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).

Financial markets, particularly capital and stock markets, play an important role in mobilizing and canalising the idle savings of individuals and institutions to the investment options where they are really required for productive purposes. The prediction of stock prices and returns is carried out in order to enhance the quality of investment decisions in stock markets, but it is considered to be tricky and complicates tasks as these prices behave in a random fashion and vary with time. Owing to the potential of returns and inherent risk factors in stock market returns. Various stock market prediction models and decision support systems such as Capital asset pricing model, the arbitrage pricing theory of Ross, the inter-temporal capital asset pricing model of Merton ,Fama and French five-factor model, and zero beta model to provide investors with an optimal forecast of stock prices and returns. In this research thesis, a stock market prediction model consisting of two parts is presented and discussed. The first is the three factors of the Fama and French model (FF) at the micro level to forecast the return of the portfolios on the Saudi Arabian Stock Exchange (SASE) and the second is a Value Based Management (VBM) model of decision-making. The latter is based on the expectations of shareholders and portfolio investors about taking investment decisions, and on the behaviour of stock prices using an accurate modern nonlinear technique in forecasting, known as Artificial Neural Networks (ANN). This study examined monthly data relating to common stocks from the listed companies of the Saudi Arabian Stock Exchange from January 2007 to December 2011. The stock returns were predicted using the linear form of asset pricing models (capital asset pricing model as well as Fama and French three factor model). In addition, non-linear models were also estimated by using various artificial neural network techniques, and adaptive neural fuzzy inference systems. Six portfolios of stock predictors are combined using: average, weighted average, and genetic algorithm optimized weighted average. Moreover, value-based management models were applied to the investment decision-making process in combination with stock prediction model results for both the shareholders’ perspective and the share prices’ perspective. The results from this study indicate that the ANN technique can be used to predict stock portfolio returns; the investment decisions and the behaviour of stock prices, optimized by the genetic algorithm weighted average, provided better results in terms of error and prediction accuracy compared to the simple linear form of stock price prediction models. The Fama and French model of stock prediction is better suited to Saudi Arabian Stock Exchange investment activities in comparison to the conventional capital assets pricing model. Moreover, the multi-stage type1 model, which is a combination of Fama and French predicted stock returns and a value-based management model, gives more accurate results for the stock market decision-making process for investment or divestment decisions, as well as for observing variation in and the behaviour of stock prices on the Saudi stock market. Furthermore, the study also designed a graphic user interface in order to simplify the decision-making process based upon Fama and French and value-based management, which might help Saudi investors to make investment decisions quickly and with greater precision. Finally, the study also gives some practical implications for investors and regulators, along with proposing future research in this area.

La constitution moderne du Bénin date du 11 décembre 1990. Elle établit un régime démocratique, fondé sur le peuple, l’unique détenteur du pouvoir souverain et, définit les institutions ainsi qu’un organe de contrôle qui veille sur les rapports de leurs actions réciproques. En tant que corps électoral, ce peuple exerce sa souveraineté par ses représentants légitimes.La présente thèse vise à étudier l’aspect démocratique, le rapport au peuple en utilisant les exemples français et américain. L’analyse porte à la fois sur le pouvoir constituant et les pouvoirs constitués. D’abord, elle met en exergue l’intervention du peuple à la fois dans le processus de l’élaboration de la constitution et de la révision de cette dernière.En contexte démocratique, le peuple souverain intervient d’une part, lors de la désignation de l’organe constituant originaire et à la fin du processus pour ratifier le texte constitutionnel par voie référendaire ; d’autre part, lors de la mise en œuvre de la fonction constituante dérivée, soit au début, à l’initiative, par ses représentants, soit à la fin, ou par ses représentants, ou par lui-même au moyen du référendum populaire.Ensuite, quant aux pouvoirs constitués, le peuple exerce sa souveraineté par le biais des élections pour désigner ses représentants, ceux qui incarnent ces pouvoirs, au moyen du suffrage universel direct ou indirect. Ces deux interventions du peuple sont mises en parallèle avec les exemples américains de 1787 et français de 1958 pour en tirer les conséquences qui s’imposent.Le but est de comprendre les spécificités du Bénin en matière du suffrage universel, de séparation des pouvoirs et dans le rapport établi avec le peuple. / The modern constitution of Benin dates from December 11, 1990. It establishes a democratic regime, based on the people, the sole holder of the sovereign power and, defines the institutions as well as a control organ which watches over the relations of their reciprocal actions. As an electoral body, this people exercises its sovereignty through its legitimate representatives.The present thesis aims to study the democratic aspect, the report to the people using the French and American examples. The analysis deals with both constituent power and constituted powers. First, it highlights the intervention of the people both in the process of constitution-making and revision of the constitution.In a democratic context, the sovereign people intervene on the one hand, in the designation of the original constituent organ and at the end of the process to ratify the constitutional text by referendum; on the other hand, during the implementation of the derived constituent function, either initially, on the initiative, by its representatives, or at the end, or by its representatives, or by itself through the popular referendum.Then, with regard to constituted powers, the people exercise their sovereignty through elections to appoint their representatives, those who embody these powers, by means of direct or indirect universal suffrage. These two interventions of the people are compared with the American examples of 1787 and French of 1958 to draw the necessary consequences.The goal is to understand the specificities of Benin in terms of universal suffrage, separation of powers and the relationship established with the people.

Calculating the expected return has been a longstanding issue in the finance. There is a positive correlation between the undertaken risk and excess return (or loss) but numerous variables need to be considered. This study builds on the Fama and French formula and adds factors unique to the hospitality industry such as labor cost and diversification in order to get results that are a tailored to the hospitality industry. Active hotel and restaurants companies (SIC 7011 and 5812 respectively) in the 2000-2009 period were analyzed in separate samples. The labor cost improves the explanatory on both samples and the diversification proxy was significant in the hotel sample. Based on the results suggestions for further research were made.

Cette thèse porte sur la prédiction de la détresse financière et son impact sur le rendement des actions. L’objet principal de cette thèse est de : (i) prédire la détresse financière des petites et moyennes entreprises françaises en utilisant plusieurs spécifications économétriques tels que, le modèle Logit, les réseaux de neurones artificiels, la méthode SVM et la régression des moindres carrés partiels, et (ii) d’identifier les facteurs de risque de détresse financière à caractère systématique, explicatifs des rendements des actions, et additionnels au modèle de Fama et French (1993) tels que le momentum, la détresse relative, la liquidité et la Value-at-Risk, sur le marché boursier Français. Cette étude comporte deux parties. La première partie, composée de 2 chapitres, s’interroge sur les principaux indicateurs discriminants entre les petites et moyennes entreprises françaises saines et celles en détresse financière un an et deux ans avant la défaillance. Elle mobilise différentes approches de prédiction et aboutit à des résultats empiriques qui font l’objet d’analyse. La deuxième partie, composée aussi de 2 chapitres, étudie le pouvoir explicatif, du modèle de Fama et French (1993) augmenté de certains facteurs de risque, mais aussi des modèles alternatifs à cette approche dans le contexte français. Les tests portent aussi sur le caractère systématique des facteurs de risque additionnels ou alternatifs, explicatifs des rendements des actions. Les résultats empiriques obtenus font l’objet d’analyse et permettent de proposer des implications managériales aux décideurs. / This thesis focuses on financial distress and its impact on stock returns. The main goal of this dissertation is: (i) to predict the financial distress of French small and medium-sized firms using a number of techniques namely Logit model, Artificial Neural Networks, Support Vector Machine techniques, and Partial Least Squares, and (ii) to identify the systematic risk factors of financial distress that can explain stock returns, in addition to those of Fama and French (1993) such as the momentum, the relative distress, the liquidity, and the Value-at-Risk in the French stock market. This study has been concretized in two parts. The first part, composed of 2 chapters, wonders about the main indicators that can discriminate between distressed and non-distressed French small and medium-sized firms one and two years before default. It mobilizes different prediction techniques and leads to the empirical results that are the subject of the analysis. The second part, composed also of 2 chapters, investigates the explanatory power of Fama and French (1993) model augmented by a number of risk factors, as well as alternative models in the French context. The tests also focus on the systematic nature of the additional or alternative risk factors, explaining the stock returns. The obtained empirical results are analyzed and propose managerial implications to decision makers.

L’objet de cette thèse est de replacer la Constitution de la Fédération de Russie, adoptée par référendum le 12 décembre 1993, dans ses différents contextes de production. En effet, ce texte juridique est à la fois le produit d’une Histoire courte et d’une Histoire longue, d’un conflit intra-élite et d’une somme de représentations héritées des périodes précédentes et reconstruites à la fin des années 80 et au début des années 90. Ainsi, il ne semblait pas suffisamment pertinent de limiter notre étude au processus rédactionnel proprement dit, entamé à l’été 1990. Nous avons pris le parti de tenter de reconstituer ce que pouvait être l’« épistémè », les représentations politico-juridiques, des acteurs ayant joué un rôle décisif dans la discussion de la Constitution. Ce parti nécessitait de retracer les occurrences les plus significatives de l’Histoire du droit et des institutions en Russie tsariste et en Union Soviétique. Cette démarche fait l’objet de la première partie de la Thèse, « La Péréstroïka comme réceptacle, révolution et modèle ». Il ressort de l’analyse que malgré la présence de traditions intellectuelles libérales et d’institutions proto-parlementaires, la tradition dominante, et acceptée comme telle par les rédacteurs de la Constitution russe, est largement antijuridique et autoritaire. C’est dans ce contexte que les acteurs de la Ière République russe ont cherché à puiser dans les modèles étrangers (américain et français en particulier) et les modèles théoriques du Droit constitutionnel (régime parlementaire et régime présidentiel) pour créer le nouvel agencement institutionnel. La seconde partie de la thèse, « Le processus de rédaction de la Constitution de 1993 », porte sur l’Histoire courte, c’est-à-dire sur les années 1990-1993 qui ont vu s’affronter deux camps, tant sur le plan politique que constitutionnel. Le camp du Congrès des députés du peuple emmené par son Président Rouslan Khasboulatov défendait un projet permettant d’assurer la domination du Parlement, alors que le camp du Président de la Fédération, emmené par Boris Eltsine, cherchait à imposer un projet assurant à la présidence une position dominante. De part et d’autre, les modèles empiriques et théoriques du Droit constitutionnel furent instrumentalisés et largement trahis. Entre ces deux camps, la Commission constitutionnelle crée au sein du Congrès des députés du peuple cherchait, à travers ses différents projets, à trouver un agencement équilibré nourri des expériences étrangères et de la science du Droit constitutionnel. Le camp de la présidence réussit finalement à faire prévaloir ses vues, dans le cadre d’une Conférence constitutionnelle organisée en juin 1993, mais surtout par sa victoire politique sur le camp du Congrès suite à la crise d’octobre 1993. Le texte adopté par référendum le 12 décembre 1993, très favorable à la Présidence, peut être considéré comme l’héritier de ce conflit, mais également en partie comme l’héritier des traditions politiques russes et soviétiques. / The aim of this dissertation is to analyse the Constitution of the Russian Federation passed by referendum on 12 December 1993, in its various contexts of production. Indeed, this legal text is both the result of a short history and of a long history, of an intra-elite conflict and of an amount of representations, inherited from the past and rebuilt at the end of the 80’s and at the beginning of the 90’s. We chose to attempt to reconstruct what has been the « épistémè », the legal and political representations of the key actors of the constitutional discussions. This choice made it necessary to recount the most significant facts and conceptions of the legal and institutional history of Tsarist Russia and Soviet Union. This approach is found in the first part of this dissertation, « Perestroika as a recipient, a revolution and a model ». It appears that despite the existence of liberal traditions and proto-parliamentary institutions, the dominant tradition, granted as such by the drafters of the Russian Constitution, is basically anti-juridical and authoritarian. It is in this context that the actors of the first Russian Republic tried to use foreign patterns (mostly American and French) and the theoretical patterns of Constitutional law (parliamentary regime and presidential regime) in order to create the new institutional design. The second part of the dissertation, « The redaction process of the Constitution of 1993 », deals with short history, that is years the 1990-1993 during which two sides challenged each other, both on a political and on constitutional grounds. The side of the Congress of People’s Deputies led by its President, Ruslan Khasbulatov, promoted a project of Parliament domination, while the side of the President of the Federation promoted a project of President domination. On both sides, empirical and theoretical patterns of constitutional law were exploited and their true meanings betrayed. Between these two sides, the Constitutional Commission created by the Congress of People’s Deputies, through its several drafts, tried to find a balanced design on the basis of foreign patterns and of the science of constitutional law. Finally, on the side of the President there was success in making its conceptions prevail, within a Constitutional Conference organized in June 1993, but mainly through its political victory of October 1993. The text passed on 12 December 1993, very much in favor of the Presidency, can be considered as the heir of this conflict, but as well partly as the heir of Russian and Soviet political traditions.