This thesis is divided into five chapters. It was not thought helpful to further sub-divide the chapters, and footnotes are used principally for the citation of authority and not for lengthy discussions. In view of the specific nature of the topics discussed, such introductory remarks to the subject as are necessary are dealt with in the preface.

The accounts of non-profit organisations (NPO's) have been the subject of increasing amounts of research and pronouncements by otficial bodies in rec,ent years. Much of the research to date has been addressed to the improvement of external accounting statements of NPO's and is therefore normative in approach. There have however been a number of recent suggestions that this normative approach has not ,taken sufficient account of the realities of the NPO environment and that research has proceeded as if NPOs were nearly the same as organisations in the profit seeking sector of the economy (PSOs). In an attempt to redress this balance and to provide an insight into accounting in the context of the NPO, this study has attempted to describe accounting information, particularly external financial reports, and its users in five organisations from one part of the NPO sector, churches. The study is essentially descriptive and seeks to approach NPO sector accounts with as little PSO sector bias as possible. The study is also inductive in approach in that it seeks to generate hypotheses for testing in later deductive research. The use of a descriptive approach has necessitated the development of new techniques, particularly in the analysis of accounts, and has demonstrated the use of questionnaires and interview techniques in a descriptive accounting study. The empirical part of the research, carried out in five case studies, consists of three distinct areas: a study of external financial reports, their content, structure and context. a questionnaire survey of users of external financial reports. and finally interviews with a selected number of users of accounts. The main findings and hypotheses generated by the study fall into fifteen major areas. Some of these relate to accounting information in general: that accounts are models and that users employ an information search procedure in reading accounts. However, most ideas and hypotheses relate specifically to the NPO environment: consolidation issues, balance sheet construction, absence of expert users, non-decision uses for accounts, lack of fund accounting, the budgeting process as a key vehicle for allocating funds, understanding of accounts by users, pressure for changes in accounts and measurement bases in use. These ideas and hypotheses for further research arose from key observations in the study and give rise to a number of areas for future study in the context of information and NPOs. The research has yielded a number of new insights about the accounting reports of churches suggesting that the structure and content of the reports are closely contingent on the economics. structure and funding of church organisations and that there are several common patterns in the diversity of accounting statements found, especially in balance sheet construction and use of fund accounting. The study of recipients of accounts has given some detailed information about how accounts of NPOs are used by 'external' and 'internal' users and provided a useful profile of users. This profile is useful in helping to rank the relative importance of users of accounts and also shows an apparent lack of expert users of accounts, there certainly being no identifiable group of expert users. This part of the study also identified only slight pressure from users for changes in accounting reports. Although the study of users also identified little decision use for accounting information there does appear to be a widespread interest in accounting information, probably for monitoring purposes. Among the practical recommendations form the study are that: NPOs should give a clear description of how their accounts are structured; there should be clear disclosure of the measurement basis used in the accounts; budgets would be a useful addition to accounting reports; and an attempt ought to be made to provide an overall movement of funds statement.

This study is concerned with recent developments in international investment and the theory of the firm. The proposition that markets and hierarchies are alternative governance structures for completing related sets of transactions is less contentious. However, the view that foreign direct investment is the most efficient governance structure, in transaction-cost economizing terms, remains controversial. This research identifies with this contention. The premise of the study is that the governance structure of foreign transactions cannot be confined to or decided within the framework of hierarchy alone. The study presents a number of market mechanisms firms use to accomplish foreign transactions. Termed "New Forms of International Investment", these strategies involve non-equity (i.e. contractual/cooperative) and minority-equity arrangements. Hypotheses concerning the transaction cost nature and the impact of managerial perceptions of several explanatory factors were developed and tested using data gathered from a questionnaire survey of, and interviews with, executives from 66 MNCs and 31 MNBs. The results of the research provide evidence that while firm-specific characteristics offer firms opportunities to evaluate their strengths and weaknesses in relation to given overseas markets, host country-specific characteristics offer a complementary platform for assessing the optimum mode of entry. Also, managerial perceptions of the nature and importance of these factors and their impact on the diversification strategy of the firm were found to be significant in entry mode choices. The greater the perception of distortion propensities in a host country, the more likely resources, insofar as they would be transferred at all, would be transacted via new forms. There was no evidence to support the literature contention that the use of the new forms is a particular phenomenon of developing countries. These findings were reinforced by the interview results.

The objective of this paper is to examine whether short-term variation in the ranking of size and style index returns in the UK equity market is better predictable and exploitable by means of quantitative or momentum style rotation strategies. Using UK index data, we assess the profitability of a number of long-only and long/short multi-style rotation strategies based on these two alternative methods. The findings suggest that trading rules based on simple short-term momentum strategies are able to generate higher Sharpe ratios and greater end-of-period wealth at a reasonable level of transaction costs than our quantitatively based trading rules. This result is particularly pronounced among the long-only strategies.

The aim of this thesis is to study customer order flow and its impact on a small open emerging economy in Sub-Saharan Africa. Customer order flow, as a key concept in the microstructure approach to exchange rate, deals with signed transaction volumes between market-makers and their customers. The study specifically attempts to explore what the data tells us about the role of customer order flow in the market for local currency (Ghanaian CEDI) using the standard analytical framework of FX microstructure literature. The study also examines short-run exchange rate dynamics in an emerging market based on the recent microstructure framework of foreign exchange markets where the main explanatory variable is the order flow. First, the study modifies the model to take account of a unique feature of the majority of emerging markets, namely the existence of a parallel market for FX. Secondly, it uses a unique proprietary database covering almost the complete Ghanaian market, and for a long time span compared to previous studies, which uses data for a single market-maker and for a short period of time. The study confirms contemporaneous relationship (between flows and exchange rate) suggested by previous literature (Evans and Lyons 2002a) but we also observe a lagged interaction between order flow and exchange rates. These lagged effects are due to the delays in the price transmission which are associated with inefficiencies. Additionally, the study confirms the connection between the price impact of the order flow and the degree of liquidity in the FX market. Furthermore, our findings corroborate the fact that in Ghana, banks provide liquidity to their customers in the short-run whiles the central bank acts a liquidity provider in the long-run. Finally, our results confirm that there exists a strong relationship between order flow, commodity prices and macroeconomic fundamentals in an emerging economy.

There is no legal or regulatory of what constitutes a hedge fund, though the generally accepted definition is that they are unregulated pools that invest in any asset class as well as derivative securities and use long and short positions, as well as leverage where the manager is compensated with a proportion of the returns. Hedge funds are not new, Alfred Winslow Jones in generally credited with the formation of the first hedge fund in 1949, however the industry remained small and relatively unnoticed for many years. In 1990, there were just 610 hedge funds managing approximately $39bn of capital, however by the end of 2007 the industry had grown to over 10,000 funds managing almost $2trn of capital. The credit crisis of 2008 which has caused hedge funds to suffer both investment losses and investor redemption means that as of the end of 2008 the industry has contracted with over 1,000 funds closing and the capital being reduced to $1.5btrn.

This thesis is composed of three essays related to empirical asset pricing. In the first essay of the thesis, we investigate recent rational explanations of the value premium using a regime-switching approach. Using data from the US stock market, we investigate the risk of value and growth in different market states and using alternative risk measures such as downside beta and higher moments. Our results provide little or no evidence that value is riskier than growth, and that evidence is specific to pre-1963 period (including the Great Depression). Within the post-1963 sample, there are periods when the value premium can be explained by the CAPM, whilst during other periods the premium is explained by the fact that the returns on value firms increase more than the returns on growth stocks in periods of strong market performance, whilst in downturns growth stocks suffer more than value, and these features are captured by different upside/downside betas or higher moments. These results are not consistent with a risk-based explanation of the value premium. The second essay of the thesis contributes to the debate about the momentum premium. We investigate the robustness of the momentum premium in the US over the period from 1927 to 2006 using a model that allows multiple structural breaks. We find that the risk-adjusted momentum premium is significantly positive only during certain periods, notably from the 1940s to the mid-1960s and from the mid-1970s to the late 1990s, and we find evidence that momentum has disappeared since the late 1990s. Our results suggest that the momentum premium has been slowly eroded away since the early 1990s, in a process which was delayed by the occurrence of the high-technology stock bubble of the 1990s. In particular, we estimate that the bubble accounts for at least 60% of momentum profits during the period from 1995 to 1999. In the final essay of this thesis, we study the question of which asset pricing factors should be included in linear factor asset pricing model. We develop a simple multivariate extension of a Bayesian variable selection procedure from the statistics literature to estimate posterior probabilities of asset pricing factors using many assets at once. Using a dataset of thousands of individual stocks in the US market, we calculate posterior probabilities of 12 factors which have been suggested in the literature. Our results indicate strong and robust evidence that a linear factor model should include the excess market return, the size and the liquidity factors, and only weak evidence that the idiosyncratic volatility and downside risk factors matter. We also apply our methodology to portfolios of stocks commonly used in the literature, and find that the famous Fama and French (1993, 1996) HML factor has high posterior probability only if portfolios formed on book-to-market ratio are used.

With the introduction of variance swaps, the financial market has experienced an unprecedented trading, investing and hedging in volatilities. These tremendous market activities have led to a parallel systematic development of dynamic volatility modeling. Unlike the stock dynamics, the volatility dynamics are believed to have a meanreverting property. The mean-reverting process consists of two unique features: the equilibrium level and the speed of reversion. The unique mean-reverting feature puts volatilities into an interesing financial class that is worth exploring. The aim of the thesis is to examine the dynamics of volatility and to value volatility derivatives. A primary study is focused on the unification of three areas: variance swap term structures, stock derivatives, and volatility derivatives. It is intended as an attempt to bring together a term structure model, a volatility process and a return process in which they match stylized facts of financial markets and they are consistently reconciled to each other.

Direct finance such as stock and bond markets has provided an alternative source of funds for a large number of firms, which depends heavily on bank loans for credit previously. Bank loans are more expensive indeed than direct finance so that only those borrowers cannot access to capital markets turn to it. Such co-existence of alternative sources of finance has supplied prevalent issues for researches. The thesis focuses on investment choice and the selection of occupation with finance restriction under co-existence of finance sources. We also investigate the impact of inequality in imperfect markets. In Chapter 2 we develop a model in which agents differ according to their endowments of working capital. They can borrow their money to the capital market to earn interest, or invest in a CRS technology, which is an abbreviation of Constant Return to Scale. The return of CRS is a linear increasing function corresponding to its input. Hence it is a completely riskless investment. Individuals also can undertake a risky project which has a fixed set-up cost. On account of finance constraint, they make their investment and occupation choice. Because of imperfection in the market, lenders cannot obtain information about the real return of the risky project from borrowers, there is credit ration and many entrepreneurs invest at a sub-optimal status. We then introduce a monitoring technology to make it possible for external lenders to observe the return of the private project. Thus lenders who have the monitoring technology can supply any amount of money to borrowers and individuals have an alternative source to raise money. Our result shows the monitoring technology improve the economy. Part of poor individuals who are pure lenders in the previous situation can afford the set-up cost of the risky project. Meanwhile part of sub-optimally investment entrepreneur reach to a optimal status. Chapter 3 is an empirical test which is derived straightforwardly from the comparative statics results of Chapter 2. The comparative statics show that there are threshold effects of the model on income difference between the rich and the poor. In other words, if income difference is lower than a critical value, then the minimal investment level and the interest rate positively related to the mean wealth. Otherwise both of them negatively linked to the mean value. Comparing to the previous theoretical model, a significant improvement of the empirical model is that we substitute income inequality for income difference. In this chapter we discuss how the average wealth affects financial development over the different values of income inequality. We found both initial wealth and its distribution work together to determine the interest rate, the minimal investment level and consequently the size of the capital market. The empirical tests observe two important results. One is that a rise of average income does improve financial development as long as the income inequality is below a cut-off value. The other is that there is a strong threshold effect on income inequality. Chapter 4 modify the model of Chapter 2 from a continuous investment model to a fixed one while it introduce a labour market to analyze the markets equilibrium from both physical and human capital sides. We present a static model of an economy where individuals are heterogeneous in terms of initial wealth and there are credit constraints. Individuals are endowed with time resource which they can allocate between working and leisure to maximize their utility. What’s more, individuals can choose to either sell their labour in the labour market or self-employ. Put differently, depending on the opportunity costs of alternatives, they can supply as pure wage workers or become entrepreneurs by running a risky project. Workers receive fixed wages while entrepreneurs receive risky profits. Individuals make their decisions on either to be wage workers or entrepreneurs by comparing the utility from the wage work with that from the risky project. The endogenous interest rate adjusts to the point where the supply of credits is equal to the demand for funds while the wage rate meets the labour market clearing condition. We find that an increase in the mean wealth leads to a decrease in the interest rate. In equilibrium, the wage rate rises and so does the labour time. Meanwhile, both the optimal amount of labour and the minimal requirement of labour of the project decrease. Chapter 5 is a conclusion.

This thesis investigates international capital flows to developing countries for the period 1970-2006. The first chapter introduces the theoretical and empirical framework of the thesis, motivates it, overviews its building blocks (i.e. the following chapters) and clarifies its approach to the balance of payments. The second chapter reviews the data and shows the overall trends and developments in capital flows to the developing world by focusing on the geographical regions and income groups. The core of the thesis explores the empirical puzzle that although one would expect international capital to flow to capital scarce countries where returns are higher, observation shows that capital flows to richer rather than to poorer countries (the Lucas paradox). To explore this total capital is measured as the sum of foreign direct investment and portfolio equity flows. The third chapter addresses the argument, based on cross-section evidence (Alfaro et al, Rev. Econ. Stats), that including the quality of institutions accounts for the paradox (because richer countries have better institutions they attract more capital) and finds that this only holds if developed countries are included; within developing countries, institutions do not account for the paradox. The fourth chapter extends this by including institutional quality indicators among determinants of capital inflows and employs a variety of panel data estimators; the quality of institutions does not resolve the Lucas paradox, although certain types of institutions are important. The persistence in the paradox and implied non-convergence could be ascribed to the detrimental impacts of negative shocks and volatility in global financial markets or to a Linder-type home bias in international finance. The fifth chapter analyzes volatility, comovement (or contagion risk) and sudden stop (reversibility) of capital flows (foreign direct investment (FDI), foreign portfolio equity investment, long-term and short-term debt flows) using time series econometric techniques for twelve emerging market economies over 1970-2006. This is informative on the pattern and relationship between capital inflows, with implications for accommodating macroeconomic policies in countries receiving inflows. The chapter also addresses the predictions of conventional theory, that differences are associated with the maturity of the capital (long-term vs. short-term), with the information-based trade-off model of Goldstein and Razin (2006), that differences are associated with the structure of the capital (equity vs. debt). In line with the latter, equity flows (FDI and portfolio) are less volatile, more persistent, more predictable and less susceptible to sudden stops than debt flows. Contrary to conventional theory, short-term flows are not more volatile, but there is evidence that correlations and risks of contagion are stronger within the pairs of long-term and equity capital flows than within the short-term capital flows.