Submitted in partial fulfilment of the requirements for the degree of Masters of Management in Finance and Investments In the Faculty of Commerce, Law and Management University of the Witwatersrand, Wits Business School, 2016 / This paper presents a first time application of a variant of the concepts underpinning the Fed Model, amalgamated with the Bond-Stock Earnings Yield Differential, by applying it to the dividend yields of REIT indices. This modification is termed the yield gap, quantitatively constructed and adapted in this paper as the Reverse REIT-Bond Yield Gap. This metric is then used as the variable of interest in a multivariate Markov regime switching model framework, along with a set of three regressors. The REIT indices trailing dividend yield and associated metrics are the FTSE/EPRA NAREIT series. All data are from Bloomberg Terminals. This paper examines 11 markets, of which the EMEs are classified as Brazil, Mexico, Turkey and South Africa, whereas the advanced market counterparts are Australia, France, Japan, the Netherlands, Singapore, the United Kingdom, and the United States. The time-frame spans the period June 2013 until November 2015 for the EMEs, whilst their advanced market counterparts time-span covers the period November 2009 until November 2015. This paper encompasses a tri-fold research objective, and aims to accomplish them in a scientifically-based, objective and coherent fashion. Specifically, the purpose is in an attempt to gauge the reasons underlying EMEs observed anomalies entailing reverse REIT-Bond yield gaps, whereby their tenyear nominal government bonds out-yield their trailing dividend yields on their associated REIT indices; what drives fluctuations in this metric; and whether or not profitable tactical asset allocation strategies can be formulated to exploit any arbitrage mispricing opportunities. The Markov models were unable to generate clear-cut, definitive reasons regarding why EMEs experience this anomaly. Objectives two and three were achieved, except for France and Mexico. The third objective was also met. The REIT-Bond Yield Gaps static conditions have high probabilities of continuing in the same direction and magnitude into the future. In retrospection, the results suggest that by positioning an investment strategy, taking cognisance of the chain of economic events that are likely to occur following static REIT-Bond Yield Gaps, then investors, portfolio rebalancing and risk management techniques, hedging, targeted, tactical and strategic asset allocation strategies could be formulated to exploit any potential arbitrage profits. The REIT-Bond Yield Gaps are considered highly contentious, yet encompasses the potential for significant reward. The Fed Model insinuates that EME REIT markets are overvalued relative to their respective government bonds, whereas their advanced market counterparts exhibit the opposite phenomenon. / XL2018

[pt] A metodologia tradicional do fluxo de caixa descontado, amplamente adotado pelas empresas para avaliar investimentos e tomar decisões, possui diversas limitações quando a análise está sujeita a incertezas e existem flexibilidades gerenciais. A teoria de opções reais surge como uma metodologia mais adequada para este tipo de cenário, uma vez que permite a avaliação do investimento em função das flexibilidades incluídas no projeto que podem ser modeladas de maneira semelhante ao cálculo do valor de uma opção financeira do mercado de capitais. Este trabalho analisa um investimento para um projeto de uma empresa que capta recursos através da formação de um fundo de Venture Capital. A utilização do método de opções reais para avaliação de projetos financiados através deste tipo de captação é recomendada, uma vez que os mesmos encontram-se em estágio de desenvolvimento inicial, submetidos a um ambiente de forte incerteza e com a existência de flexibilidades gerenciais que afetam a tomada de decisão. A indústria de Venture Capital é tipicamente representada por empresas de elevado crescimento nos primeiros anos de investimento e forte volatilidade dos retornos esperados (incerteza). O projeto apresentou VPL negativo quando a abordagem tradicional é utilizada e, ao aplicar a metodologia de opções reais, foi possível perceber que este resultado subestima o valor do projeto e leva a uma tomada de decisão não ótima. A partir deste trabalho, conclui-se que, em cenários de grande incerteza e existência de flexibilidades, como é o caso de investimentos de Venture Capital, o método de valoração mais adequado é a metodologia de opções reais. / [en] The traditional discounted cash flow method, which is commonly used by companies to analyze capital budgeting investments, has important limitations when uncertainty and managerial flexibility are present. For these types of project, option pricing methods are more appropriate, since they allow the value of these managerial flexibilities to be adequately captured and valued. In this work we analyze the investment in a project through a venture capital fund, and show that the use of the real option method for the valutation of this type of projects and financing scheme is recommended, given these projects are in the initial stages of development, have a high degree of uncertainty and allow significant managerial flexibility. The Venture Capital industry is typically represented by firms with high growth rates in their initial years and high volatility of the expected returns. The results show that the project has a negative NPV under the traditional discounted cash flow method, but with real option valuation the project value was significantly higher, which shows that non optimal decisions may occur if project flexibility is not valued. We conclude that when high levels of uncertainty and flexibility exist, such as is the case of investments in Venture Capital projects, the real options method provides a more adequate value for the project.

I investigate the association between large shareholder heterogeneity and firms' accounting quality and information asymmetry. Specifically, I construct three measures of ownership heterogeneity based on the type, size, and monitoring aggressiveness of large shareholders present in a firm. Applying these three measures of heterogeneity, I examine whether large shareholder heterogeneity is associated with the variation in firms' accounting quality and information asymmetry. I also examine new block formations to provide evidence on the consequences of large shareholder investment on firms' accounting quality and information asymmetry. I find that the monitoring aggressiveness of large shareholders is positively associated with firms' accounting quality and information asymmetry. These findings suggest that large aggressive shareholders constrain earnings management, but contribute to firms' overall information asymmetry. Further, using new blockholder data, I find that investments by large aggressive shareholders are positively associated with firms' accounting quality and firms' information asymmetry in the post investment period. This finding provides additional support to my hypotheses that large shareholders play an important role in firms' accounting quality and information asymmetry. / by Joseph E. Trainor. / Thesis (Ph.D.)--Florida Atlantic University, 2011. / Includes bibliography. / Electronic reproduction. Boca Raton, Fla., 2011. Mode of access: World Wide Web.

As a consequence of financial analysts' joint role as information intermediaries and firm monitors, I investigate analysts' responses to opportunistic corporate earnings management as firm mispricing increases. While firms' management have capital markets and executive equity incentives to manage earnings, financial analysts have trading volume, investment banking, and management information incentives which result in analysts' optimism bias. However, prior research also finds that analysts have reputational incentives, which motivate them to provide accurate and profitable outlooks. Using a generalized linear model (GLM), I estimate analysts' stock recommendation (price targets) responses for earnings management firms. I use the residual income model to compute fundamental value and I add proxies for earnings management to my analyst-responses models.... The main implications of my findings are that analysts use corporate earnings management and firm fundamental value in their stock recommendations (price targets) responses. In addition, my results provide evidence that, after controlling for earnings quality, analysts' stock recommendations (price targets) are consistent with strategies based on residual income models. These findings will be of interest to shareholders, regulators, and researchers as well as to finance and accounting practitioners. / by Jomo Sankara. / Thesis (Ph.D.)--Florida Atlantic University, 2012. / Includes bibliography. / Mode of access: World Wide Web. / System requirements: Adobe Reader.

Research linking marketing to financial outputs has been gaining significance in the marketing discipline. The pertinent questions are, therefore: how can marketing improve measures of firm performance and draw potential investors to the company, and where is the quantitative proof to back up these assertions? This research investigates the role of marketing expenditures in the context of initial public offerings (IPOs). The proposed theoretical framework comes from marketing and finance literature, and uses econometric models to test the hypotheses. First, we replicate the results of a previous study by Luo (2008) showing a relationship between the firm's pre-IPO marketing spending and IPO underpricing. Next, we extend the previous study by looking at the IPO's long-run returns, types of risk, analyst coverage, and market/industry characteristics. The results of this study, based on a sample of 2,103 IPOs from 1996 to 2008, suggest that increased marketing spending positively impac ts firm performance. We examine different measures of firm performance, such as risk and long-run performance, whose results are important to the firm, its shareholders, and potential investors. This study analyzes the impact marketing spending has on IPO characteristics (IPO underpricing in the short-run and cumulative abnormal returns in the long run); risk characteristics (systematic, unsystematic, bankruptcy risk, and total risk); analyst coverage characteristics (the number of analysts, optimistic coverage, and forecast error) and market characteristics (market volatility and industry type). We control for variables such as firm size, profitability, and IPO characteristics. In this paper, the results show that increased marketing spending lowers underpricing, lowers bankruptcy risk, lowers total risk, leads to greater analyst coverage, leads to more favorable analyst coverage, and lowers analyst forecast error. For theory, this paper advances the literature on the / marketing-financ e interface by extending the market-based assets and signaling theories. For practice, the results indicate that spending more money on marketing before the IPO and disclosing this information produces positive bottom-line results for the firm. KEYWORDS: Marketing-Finance, Risk, Financial Analysts, Marketing Spending, Firm Performance, Marketing Strategy Meets Wall Street, Long-Run Firm Performance, Underpricing, Stock Recommendations, Initial Public Offering, Marketing Strategy, Econometric Model. / by Monica B. Fine. / Thesis (Ph.D.)--Florida Atlantic University, 2012. / Includes bibliography. / Electronic reproduction. Boca Raton, Fla., 2012. Mode of access: World Wide Web.

Um projeto de investimento foi desenvolvido com o objetivo de avaliar a viabilidade econômica da utilização de resíduo agroindustrial na produção de painéis de partículas (MDP). A unidade de produção foi inicialmente concebida para a utilização em pesquisas na Faculdade de Engenharia de Alimentos da Universidade de São Paulo - Departamento de Engenharia de Biossistemas, sendo que esta tese buscou avaliar a viabilidade econômico-financeira do empreendimento. Foram avaliados dezesseis cenários nos quais utilizou-se, na confecção dos painéis, o bagaço de cana-de-açúcar e resinas à base de ureia-formaldeído e poliuretana à base de óleo de mamona, em diferentes proporções. Os primeiros doze cenários foram definidos a partir da variação de preços dos produtos vendidos e das variações dos desembolsos decorrentes da utilização das diferentes resinas e porcentagem dessas na confecção dos painéis. Para esta avaliação inicial utilizou-se como fonte de financiamento do empreendimento o capital próprio. Nos quatro últimos cenários foram avaliados os efeitos da fonte de financiamento do empreendimento, via operação de crédito junto ao Banco Nacional de Desenvolvimento Econômico e Social (BNDES). Para estes cenários foram avaliados aqueles que apresentaram viabilidade econômica na etapa inicial da avaliação. O método de análise econômica utilizado foi o de Fluxo de Caixa (Cash Flow) e as técnicas aplicadas foram: Payback Simples, Payback Descontado, Valor Presente (VPL) e Taxa Interna de Retorno (TIR). O empreendimento mostrou-se economicamente viável estritamente para os cenários nos quais foram utilizados os preços médios e máximos projetados e com a utilização de resina ureia-formaldeído. A utilização de financiamento via operação de crédito junto ao BNDES não melhorou os índices apurados, porém mostrou-se alternativa para viabilizar a execução do empreendimento. / A study of an investment project was developed with the objective of evaluating the economic viability of agro industrial residue application (sugar cane bagasse) in the production of particle board (MDP). The constructed building production unit was initially designed for researches at the Department of Food Engineering of the University of São Paulo - Department of Biossystems Engineering, and this thesis attempted to evaluate the economic-financial viability of the project. Sixteen scenarios were used, where sugar cane bagasse and resin based on urea-formaldehyde and polyurethane based on castor oil were applied in the preparation of the panels in different proportions. The first twelve scenarios were defined based on the variation of the sold products\' prices and the variations of the payoff resulting from the use of the different resins and their percentage in the preparation of the panels. For the initial evaluation the investment was financing from own researcher\'s capital. In the last four scenarios, the effects of the financing source of the project were evaluated through a credit operation with National Bank for Economic and Social Development (BNDES). For these scenarios, the presented economic feasibility was evaluated on the initial stage of evaluation. The method of economic analysis used was Cash Flow and the applied techniques were: Simple Payback, Discounted Payback, Net Present Value (NPV) and Internal Rate of Return (IRR). The project showed economically feasible strictly for the scenarios in which the average and maximum prices projected used urea-formaldehyde resin. The use of financing through a credit operation along with BNDES bank did not improve the established rates, but it was an alternative to make the accomplishment of the project feasible.

Este trabalho é composto por dois artigos que visam analisar as margens relativas e absolutas de comercialização da indústria de processamento de laranja e a viabilidade econômico-financeira para a implantação deste empreendimento no estado de São Paulo. Embora seja uma cadeia produtiva importante no agronegócio do país, vem sendo constatada uma deterioração das relações entre os citricultores e a indústria processadora de suco de laranja. Após uma breve introdução e fundamentação do problema no primeiro capítulo, analisa-se no segundo capítulo as margens de comercialização da indústria de citros. Contatou-se que a indústria tem operado com margens relativas positivas e elevadas, principalmente, quando é incluída a receita obtida com as exportações dos subprodutos. No segundo artigo (terceiro capítulo desta dissertação), são consideradas três plantas industriais de processamento de citros na análise de investimento, com base no mix de produção, além de incorporar um mecanismo de precificação para a caixa de laranja a ser paga ao citricultor, através do modelo CONSECITRUS. Utilizou-se a metodologia de fluxos de caixa descontados, calculando os indicadores de Valor Presente Líquido - VPL, Taxa Interna de Retorno - TIR, Payback - PB e Payback descontado - PBD para os projetos. Os resultados indicaram que há viabilidade em todos os modelos e cenários analisados. Porém, através da análise probabilística, constatou-se a existência de um risco financeiro elevado, mensurado através do quantil negativo da distribuição do VPL. Embora o risco financeiro seja expressivo, verificou-se que o modelo CONSECITRUS proporcionaria à indústria um grau de risco, moderadamente, menor do que aquele que vigora atualmente. Neste contexto, a citricultura brasileira mostra-se como uma atividade razoavelmente rentável no longo prazo, embora esteja sujeita a um elevado nível de risco. / This study is composed of two articles aimed to analyze the relative and absolute margins of commercialization of orange processing industry and the economic and financial feasibility for the implementation of this venture in the state of São Paulo. Although it is an important agribusiness production chain for the country, it observed a deterioration of relations between citrus fruit growers and the processing industry of orange juice. After a brief introduction and justification of the problem in the first chapter, in the second chapter it is possible to analyze marketing margins of the citrus industry. When the revenue from exports of by-products is included, it was found that the industry has operated with positive and higher relative margins. In the second article (the third chapter of this dissertation), three industrial plants of citrus processing are considered in the financial analysis, based on the mix of production, in addition to incorporate a pricing mechanism for the orange box to be paid to the grower through the CONSECITRUS model. The methodology of discounted cash flows was used for calculating the net present value of indicators - NPV, internal rate of return - IRR, Payback - PB and Payback discounted - PBD for the projects. The results indicated that there is feasibility in all models and scenarios analyzed. However, through the probabilistic analysis it was found that there is a high financial risk, measured through the negative quantile of the NPV distribution. Although the financial risk is significant, it appeared that the CONSECITRUS model would offer the industry a risk, lower than the one currently in effect. In this context, the Brazilian citrus industry proves to be a reasonably profitable activity in the long term, although it is subject to a high level of risk.

I examine how managerial reputation affects the quality of non-GAAP earnings disclosures and how the market reacts to non-GAAP earnings disclosures associated with managerial reputation. Although there was an initial dip in the frequency of non-GAAP earnings disclosures after SOX and Regulation G, the frequency of non-GAAP earnings disclosures has increased in recent years (Brown, Christensen, Elliott and Mergenthaler 2012). Motivated by the efficient contracting theory and managerial reputation incentives, I investigate whether reputable managers are associated with higher quality non-GAAP earnings disclosures. I also investigate whether the market is more responsive to non-GAAP earnings disclosed by reputable managers. Using empirical models modified from prior research, I find that reputable managers are less likely to disclose non-GAAP earnings, which is consistent with the efficient contracting explanation. I also find that reputable managers exclude more recurring items that are related to future operating earnings when they disclose non-GAAP earnings, which is consistent with the rent extraction explanation in prior research. Finally, I find that managerial reputation has an incremental effect on the market reaction and that the market is more responsive to non-GAAP earnings disclosed by reputable managers if the unexpected earnings are positive. The study contributes to both non-GAAP earnings disclosures literature and managerial reputation incentives literature. It also has implications for investors, managers, and regulators. / Includes bibliography. / Dissertation (Ph.D.)--Florida Atlantic University, 2014. / FAU Electronic Theses and Dissertations Collection

The Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the is correlated with traditional market timing measures of the Treynor and Sharpe ratios over the 1995-2010 time period and how it affects widely used measures of regression based market timing models of Treynor- Mazuy and Henriksson-Merton. The Market Timing - Buy and Hold (MT-BH) metric can be applied to any equity market over any time period to condition the market timing skill of money managers in any equity market around the world. The final accomplishment of this dissertation is to determine if readily available finance and macro-economic variables can help investors determine which years are more favorable to pursue market timing strategies and which years favor buy and hold investing. When real GDP growth rates, inflation rates and PE ratios were low or negative and when dividend yields were high, market timing strategies were favorable across 44 country market indexes from 1994-2008. These results were robust to country level of development, negative market return years and other control variables. The conditions for pursing market timing strategies were time variant and detectable with macro-economic and finance variables. The MT-BH metric allows investors and brokers to determine when to switch from buy and hold investing to a market timing strategy using macro-economic and financial variables and helps to explain why market timing skill of managers is rarely found to be persistent. / by William Fount Johnson, III. / Thesis (Ph.D.)--Florida Atlantic University, 2011. / Includes bibliography. / Electronic reproduction. Boca Raton, Fla., 2011. Mode of access: World Wide Web.

The purpose of this thesis is to compare the effectiveness of several interest rate models in fitting the true value of interest rates. Up until 1990, the universally accepted models were the equilibrium models, namely the Rendleman-Bartter model, the Vasicek model, and the Cox-Ingersoll-Ross (CIR) model. While these models were probably considered relatively accurate around the time of their discovery, they do not provide a good fit to the initial term structure of interest rates, making them substandard for use by traders in pricing interest rate options. The fourth model we consider is the Hull-White one-factor model, which does provide this fit. After calibrating, simulating, and comparing these four models, we find that the Hull-White model gives the best fit to our data sets. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2014. / FAU Electronic Theses and Dissertations Collection