impact of several factors brought up in Chapter One that may help explain changes in compensation that occurred at the turn of the century. These major factors analyzed are: 1) the bull market prior to and the bear market following the market crash of 2000, 2) changes in accounting standards for equity based compensation, and 3) possible public perception of corruption following several major bankruptcies associated with poor ethics in 2002. Mixed evidence is found regarding the impact of market cycles. These findings include cycles to be linked to granting options out-of-the-money, a general inverse relationship with the levels of stock option compensation with the buoyancy of the market, expected for companies managing incentives, and finally there are indications companies ceased granting options based on poor company stock price performance prior to 2001. Other findings indicate the possible influence of accounting standards on economic decisions as well as the broad impact of events surrounding 2001-2, even though they have no economic impact. On the one hand, decreases in stock option compensation levels is shown to be linked to accounting decisions, however, there is insufficient evidence to support the argument that firm-wide decision making to cease granting stock options completely was based on accounting decisions.
48

New Zealand's experiment with prudential regulation : can disclosure discipline moderate excessive risk taking in New Zealand deposit taking institutions? : a thesis presented in partial fulfillment of the requirements for the degree Doctor of Philosophy at Massey University, Albany

Wilson, William Robert January 2009 (has links)
The New Zealand economy in the period up to 2006 provides an opportunity to assess an alternative disclosure based approach to the prudential regulation of deposittakers, in a market free of many of the distortions which arise from traditional regulatory schemes. The overall objective of this research has been to assess the effectiveness of the prudential regulation of New Zealand financial institutions and judge if the country is well served by it. Analysis of New Zealand’s registered bank sector suggests public disclosure adds value to New Zealand’s financial system. However, the significant relationship found between disclosure risk indicators and bank risk premiums was not as a result of market discipline, rather it is argued self-discipline was the mechanism, demonstrating bank management and directors are discharging their duties in a prudent manner. A feature of the New Zealand disclosure regime for banks is the significant responsibilities placed on bank directors; directors are then held accountable for their actions. Findings in the management of banks were in contrast to non-bank deposittakers, where disclosure was judged to be ineffective, and of no practical use due to its poor quality. The management of non-bank deposit-takers appeared to receive very little oversight from depositors, their trustees or official agencies. As a result, many appear to have managed their institution in their own interests, with little consideration given to other stakeholders. Failures which occurred in NBDTs from 2006 resulted from deficiencies in the prudential regulation of these deposit-takers, demonstrating the severity of asymmetric information and moral hazard problems which can arise if prudential regulation is not correctly designed and management interests are not aligned with other stakeholders. The New Zealand disclosure regime will never guarantee a bank will not fail, nor should it try to do so, but it should assist the functioning of a sound and efficient financial system. To this end, it is recommended that the Reserve Bank, in re-designing the regulatory framework for NBDTs, hold the management and directors of NBDTs similarly accountable, while also incorporating regular disclosure and minimum prudential standards. Governments have an important role to play in ensuring the financial system is efficient.
49

New Zealand's experiment with prudential regulation : can disclosure discipline moderate excessive risk taking in New Zealand deposit taking institutions? : a thesis presented in partial fulfillment of the requirements for the degree Doctor of Philosophy at Massey University, Albany

Wilson, William Robert January 2009 (has links)
The New Zealand economy in the period up to 2006 provides an opportunity to assess an alternative disclosure based approach to the prudential regulation of deposittakers, in a market free of many of the distortions which arise from traditional regulatory schemes. The overall objective of this research has been to assess the effectiveness of the prudential regulation of New Zealand financial institutions and judge if the country is well served by it. Analysis of New Zealand’s registered bank sector suggests public disclosure adds value to New Zealand’s financial system. However, the significant relationship found between disclosure risk indicators and bank risk premiums was not as a result of market discipline, rather it is argued self-discipline was the mechanism, demonstrating bank management and directors are discharging their duties in a prudent manner. A feature of the New Zealand disclosure regime for banks is the significant responsibilities placed on bank directors; directors are then held accountable for their actions. Findings in the management of banks were in contrast to non-bank deposittakers, where disclosure was judged to be ineffective, and of no practical use due to its poor quality. The management of non-bank deposit-takers appeared to receive very little oversight from depositors, their trustees or official agencies. As a result, many appear to have managed their institution in their own interests, with little consideration given to other stakeholders. Failures which occurred in NBDTs from 2006 resulted from deficiencies in the prudential regulation of these deposit-takers, demonstrating the severity of asymmetric information and moral hazard problems which can arise if prudential regulation is not correctly designed and management interests are not aligned with other stakeholders. The New Zealand disclosure regime will never guarantee a bank will not fail, nor should it try to do so, but it should assist the functioning of a sound and efficient financial system. To this end, it is recommended that the Reserve Bank, in re-designing the regulatory framework for NBDTs, hold the management and directors of NBDTs similarly accountable, while also incorporating regular disclosure and minimum prudential standards. Governments have an important role to play in ensuring the financial system is efficient.
50

New Zealand's experiment with prudential regulation : can disclosure discipline moderate excessive risk taking in New Zealand deposit taking institutions? : a thesis presented in partial fulfillment of the requirements for the degree Doctor of Philosophy at Massey University, Albany

Wilson, William Robert January 2009 (has links)
The New Zealand economy in the period up to 2006 provides an opportunity to assess an alternative disclosure based approach to the prudential regulation of deposittakers, in a market free of many of the distortions which arise from traditional regulatory schemes. The overall objective of this research has been to assess the effectiveness of the prudential regulation of New Zealand financial institutions and judge if the country is well served by it. Analysis of New Zealand’s registered bank sector suggests public disclosure adds value to New Zealand’s financial system. However, the significant relationship found between disclosure risk indicators and bank risk premiums was not as a result of market discipline, rather it is argued self-discipline was the mechanism, demonstrating bank management and directors are discharging their duties in a prudent manner. A feature of the New Zealand disclosure regime for banks is the significant responsibilities placed on bank directors; directors are then held accountable for their actions. Findings in the management of banks were in contrast to non-bank deposittakers, where disclosure was judged to be ineffective, and of no practical use due to its poor quality. The management of non-bank deposit-takers appeared to receive very little oversight from depositors, their trustees or official agencies. As a result, many appear to have managed their institution in their own interests, with little consideration given to other stakeholders. Failures which occurred in NBDTs from 2006 resulted from deficiencies in the prudential regulation of these deposit-takers, demonstrating the severity of asymmetric information and moral hazard problems which can arise if prudential regulation is not correctly designed and management interests are not aligned with other stakeholders. The New Zealand disclosure regime will never guarantee a bank will not fail, nor should it try to do so, but it should assist the functioning of a sound and efficient financial system. To this end, it is recommended that the Reserve Bank, in re-designing the regulatory framework for NBDTs, hold the management and directors of NBDTs similarly accountable, while also incorporating regular disclosure and minimum prudential standards. Governments have an important role to play in ensuring the financial system is efficient.

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