This paper examines the role that gold and other precious metals play in portfolio construction as hedges and safe havens in comparison with the Volatility Index (VIX), a derivative of market volatility. Gold has long been considered to be among the best assets for reducing portfolio volatility due to its lack of correlation with the overall market. However, the major finding of this paper is that while gold and the other precious metals do serve in this role to varying extents, the VIX performs this function far better. Both econometric and portfolio analyses reveal that the VIX improves overall portfolio performance to a greater extent, and most importantly serves as an effective safe haven relative to the market.

Momentum investing is the process of buying stocks that have performed strongly in the past and shorting historically weak performers. Past empirical research has consistently shown momentum to generate significantly positive returns on a zero-cost strategy. We show that momentum performs well regardless of the specific time horizon used in formation and investment and motivate a one month gap between forming the portfolio and investing in it. Consistent with literature, we find momentum crashes–months where momentum’s profitability dramatically reverses–and demonstrate that momentum crashes occur across all time horizon variations in momentum. Lastly, we show that the momentum portfolio during crash months is not marked by clustering in specific industries, and that the momentum premium can- not be explained by risk from regulatory uncertainty of the financial services industry.

This empirical study employs a different methodology to examine the change in wealth associated with mergers and acquisitions (M&As) for US firms. Specifically, we employ the standard CAPM, the Fama-French three-factor model and the Carhart four-factor models within the OLS and GJR-GARCH estimation methods to test the behaviour of the cumulative abnormal returns (CARs). Whilst the standard CAPM captures the variability of stock returns with the overall market, the Fama-French factors capture the risk factors that are important to investors. Additionally, augmenting the Fama-French three-factor model with the Carhart momentum factor to generate the four-factor captures additional pricing elements that may affect stock returns. Traditionally, estimates of abnormal returns (ARs) in M&As situations rely on the standard OLS estimation method. However, the standard OLS will provide inefficient estimates of the ARs if the data contain ARCH and asymmetric effects. To minimise this problem of estimation efficiency we re-estimated the ARs using GJR-GARCH estimation method. We find that there is variation in the results both as regards the choice models and estimation methods. Besides these variations in the estimated models and the choice of estimation methods, we also tested whether the ARs are affected by the degree of liquidity of the stocks and the size of the firm. We document significant positive post-announcement cumulative ARs (CARs) for target firm shareholders under both the OLS and GJR-GARCH methods across all three methodologies. However, post-event CARs for acquiring firm shareholders were insignificant for both sets of estimation methods under the three methodologies. The GJR-GARCH method seems to generate larger CARs than those of the OLS method. Using both market capitalization and trading volume as a measure of liquidity and the size of the firm, we observed strong return continuations in the medium firms relative to small and large firms for target shareholders. We consistently observed market efficiency in small and large firm. This implies that target firms for small and large firms overreact to new information resulting in a more efficient market. For acquirer firms, our measure of liquidity captures strong return continuations for small firms under the OLS estimates for both CAPM and Fama-French three-factor models, whilst under the GJR-GARCH estimates only for Carhart model. Post-announcement bootstrapping simulated CARs confirmed our earlier results.

In essay one, my primary objective is to see the sensitivity of foreign exchange rate risk on firm performance in US manufacturing industry and examine if the hedging help reduce the foreign exchange rate risk. I am particularly interested in manufacturing industry because of the nature of business operation of manufacturing firms. Manufacturing firms in US are not only exposed to foreign exchange fluctuation from sales and revenue but also are exposed to foreign exchange rate risk for procurement, placement and investment. I find that the firms with extreme foreign exchange rate risk exposure exhibit lower daily return and firms with very low foreign exchange rate risk exhibit higher daily return using the portfolio approach. I also find that the firms that hedge has lower foreign exchange rate exposure compared to firms that don’t hedge. The coefficient for hedge is negative and statistically significant. In essay two, I investigate the effect of executive compensation on exchange rate risk in US manufacturing industry. There is a large theoretical and empirical interest on executive compensation using agency framework that investigates the conflict of interest between shareholders and corporate executives. That interest has been largely aligned with the use of managerial performance dependent on observable measures of firm performance. Since US manufacturing firm is largely exposed to foreign exchange transactions by design, I investigate if the value of in-the-money unexercised vested executive stock option has any impact on foreign exchange rate exposure. I investigate if the value of in-the-money unexercised unvested executive stock option has any impact on executive stock option. Using pooled OLS, fixed effect panel data and random effect panel data, I find that in all 3 model value of in-the-money unexercised vested executive stock option has negative coefficient and is statistically significant. At the same time in all 3 models the value of in-the-money unexercised unvested executive stock option is positive and is statistically significant.

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Student No :9712664T MEd School of Education Faculty of Humanities / After the establishment of the first democratic government in South Africa, the Education Ministry committed itself to transforming the education system through developing new policies and legislation aimed at achieving equitable access to education and improving the quality of education. One of the school reform policies is the South African Schools Act (SASA), which is aimed at democratising and improving school education. It does so by devolving responsibilities and powers on schools, thereby promoting more democratic governance of schools by school governing bodies (SGBs), which are comprised of parents, educators, non-teaching staff and learners. The main thrust of this study was to investigate the factors that explain how different rural schools in Bolobedu district (Limpopo Province) interpret and implement the newly-granted SGB powers and responsibilities regarding school finances and budgeting. Four schools, two primary, one junior secondary and one senior secondary, were sampled. At some of them SGBs appeared to be doing well, while at others the SGBs appeared to be overwhelmed by the new task of managing school finances and budgeting. The research instruments used in carrying out this study were interview schedules, documentary data analysis and non-participant observation of SGB meetings. Interviews were conducted with educators, principals, parents and learners (members of SGBs and nonmembers). Triangulation of data is essential for the validity and reliability of a study. This study is regarded as valid and reliable, as there was strong correlation among the responses to most of the questions posed. The interviewees participated willingly in the study and showed complete understanding of the questions. The major deduction from this study is that not all SGBs in disadvantaged rural areas are unable to execute their duties and responsibilities regarding school finances and budgeting, despite being dominated by illiterate parents who have not had the administrative and financial experience to oversee school affairs. The findings indicated that some poorly resourced SGBs were able to execute their duties and responsibilities regarding school finances and budgeting, though there were some constraints. The following factors that assisted and undermined the capacity of schools to assume their financial powers effectively were identified: • School-Community relationship; • SGB capacity; • Internal social capital; and • Leadership strategies.

Do ponto de vista financeiro, o objetivo de uma empresa é promover a maximização da riqueza econômica dos seus acionistas. Por essa lógica, uma decisão de investimento só deve ser aceita se o retorno oferecido pelo projeto superar o custo do capital nele empregado. Nas decisões de financiamento, busca-se atingir a estrutura ótima de capital da empresa, que leve a minimização da média ponderada dos custos de capital da companhia e, consequentemente, à maximização da riqueza do acionista. Mas, ao contrário das decisões de investimento e de financiamento, as decisões de dividendos não possuem como princípio norteador um único parâmetro a ser seguido, já que diversos fatores financeiros, legais, fiscais e até mesmo comportamentais afetam essa decisão. A literatura de finanças apresenta um modelo para a decisão de dividendos chamado de Modelo de Dividendos Residuais (MDR). Nele, o percentual de dividendos a ser distribuído é determinado com base no lucro líquido contábil, no índice alvo de capital próprio da empresa e no orçamento de capital. No entanto, além de não priorizar a maximização da riqueza do acionista, entende-se que o MDR deixa de contemplar algumas importantes variáveis que deveriam ser levadas em consideração no momento da definição payout de dividendos, conforme preconizado pela literatura de finanças. Neste trabalho, foi realizada uma pesquisa empírica que verificou se, na prática, os gestores das companhias brasileiras de capital aberto levam em consideração os diversos fatores apresentados pelos estudos acadêmicos como sendo fundamentais para as decisões de dividendos. Em seguida, foi proposto um modelo conceitual de apoio ao processo de tomada de decisão de destinação dos lucros que leva em consideração fatores como a geração de valor econômico ao acionista, as particularidades legais e tributárias brasileiras, o poder de distorção da inflação na formação do lucro contábil, a estrutura ótima de capital da empresa, a existência de projetos futuros com valor presente líquido positivo, o fluxo de caixa livre para o acionista, entre outros. Esse modelo tem como objetivo oferecer um mapa decisorial conceitual mais abrangente do que o MDR e espera-se que forneça um parâmetro mais adequado para as decisões de dividendos por parte dos gestores empresariais brasileiros. / From the financial management point of view, the objective of a company is to promote the maximization of their shareholders economical wealth. So, an investment decision could only be accepted if the return on this investment surpass the capital spend to generate it. In financing decisions, the goal is to achieve the companys optimal capital structure leading to the minimization of the weighted average cost of capital of the company, consequently, the maximization of the shareholder wealth. But, unlike the investment and financing decisions, the dividends decisions do not have as a guiding principle a single parameter to be followed, since several financial, legal, fiscal and even behavioral factors affect this decision. The financial management literature presents a model of dividends decisions called Residual Dividend Model (RDM), a model in which the percentage of dividends to be shared is determined based on accounting net profit, on the equity target measure and on the capital budget. However, besides not to prioritize the maximization of the shareholders wealth, it is understood that the RDM fails to address some important variables that should be taken into account when setting the dividend payout, as showed by the financial management literature. The present study aimed to verify by an empirical research whether the managers of Brazilian public companies take into account the various factors presented by academic studies as being essential for the dividend decisions. And then it was proposed a conceptual model to support the decision making process for the profit destination which takes into consideration factors such as economic value to shareholders, the particularities of Brazilian legal and tax systems, the distortion caused by the inflation in the accounting profit, the optimal capital structure of the company, the existence of future projects with positive net present value, free cash flow to shareholders, among others. This model aims to provide a decision map concept wider than the RDM and it is expected to provide a more appropriate parameter for the dividends decisions by the Brazilian business managers.

Thesis (M.B.A.)--Boston University / The method of determination and expenditure of the Department of Defense research and development budget with all its attendant military, economic, and political considerations is obviously a topic far beyond the limitations of a paper of this type and no attempt will be made by the author to discuss this subject. In an effort to isolate for examination, however, one very pertinent aspect of this broad current issue, the thesis does concern itself with the problem of determining, contracting, providing and utilizing effectively the funds required to conduct Government research and development contracts with private industrial and institutional organizations. Since, in the aggregate, more than three -fourths of all military research and development requirements are fulfilled through these sources, it is hoped that, by considering these problems as they relate primarily to the individual contractor and secondarily to the Federal Government, certain conclusions may be reached regarding financial management principles and procedures which might eliminate difficulties in the field of research and development.

The results generated by this research argue that, in the future, communities should take into account crime and other social costs as they analyze the merits of investing in new sports complexes and that a failure to consider these factors could constitute a serious dereliction on the parts of the public officials who are ultimately responsible for new facility investment decision making. Moreover, both this research and previous studies of the economic effects of new sports facilities, strongly indicate that public entities considering funding new facilities do a more in depth independent study of the likely economic consequences of their prospective investments before moving forward.

It has been twelve years since the last time the yield curve was inverted. Since 2017, the yield curve has been continuing to flatten and has almost entered an inverted state. The last five recessions have been preceded by the inversion of the yield curve. I examine momentum trading strategy’s ability to outperform during an inverted yield curve state. The yield curve can enter the momentum portfolio strategy through the portfolio’s formation and holding period. I document the increased performance of the momentum strategy’s total portfolio return in an inverted state. These results have implications on the timing a momentum trading strategy might be implemented.