Thesis (Ph.D.)--University of Canterbury, 2006. / Typescript (photocopy). Includes bibliographical references (leaves 125-140). Also available via the World Wide Web.

Thesis (M. Phil.)--University of Hong Kong, 1999.

There are three distinct avenues of empirical research relating to option returns. (1) attempts to explain option returns; (2) analysis of models forecasting option implied volatility (IV) versus alternative forecasts of futures realized volatility (RV); and (3) estimation of the economic benefit of volatility forecasting. This study shows that the three apparently disparate fields of research are closely related since option returns are positively related to volatility spread, and asset returns are negatively related to volatility shock. We show that IV outperforms, and indeed subsumes, a subset of time-series historical volatility (TS-HV) forecasts in predicting RV, although the finding that TS-HV does not provide incremental information in forecasting RV, the use of the alternative predictor can enhance the economic profit to option traders. The study also shows that option horizons significantly affect the impact of option mispricing and market direction on option returns. We provide incremental evidence that puts are more expensive than calls and reinforce the argument that pricing asymmetry can be attributed to the greater skewness of put returns due to a negative return-volatility relationship.

Master of Agribusiness / Department of Agricultural Economics / Allen M. Featherstone / Best Maid is a middle-sized regionally orientated company, headquartered in Fort Worth, Texas. It is currently owned and operated by the fourth generation of the Dalton family. The company specializes in the production of pickles and condiment products and currently holds the title of #1 retail brand of pickles in the state of Texas. In addition to the Best Maid label, products are also produced under the Del-Dixie label. The objective of this thesis is to analyze a potential capital project: a bucket line replacement. The analysis will be completed by using net present value to determine the cost and benefits of the project. The focus of the project will be the food service bucket line. The current line was designed and installed over 20 years ago. Currently, this line and supporting resources require a staff of 17 employees to operate. The process is looking to be improved through advances in technology including vibratory conveyors, more complex PLC programming, and increased accuracy of scaling equipment. Implementing these advancements has the potential to reduce the employee labor cost as well as decrease over-scaling. The goal of this project is to inform the Best Maid owners of the investment costs, labor savings, benefits, and the financial viability of the proposed capital investment. Best Maid has consistently grown at a high single digit to low double digit rate each year. Businesses must continually identify and react to the needs of tomorrow, today. Formal processes within the business will be established to evaluate and prioritize future potential projects. The conclusion of the analysis resulted in a positive NPV of about $567 thousand and a favorable IRR. The recommendation is to adopt the new technology.

No description available.

Investors and financial analysts spend an inordinate amount of time, resources and effort in an attempt to perfect the science of maximising the level of financial returns. To this end, the field of distribution modelling and analysis of firm size effect is important as an investment analysis and appraisal tool. Numerous studies have been conducted to determine which distribution best fits stock returns (Mandelbrot, 1963; Fama, 1965 and Akgiray and Booth, 1988). Analysis and review of earlier research has revealed that researchers claim that the returns follow a normal distribution. However, the findings have not been without their own limitations in terms of the empirical results in that many also say that the research done does not account for the fat tails and skewness of the data. Some research studies dealing with the anomaly of firm size effect have led to the conclusion that smaller firms tend to command higher returns relative to their larger counterparts with a similar risk profile (Banz, 1981). Recently, Janse van Rensburg et al. (2009a) conducted a study in which both non- normality of stock returns and firm size effect were addressed simultaneously. They used a scale mixture of two normal distributions to compare the stock returns of large capitalisation and small capitalisation shares portfolios. The study concluded that in periods of high volatility, the small capitalisation portfolio is far more risky than the large capitalisation portfolio. In periods of low volatility they are equally risky. Janse van Rensburg et al. (2009a) identified a number of limitations to the study. These included data problems, survivorship bias, exclusion of dividends, and the use of standard statistical tests in the presence of non-normality. They concluded that it was difficult to generalise findings because of the use of only two (limited) portfolios. In the extension of the research, Janse van Rensburg (2009b) concluded that a scale mixture of two normal distributions provided a more superior fit than any other mixture. The scope of this research is an extension of the work by Janse van Rensburg et al. (2009a) and Janse van Rensburg (2009b), with a view to addressing several of the limitations and findings of the earlier studies. The Janse van rensburg (2009b) study was based on data from the Johannesburg Stock Exchange (JSE); this study seeks to compare their research by looking at the New York Stock Exchange (NYSE) to determine if similar results occur in developed markets. For analysis purposes, this study used the statistical software package R (R Development Core Team 2008) and its package mixtools (Young, Benaglia, Chauveau, Elmore, Hettmansperg, Hunter, Thomas, Xuan 2008). Some computation was also done using Microsoft Excel. This dissertation is arranged as follows: Chapter 2 is a literature review of some of the baseline studies and research that supports the conclusion that earlier research finding had serious limitations. Chapter 3 describes the data used in the study and gives a breakdown of portfolio formation and the methodology used in the study. Chapter 4 provides the statistical background of the methods used in this study. Chapter 5 presents the statistical analysis and distribution fitting of the data. Finally, Chapter 6 gives conclusions drawn from the results obtained in the analysis of data as well as recommendations for future work.

This thesis analyzes the investment environment in Belgium using SWOT analysis. Within the scope off this analysis there are discussed the most important aspects of political, legislative, economic, socio-cultural and technological nature. Due to this fact, this thesis provides a comprehensive view on the Belgian investment environment and allows potential investors to become familiar with the local characteristics. Belgian investment environment namely disposes of many sectors, which are not apparent at first glance and which can carry investment potential. Therefore, despite the complexity of the Belgian administration, legislation and regional support programs, Belgium provides a convenient place for a particular business.

This thesis presents three models of asset pricing involving non-competitive behavior and asymmetric information. In the first model, a risk averse investor with private information about dividends trades shares over an infinite time horizon with risk neutral uninformed agents. The informed investor trades strategically in equilibrium. The second model also involves an infinite time horizon, but all agents are risk averse and equally informed about dividends. Non-competitive behavior is exogenously specified; price takers trade shares with a strategic investor who accounts for the effects of her trades on the stock price. In this case, an endogenous information asymmetry arises in equilibrium. Closed form equilibria are derived for both models and implications for price dynamics are explored. While the first model constitutes a new extension of the multiperiod Kyle model of insider trading, the second model generates more interesting price dynamics. If the strategic investor manages a large mutual fund, significant risk premia and price volatility may arise in equilibrium. In fact, if mutual fund participation is sufficiently widespread, multiple equilibria may exist. The third model extends the multiperiod Kyle model to a case where the insider observes a noisy signal of the stock's terminal liquidation value. An equilibrium much like Kyle's is derived. Price tends toward value over time, and stock price volatility depends on both the drift and volatility of the insider's private signal. Like the Kyle model, the insider's trading activity leaves no detectable trace in trading volume, expected returns, or price volatility. / Business, Sauder School of / Finance, Division of / Graduate

No description available.

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016. / The biotech sector is highly specialized, with long development time lines, high risk and high investment financing requirement, however with high returns. At a global scale, the USA and Europe are the most important markets, accounting for half of the global biotech patents. In 2012, the USA held 46.6% of the global sales in this sector with the European Union at 28.5%, Japan at 8.4% and BRICS at 3.4%. Much of the growth (29.3%) is however, expected in emerging markets. The South African government has invested an amount of approximately R1 billion in the period from 2003 to 2011 in the Biotechnology start-ups. It is not clear whether a return on this investment has been realized. Thus, the aim of this work is to investigate what is the investment performance of the South African Biotechnology industry, what funding models have been used and suggest models that would be appropriate for Biotechnology start-ups to result in an improved investment performance. The methods applied included reviewing various published journal articles, industry reports and lastly having structured expert interviews with major funders in the South African Biotechnology industry that is, the IDC, TIA, the dti and DST. The findings indicate that when compared to the development markets, the composition of the SA biotechnology sector lags behind in terms of the number of companies that are in existence, publically listed companies, revenue generated by companies in this sector and number of jobs created. It is evident that although government funding and percentage national GDP spend on R&D in this sector is on par with that of India and Brazil, the lack of private sector funding is much more pronounced in South Africa. In addition, the market size, industry revenues and profits generated in SA are much less than those of its emerging market counterparts. Furthermore, in addition to the financing environment that is not broad enough, there are critical structural elements such as the involvement of universities, alliances with large corporates and the role of the stock market in raising capital that need to be addressed. It is thus, suggested that the South African government reviews its current funding models in an effort to realize a return on its investments. Two models are proposed in this work. Firstly, government-private sector matching funds linked to an incubator and secondly, increasing the pool of funds by accessing patient capital and structuring it as VC –type fund. These models have been very successful in yielding returns in other markets and improving the impact of the sector. / DH2016