This thesis consists of empirical studies on various aspects of international corporate finance, a series of long-run event studies examining the abnormal stock return performance of Initial Public Offerings (IPOs), American Depositary Receipts (ADRs), and stock analyst recommendations. The first two of these, presented in Chapters 2 and 3, investigate the key issues relating to Initial Public Offerings (IPOs). The next, in Chapter 4, examines the performance of new American Depositary Receipt issues from emerging markets and its determinants. The final study, presented in Chapter 5, assesses the value of stock analysts? recommendations in emerging markets. It is essentially a series of empirical studies adopting a tried and tested methodology, involving benchmarks, for measuring returns over time in emerging markets, a subject that has not been sufficiently investigated. The long-run event study approach is designed to identify anomalies in these markets, which may be much more pronounced than in developed markets. This thesis makes substantive contributions to the existing knowledge on measuring, documenting and determining various issues in international corporate finance, and provides methodological improvements over previous studies. Chapter 2 presents an examination of the stock return performance of the IPO stocks listed on the Growth Enterprise Market (GEM) in Hong Kong, finding that the return performance is sensitive to the benchmark employed. Two main factors contributing to the underperformance of GEM stocks are the ?technology boom? and ?IPO effects?. Moreover, the results of cross-sectional analyses suggest that the Hong Kong GEM is a unique market; since at least 70 percent of the IPO stocks listed on the GEM are technology stocks, the ?technology? factor outweighs previous hypotheses advocated by previous researchers to explain the poor performance of newly listed stocks. Chapter 3 extends this analysis by turning attention to the post-issue stock price performance of Initial Public Offerings (IPOs) in Asian markets, using a comparative assessment of the stock performance of Asian IPOs motivated by the ongoing discovery of biases in event studies involving long horizon returns. Various methods were used to remove such biases, while examining the robustness of the long run performance of the IPOs. The results of this examination show that the existence of long run underperformance for the Asian IPOs depends on the methodology used. The study also assesses the ?Market Timing? theory with regard to Initial Public Offerings (IPOs), adding to the growing literature that suggests that Asian firms time their issuance of equity securities. Chapter 4 presents a comparative study of the post-issue stock performance and operating performance of the Initial Public Offerings (IPOs) of American Depositary Receipts (ADR) in emerging markets. The results of this study suggest that ADR IPOs are underpriced, though not to the same extent as regular IPOs. In the aftermarket, ADR IPOs underperform the Emerging Market Index. However, after controlling for differences in size and industry, underperformance of ADR IPOs compared with both home market IPOs and US IPOs could not be demonstrated. The analysis of stock and operating performance yields consistent results; aside from the ?window dressing? effect, this also demonstrates that stock price performance is a reflection of operating performance over the long run. Chapter 5 presents the first study to examine post-recommendation abnormal returns in emerging markets, based on the Emerging Market Index adjusted model and the Controlling Firm approach, demonstrating that stock prices react significantly to recommendation revisions, both on the revision day and subsequently. In this cross-sectional analysis, it appears that the Market-to-Book ratio is the primary indicator for Buy and Strong Buy recommendations. This indicates that stock analysts in emerging markets prefer high growth stocks with their attractive characteristics.

The goal of this study is to test the accuracy of various mutual fund timing and selectivity models under a range of portfolio managerial skills and varying market conditions. Portfolio returns in a variety of skill environments are generated using a simulation procedure. The generated portfolio returns are based on the historical patterns and time series behavior of a market portfolio proxy and on a sample of mutual funds. The proposed timing and selectivity portfolio returns mimic the activities of actual mutual fund managers who possess varying degrees of skill. Using the constructed portfolio returns, various performance models are compared in terms of their power to detect timing and selectivity abilities, by means of an iterative simulation procedure. The frequency of errors in rejecting the null hypotheses of no market timing and no selectivity abilities shape the analyses between the models for power comparison. The results indicate that time varying beta models of Lockwood- Kadiyala and Bhattacharya-Pfleiderer rank highest in tests of both market timing and selectivity. The Jensen performance model achieves the best results in selectivity environments in which managers do not possess timing skill. The Henriksson-Merton model performs most highly in tests of market timing in which managers lack timing skill. The study also investigates the effects of heteroskedasticity on the performance models. The results of analysis before and after model correction for nonconstant error term variance (heteroskedasticity) for specific performance methodologies do not follow a consistent pattern. / Graduation date: 1992

Multiple objectives are often used by agencies trying to manage pavement networks. Often alternative investment strategies can accomplish the agencies’ target objectives. If the goal is to achieve the target objectives at the minimum cost, an approach is needed to assist agencies in identifying investment strategies capable of meeting the targets while minimizing costs. The approach used by the agency should not be limited to an analytical method to mathematically solve the funding allocation problem. Finding mechanisms to ensure the sustainability and efficiency of the investment strategy over time is a great challenge that needs to be addressed by the approach. The challenge is even greater for local agencies where resources are usually limited. This research develops a multi-objective strategic management approach oriented to improving decisions for pavement management practices in local agencies. In this approach, target objectives are tied to key pavement network parameters in the management process. A methodology to identify the best combination of projects to meet target objectives at the minimum cost while maximizing treatment effectiveness is provided as a result of the research. Concepts from the pavement management program (PMP) of the Metropolitan Transportation Commission (MTC) of the San Francisco Bay Area were used as a basis for developing the methodology. Four pavement network parameters are considered for setting the target objectives over the agency’s planning horizon: the average network pavement condition index (PCI), average network remaining life, percent of the pavement network in good condition, and percent of the pavement network in poor and very poor condition. Results from a case study show that funding allocation methods influence the allocation of preservation and rehabilitation funds among pavement network groups, affecting budget estimates and future condition of the pavement network. It is also concluded that the use of mechanisms that facilitate data integration and the flow of knowledge across management levels can contribute to making better informed decisions. Hence, the adoption of the multi-objective strategic pavement management approach developed in this dissertation should lead to identifying more efficient investment strategies for achieving the pavement network state desired by a local agency at a minimum cost.

Univ., Diss.--Regensburg, 2006.

Thesis (Ph. D.)--University of California, San Diego, 2004. / Vita. Includes bibliographical references.

Syftet med rapporten är att beskriva hur fastighetsbolaget, Varbergs Fastighets AB och energibolaget, Halmstad Energi och Miljö hanterar de risk-, och osäkerhetsfaktorer som förekommer vid solcellsinvesteringar. För att energisamhället skall nå en hållbar framtid krävs att elproduktionen kommer ifrån förnybara energikällor. Sedan år 2008 har installationstakten för solceller i Sverige ökat. År 2012 installerades 8,3 MW solceller och år 2013 mer än fördubblades den installerade effekten till 19 MW (Lindahl, 2014). Trots utvecklingen står solenergin för 0,03 procent av Sveriges totala elproduktion, vilket kan jämföras med Tyskland där solenergin står för 5,3 procent av den totala elproduktionen år 2014 (IEA International energy agency, 2014). En investerare vill från investeringen nå en så hög avkastning som möjligt och samtidigt reducera och undvika de uppkomma riskerna. Det multinationella brittiskt-amerikanska revisor och konsultföretaget Pricewaterhousecoopers definierar risk som en osäker framtida händelse som kan påverka företagets möjlighet att uppnå de framtida strategiska, operationella och finansiella mål (Pricewaterhousecoopers, 1999). Den här studien har sin utgångspunkt i den samhällsvetenskapliga hermeneutiken. Studien antar att verkligheten är subjektiv och att observationer av den kräver tolkning. Det resultat som presenteras kommer därmed vara en tolkning av verkligheten och inte resultera i några generella teorier (Eriksson & Wiedersheim-Paul, 2014). Vår kvalitativa fallstudie grundar sig i en induktiv ansats där vi samlat in empirisk data genom att intervjua två företag och en solcellsexpert. Vi har intervjuat Varbergs Fastighets ABs processledare och hållbarhetsansvarig och Halmstad Energi och Miljös strategichef. Vi har även intervjuat branschorganisationen Svensk solenergis ordförande. Våra respondenter har stärkt vårt arbete med konstruktiv data för att vidare studera risk och osäkerhet i solcellsinvesteringar. Studien tyder på att de risker som föreligger vid solcellsinvesteringar är förhållandevis lika mellan aktörerna men det som skiljer är företagens riskhanteringsstrategier för att behandla dem. De allmänna riskerna som belyses av solcellsexperten är i enlighet med de risker som företagen påvisar men att den genomgående risken är en allmän låg kunskap kring solceller. / This study attempts to describe how the real estate company, Varbergs Fastighets AB and the energy-company, Halmstad Energi och Miljö copes with factors of risks and uncertainties that may occur while investing in photovoltaic. To enable the energy society to attain a sustainable future, the production of energy must be provided by renewable sources. Since 2008, the rate of the installation of photovoltaic in Sweden has increased. In 2012, 8.3 MW of solar cells were installed and by 2013, the installed effect was more than doubled (Lindahl, 2014). Despite this bright development, the solar energy in Sweden only provides 0.03 percent of the overall energy production in the year of 2014 (IEA International energy agency, 2014). An investor wants from the investment reach as high a return as possible while reducing and avoiding the risks incurred. The multinational British-American accountant and consulting firm PricewaterhouseCoopers defines risk as an uncertain future event that may affect the company's ability to achieve future strategic, operational and financial targets (PricewaterhouseCoopers, 1999). This study takes its point of departure in the hermeneutics of the social science. The study assumes that the reality is subjective, and thus demands an interpretation of the observations from it. The result presented in this report will therefore be an interpretation of the reality and consequently not answer in any general theories (Eriksson & Wiedersheim-Paul, 2014). Our qualitative case study has its base in an inductive approach, where empirical data has been gathered by interviewing two companies and one expert of photovoltaic. We have interviewed the process manager and the manager of sustainability of Varbergs Fastighet AB and the strategy executive of Halmstad Energy och Miljö. We have also interviewed the chairman of Swedish solar energy. Our respondents have strengthened our work with constructive data, to further study the risks and uncertainties associated with investments in photovoltaic. This study indicates that the risks presented by investments in photovoltaic are relatively similar between the operators, but the distinguishing factor is the treatment of the risks by the companies. The common risks illuminated by the experts of photovoltaic runs accordingly with the risks demonstrated by the companies, though it is clear that the pervading risk is general poor knowledge of photovoltaic.

published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

No description available.

This dissertation investigates why a substantial number of common stocks is held by companies in many countries, especially in Japan. Chapter 1 gives an overview of historical and legal issues regarding corporate shareholding in Japan. Chapter 2 reviews how researchers have, theoretically and empirically, approached corporate shareholding issues. Chapter 3 elaborates on a corporate shareholding model which incorporates a standard principal-agent model with Aoki's managerial risk sharing argument (Aoki, 1988). The model finds that a risk-averse manager of a firm invests in other firms if managerial reward is linked with the value of the firm she manages, and if the operating profits of investing and invested firms are negatively correlated. Corporate stock investment is larger if the invested (and/or investing) company's operating profit is less volatile and/or if the covariance in the operating profits of the companies is more strongly negative. Although a stronger link between corporate performance and managerial reward increases managers' incentive to exert efforts, it also increases the risk that managers must bear. If the risk is too high, managers would leave their companies. Corporate stock investment reduces the risk, and enables shareholders to offer a higher incentive to the managers and to earn a higher (expected) income. Chapter 4 examines three major arguments concerning the rationale behind the practice of corporate shareholding: the competitive-effect, risk-sharing, and control-rights arguments. Predictions drawn from those arguments are tested using panel data of 186 Japanese corporate group firms from 1980 to 1988. The main findings of this study are as follows. (1) The competitive-effect argument is clearly supported by the data. Firms in the same industry do tend to invest more in one another. (2) The evidence in favor of the risksharing argument is weaker — although firms with less risky operating profits tend to attract more investment, the relationship between investment and the covariance in the firms' operating profits is ambiguous. (3) The strongest empirical support is given to the control-rights argument. Indeed, the evidence confirms that a firm is more likely to invest in other firms that hold more of its own shares. Chapter 5 concludes this dissertation.

This dissertation relates to the study of the financial market of Mauritius, which is categorised as "Emerging". Its performance as an exchange system has been assessed with a view to find whether it is operationally efficient. Consequently, two issues in portfolio management have been analysed. In the first instance, the risk reduction effect of increasing portfolio size, based on the simple diversification strategy has been experienced. Secondly, the hypothesis that investment in low P/BV shares on average yields higher returns than investment in high P/BV shares has been tested. / Thesis (MBA)-University of Natal, 2002.