Lam, Ka Wai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 51-55). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Levy Processes --- p.6 / Chapter 2.1 --- Definition --- p.6 / Chapter 2.2 --- Levy-Khinchine formula --- p.7 / Chapter 2.3 --- Applications of Levy Processes in Finance --- p.10 / Chapter 2.4 --- Option pricing under Levy Processes --- p.12 / Chapter 2.4.1 --- Black-Scholes Formula with Characteristic Function --- p.12 / Chapter 2.4.2 --- Fast Fourier Transform --- p.14 / Chapter 2.4.3 --- Other Payoff Functions --- p.16 / Chapter 3 --- Dynamic Fund Protection --- p.19 / Chapter 3.1 --- Discrete Dynamic Fund Protection --- p.20 / Chapter 3.2 --- Link DFP to Discrete Lookback Options --- p.22 / Chapter 4 --- Spitzer´ةs Identity --- p.25 / Chapter 4.1 --- Applications of Spitzer's Identity --- p.25 / Chapter 4.2 --- Discrete Lookback Options --- p.29 / Chapter 5 --- Pricing Discrete DFP --- p.32 / Chapter 5.1 --- Girsanov´ةs Theorem --- p.32 / Chapter 5.2 --- Equivalent Martingale Measure in DFP --- p.34 / Chapter 5.3 --- Pricing DFP at any Time Points --- p.36 / Chapter 5.4 --- The Main Algorithm --- p.38 / Chapter 6 --- Numerical Results --- p.40 / Chapter 6.1 --- Simulation of Discrete DFP --- p.40 / Chapter 6.2 --- Numerical Implementation --- p.42 / Chapter 7 --- Conclusion --- p.50 / Bibliography --- p.51

This thesis investigates key issues concerning how active equity fund managers add value: measuring alpha (Chapter 3), generating alpha (Chapters 4, 5 and 6) and transaction cost minimisation (Chapter 7). Chapter 3 proposes important methodological adjustments to the widely adopted benchmarking methodology of Daniel, Grinblatt, Titman and Wermers (1997). Applying this modified benchmark to a sample of active funds and simulated passive portfolios that mimic fund manager style characteristics, statistically lower tracking error is documented, compared with using the standard methodology. These findings suggest that improved specifications of characteristic benchmarks represent better methods in accurately quantifying fund manager skill. Chapter 4 examines a portfolio strategy which selects stocks using the undisclosed monthly holdings of Australian active funds. When considering a large range of strategies incorporating portfolio holdings information, the top performing strategies are robust to data-snooping and are economically and statistically significant when incorporating transaction costs. Accounting for look-ahead bias in the formation of a strategy, statistically significant alpha of at least 6.88 percent per year is found when following the best performing strategy holding 20 stocks or more in the previous month. Chapter 5 examines the relation of active equity fund managers location proximity to a stock??s corporate headquarter using portfolio holdings data. Contrary to much international research, this study reveals evidence inconsistent with a location advantage for Melbourne and Sydney-based funds. Chapter 6 examines retail investor trading on the Australian Stock Exchange. The performance of retail investors is highly heterogeneous: discount (non-discount) retail brokerage investors lose -0.59 (-0.05) percent intraday and experience negative (positive) returns over the subsequent year. These findings are inconsistent with retail investors exerting price pressure or providing liquidity to institutions. Chapter 7 examines whether equity fund managers use multiple brokers in a trade package in order to lower their price impact and brokerage costs. Using the daily trades of funds, multiple broker trades are not found to have lower costs compared to a single broker, even when controlling for the informativeness of the trade package and potential endogeneity. These findings suggest that fund managers do not lower their costs when using multiple brokers.

This thesis investigates key issues concerning how active equity fund managers add value: measuring alpha (Chapter 3), generating alpha (Chapters 4, 5 and 6) and transaction cost minimisation (Chapter 7). Chapter 3 proposes important methodological adjustments to the widely adopted benchmarking methodology of Daniel, Grinblatt, Titman and Wermers (1997). Applying this modified benchmark to a sample of active funds and simulated passive portfolios that mimic fund manager style characteristics, statistically lower tracking error is documented, compared with using the standard methodology. These findings suggest that improved specifications of characteristic benchmarks represent better methods in accurately quantifying fund manager skill. Chapter 4 examines a portfolio strategy which selects stocks using the undisclosed monthly holdings of Australian active funds. When considering a large range of strategies incorporating portfolio holdings information, the top performing strategies are robust to data-snooping and are economically and statistically significant when incorporating transaction costs. Accounting for look-ahead bias in the formation of a strategy, statistically significant alpha of at least 6.88 percent per year is found when following the best performing strategy holding 20 stocks or more in the previous month. Chapter 5 examines the relation of active equity fund managers location proximity to a stock??s corporate headquarter using portfolio holdings data. Contrary to much international research, this study reveals evidence inconsistent with a location advantage for Melbourne and Sydney-based funds. Chapter 6 examines retail investor trading on the Australian Stock Exchange. The performance of retail investors is highly heterogeneous: discount (non-discount) retail brokerage investors lose -0.59 (-0.05) percent intraday and experience negative (positive) returns over the subsequent year. These findings are inconsistent with retail investors exerting price pressure or providing liquidity to institutions. Chapter 7 examines whether equity fund managers use multiple brokers in a trade package in order to lower their price impact and brokerage costs. Using the daily trades of funds, multiple broker trades are not found to have lower costs compared to a single broker, even when controlling for the informativeness of the trade package and potential endogeneity. These findings suggest that fund managers do not lower their costs when using multiple brokers.

Investment company in managing funds of the qualified investors The aim of this proposed thesis is a qualitative analysis of the internal mechanisms of operations of an investment company in managing a fund of qualified investors. The stated goal is to relatively analyse the organism, which is providing the managing portfolio in the ownership of the fund by abstracting the most important processes that are taking place in such matter. The thesis is divided in a logical order from the historical genesis of collective investment through a brief analysis of the basic subjects of collective investment up to a qualitative analysis of the issues relating to the management of the assets of an externally managed fund with regard to the division of functions of individual bodies inside the investment structure. In conclusion, following the qualitative analysis of the activities of the individual bodies of the investment company - I then, on an example of the acquisition process, attempt to analyse and break down the roles of the individual bodies performing as a part of the acquisition of an asset to the portfolio of an externally managed investment fund.

This research is a systematic, in depth empirical test of the strong form of the efficient market hypothesis (EMH) using the dual-fund industry as the research subject. Unlike most strong-form EMH research, this study deals with a small, homogeneous sector of the investment company industry with a comparable origin date. To obtain homogeneity of the research subjects, the sample size is necessarily small (7), thus, making it difficult to find statistically significant results. In general, portfolio performance is negatively correlated with variability in measures of portfolio characteristics such as the major mix, common stock categories, portfolio turnover, etc. The better-performing dual funds were more consistently managed while the lower-performing companies had significant and sometimes frequent changes in portfolio policies. In line with the efficient market hypothesis, "passive" management, i.e., low turnover, few changes in major mix or common stock composition, shows better results in the dual-fund industry from inception through 1973.

by Mak Ho Sing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 54-58). / Abstract / Chapter Chapter 1: --- Introduction / Chapter Chapter 2: --- Simple Value Vs Glamour Strategy / Chapter Chapter 3: --- Are Contrarian Investment Strategies Fundamentally Riskier ？ / Chapter Chapter 4: --- The Performance of the Mutual Fund Industry in Hong Kong / Chapter Chapter 5: --- Summary and Interpretation of the Findings References / References / Appendix: Tables and Diagrams

Viešojo administravimo magistro baigiamojo darbo tema aktuali kiekvienam dalyvaujančiam savanoriškam pensijų kaupime. Šiuo metu šis klausimas aktualus ypač dėl neramumų finansų rinkose, lėtėjančios ekonomikos pasaulyje, nes neatsakingas pensijų fondų valdymas gali pabloginti dalyvaujančiųjų finansinę padėtį ateityje, t.y. pabloginti Lietuvos socialinę padėtį. Pagrindinė magistro baigiamojo darbo užduotis yra išsiaiškinti, ar fondų valdytojai laikosi teisinių investavimo reikalavimų, ar jų nepažeidinėja siekdami uždirbti didesnę grąžą. Tam patikrinti buvo atliekamas vienos pasirinktos valdymo įmonės pensijų fondų valdymo auditas. Magistro baigiamajame darbe buvo siekiama aptarti audito esmę, apžvelgti jo raidą, išnagrinėti pagrindinius klausimus susijusius su investavimo auditu, apžvelgti Lietuvos pensijų sistemos ypatumus, aptarti ją reglamentuojančius teisės aktus ir atlikti pensijų fondų auditą, iškeliant hipotezę, ar pensijų fondai valdomi skaidriai, patikimai, fondo valdymo sistema aiški bei laikomasi teisės aktų reikalavimų. Darbe buvo naudojami tokie tyrimo metodai, kaip mokslinės literatūros analizavimas ir sisteminimas bei teisės aktų analizė. Visi minėti uždaviniai buvo įgyvendinti, o hipotezės patvirtintos ir padarytos išvados, kad pasirinktos įmonės valdomi pensijų fondai griežtai laikosi visų teisinių reikalavimų ir yra griežtai prižiūrimi vidaus kontrolės. Taip pat padaryta išvada, kad rinkų koregavimosi laikotarpiu buvo pasirinktas efektyvus fondų valdymas... [toliau žr. visą tekstą] / The subject of master‘s work in Public Administration is relevant for everyone lithuanian who participate in the second pillar pension system. At present the question is especially relevant when the market is turbulent, the economy is slowing in the world and negligent management of pensio funds could worsen the financial situation of people who participate in the second pillar pension system in their old age. The main task of master‘s work is to ascertain the fund‘s manager follows the law investment requirements, and they don‘t violate them for the reason to earn larger return. The audit for pension funds‘ management of one investment management company was performed to be sure that the fund‘s managers are in right way every time. There were discussed about the essence of audit and it‘s evolution, there were explored the main points of investing audit, there were reviewed the pension system‘s peculiarities of Lithuania and it‘s law documents and there were performed the audit of pension fund‘s management in this master‘s work. The hypothesis is described as the pension funds are managing clearly and reliably, the fund‘s management system is clear and the law requirements are invulnerable. The analysis methods which are using in study is the systematisation and analysis of nonfiction, analysis of law documents. All definited tasks were implemented at work and the hypothesis were confirmed. The conclusions of master‘s work was proposed: the pension funds of one checked... [to full text]

Submitted by Marcia Silva (marcia@latec.uff.br) on 2016-10-07T18:38:11Z No. of bitstreams: 1 Dissert Fabrício Ramos Penedo.pdf: 3044069 bytes, checksum: da5fa76ccdda1fd0095c309bf0212a35 (MD5) / Approved for entry into archive by Biblioteca da Escola de Engenharia (bee@ndc.uff.br) on 2017-01-26T13:34:24Z (GMT) No. of bitstreams: 1 Dissert Fabrício Ramos Penedo.pdf: 3044069 bytes, checksum: da5fa76ccdda1fd0095c309bf0212a35 (MD5) / Made available in DSpace on 2017-01-26T13:34:24Z (GMT). No. of bitstreams: 1 Dissert Fabrício Ramos Penedo.pdf: 3044069 bytes, checksum: da5fa76ccdda1fd0095c309bf0212a35 (MD5) Previous issue date: 2016-07-30 / Os Regimes Próprios de Previdência Social – RPPS da baixada fluminense são de grande importância para o Estado do Rio de Janeiro e para o Brasil, tanto pelo ponto de vista econômico por sua contribuição ao PIB e por suas aplicações em investimentos, como pela importância social-securitária para os trabalhadores aderidos a este regime. Apesar do momento atual de desaceleração econômica do país, esses sistemas de previdência têm buscado métodos para aperfeiçoar sua gestão, o que inclui adoção de gerenciamento mais moderno, redução de despesas para enfrentar desafios como o aumento do déficit previdenciário, e reformas para adequar sua viabilidade econômica a longo prazo em decorrência do aumento de longevidade de seus segurados. O objetivo desta pesquisa é propor diretrizes para a promoção dessa boa governança pública nos institutos de previdência municipais, diretrizes essas que possam ser adotadas pelas autarquias previdenciárias da Baixada Fluminense do Estado do Rio de Janeiro. Este estudo fez uso de pesquisa com uma fase de abordagem qualitativa seguida de uma fase de abordagem quantitativa. Na fase qualitativa, utilizou-se artigos, dissertações, legislações e manuais para subsidiar a análise dos conteúdos nas bases Scopus e SciELO de 2013 a março de 2016. Identificaram-se 70 documentos, incluídos na revisão da literatura, que formaram a base da construção do instrumento de coleta de dados para a fase quantitativa. Na fase quantitativa, a amostra não probabilística foi obtida de 10 profissionais envolvidos com os RPPS fluminenses, entrevistados entre março e abril de 2016, obtendo-se em torno de 100 respostas. Os dados da fase quantitativa foram analisados utilizando-se o Diagrama de Pareto, o qual possibilita a priorização dos problemas apresentados. Os resultados desta dissertação mostraram que ‘Controle’, ‘Conhecimento’ e ‘Transparência’ foram os termos mais utilizados pelos respondentes para apresentar soluções às questões propostas. Apesar das contribuições trazidas por este trabalho, existem limitações na pesquisa, basicamente relacionadas às palavras-chave utilizadas nas frases de pesquisa, à escolha das bases científicas pesquisadas e ao perfil dos respondentes da pesquisa. As implicações práticas deste trabalho residem na sua importância estratégica, a qual contribui para que regimes próprios de previdência possam adotar uma boa governança pública como forma de aumentar a sua eficiência no setor público municipal, e por extensão também nas esferas estadual e federal. Este trabalho é de utilidade para pesquisadores, que podem explorar diversas linhas de pesquisa a partir dos resultados encontrados e desenvolver novos trabalhos científicos. A originalidade deste estudo está na sua visão setorial e prospectiva, com a proposta de um modelo para a adoção e implementação de boas práticas de governança pública amparadas em ferramentas e técnicas que contribuam para a viabilidade e perenidade dos RPPS. / Brazilian Independent Programs of Social Security are of great importance to the State of Rio de Janeiro, Brazil, both from the economic point of view of its contribution to GDP due to its investments and also for its social role performed on the life of every State of Rio de Janeiro’s employee. Due to current times of present Brazil's economic slowdown, these programs have sought methods to improve their management reducing expenses to overcome challenges such as reforms to adapt its long-term economic viability to face the increased longevity of its policyholders. The objective of this essay is to promote good public governance in municipal social security programs of the densely populated lowlands surrounding the City of Rio de Janeiro, and for that it presents state-of-art managerial skills to their local administrators and controllers. This study’a research was both qualitative and quantitative. The qualitative phase studied articles, dissertations, regulations and manuals to support the analysis of Scopus and SciELO database contents from 2013 to 2016. 70 documents were identified to compose the core of data collection for the qualitative phase. At the quantitative phase, a non-probabilistic sample was obtained from 10 professionals involved within municipal social security entities. They were interviewed between March and April, 2016, and it resulted in about 100 significant responses. Data from the quantitative phase were analyzed using Pareto’s diagram, which enables the prioritization of the presented problems. Results of this diagram showed that 'Control', 'Knowledge' and 'Transparency' were the terms most used by respondents as solutions to the posed questions. There are limitations in this work as those related to the keywords used in search phrases, to surveyed scientific basis and finally to profile of survey respondents. Practical repercussions of this work will lie on its strategic importance enduring municipal social security systems to adopt good public governance as a way to increase their efficiency at Municipal public sphere, and extensively, up to State and Federal levels. This work is also useful for researchers who can explore several lines of research from the results found and develop new scientific papers. The originality of this study lies on its sectoral and forward-looking vision supported by a proposed model for the adoption and implementation of tools and techniques for good public governance practices that may contribute to the viability and sustainability of independent social security entities.

民國八十七年亞洲金融危機引發本土性金融風暴後，集團企業交叉持股在掌握經營權、炒作股價及企業間利益輸送所造成之負面經濟影響，再次成為議題的焦點。在台灣證券管理交易法規中，企業交叉持股行為僅能由母公司代子公司公告窺知一二。國內文獻中對於交叉持股之探討亦偏重法律制度及盈餘管理層面，對於透過交叉持股之資金操縱行為則較少著墨。 有鑒於交叉持股「能載舟亦能覆舟」之經濟重要性，及現行公告實務未能窺知交叉持股行為全貌，本研究嘗試以投資餘額變動頻率異常作為潛在的交叉持股行為代理變數，將民國八十三年至八十八年第三季之台灣上市公司按投資餘額變動之頻繁程度區分為高變動群與低變動群樣本，進行其財務性操縱行為的探討。本研究主要的實證議題有二：（1）投資餘額變動較頻繁之公司其盈餘管理行為是否異於投資餘額變動較不頻繁之公司？及（2）投資餘額變動較頻繁之公司其資金操縱行為是否異於投資餘額變動較不頻繁之公司？ 實證結果顯示，在盈餘管理行為上，高投資變動公司有顯著利用裁決性應計項目操縱盈餘的現象，且此現象在曾發生財務危機的高投資變動公司更為顯著。高投資變動公司在多頭市場時，投資收益顯著較低投資變動公司為大；空頭市場時，兩者在真實盈餘操縱變數上並無顯著差異。在資金操縱方面，高投資變動公司質押成數變動率顯著大於低投資變動公司，且曾發生財務危機的高投資變動公司變動程度更為明顯。此外，高投資變動公司債務活動在多頭時期較低投資變動公司活絡，顯示債務活動活躍是高投資變動公司重要特性之一。基於現行法規實務與資料來源的限制不易直接偵測具經濟實質之負面交叉持股行為，本研究之綜合實證發現高投資變動公司與真實負面交叉持股行為有相當程度的關聯性，是故投資餘額變動頻率異常似乎是研究負面交叉持股公司極為重要的參考指標之一。

This paper proposes a new methodology for selecting a pension fund base on the probability of loss for its customers. The methodology includes the historical performance of the portfolio between, March 2006 and May 2013, and projects its profitability either to maturity or to the customer’s retirement age. / El presente trabajo desarrolla una nueva metodología para la selección de fondos gestionados por las Administradoras de Fondos de Pensiones (AFP), basada en la probabilidad de pérdida del afiliado. La metodología incorpora el efecto del desempeño histórico de la gestión del portafolio, en el período marzo 2006-mayo 2013, y lo hace en la proyección de la rentabilidad esperada al vencimiento o edad de jubilación del afiliado. / Este trabalho desenvolve uma nova metodologia para a seleção dos fundos geridos pe las Administradoras deFundos de Pensão (AFP), com base na probabilidade de perda do afiliado. A metodologia considera o efeito do desempenho histórico na gestão das carteiras de março de 2006 até maio de 2013, e o inclui na projeção da taxa derendimento esperada ao vencimento ou até a idade para aposentadoria do afiliado.