Thesis (MBA)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: In this study investors were informed of the benefits of diversification and the reduction of systematic risk when property is included in an asset allocation portfolio. It also provided investors with information that will assist them in deciding on asset class allocations, specifically including real estate within a mixed-asset portfolio for both the short and long term. The method applied to answer the research questions started with a detailed literature review in order to gain a thorough understanding of the topic. The second part involved a quantitative approach. The South African Property Index (SAPI), All Share Index (ALSI) and All Bond Index (ALBI) total returns were analysed using descriptive statistics in order to gain knowledge about the return (mean) and risk (standard deviation) performances of the three asset data series. The final part analysed the allocation weights of assets in a mixed portfolio to determine the optimal portfolio weights to either reduce risk or enhance returns. It was found for the period under review that property quarterly returns outperformed equity and bonds. The compound annual growth rate for the period was calculated and it was found that property had a growth rate of 26.1 per cent, equity a growth rate of 17.9 per cent and bonds a growth rate of 10.9 per cent. The risk rate for property was also determined and it was higher than for equity and bonds. The study also found a correlation between bonds and properties, meaning that adding bonds to a real estate portfolio would not give much diversification benefit. Equity to bonds had a negative correlation, showing diversification benefits of adding bonds to an equity portfolio. However, equity to property had a low correlation, meaning that adding property to an equity portfolio would reduce portfolio risk and increase returns. Should an investor not want to be exposed to more risk than simply holding one asset, namely bonds, a portfolio gives substantially higher returns without increasing the risk The study also observed the changes in the asset class returns during certain economic activities. Bonds were found to be the most resistant of the three asset classes and equity the most affected.

published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

This thesis presents three essays on the Chinese equity market. Specifically I focus on the long run common trends and microstructure of the market after a set of regulatory events that surrounded a trading reform in 2001. The major goal of the thesis is to establish the interaction between the composition and medium of the transaction environment and the overall observed trends within the market at the aggregate level. In Chapter 2, I present a model of common trends amongst the Chinese equity market segments and implement a robust test for cointegrating relations.  In Chapter 3, I derive a multivariate linear rational expectations model in the presence of heteroscedasticity and information asymmetry.  In Chapter 4, I implement this theoretical model for A and B share cross listed stocks on the Shanghai stock exchange and impute the model parameters.  Whilst these chapters concentrate on China, the methodology and economic rationale are of practical relevance to all countries and most types of traded securities.

This study is a test of the efficiency of the London Traded Options Market. Because it uses the Black-Scholes Option Pricing Model, it is also a test of option pricing. In the process of examining call option price behaviour it investigates the effects of three empirical factors. First, it investigates the effect of a non-constant share price volatility. Hitherto, there has been no agreed procedure on modelling or forecasting the future share price volatility. This study shows that the GARCH process has the best forecasting accuracy. The ex ante GARCH volatility estimate is then incorporated in the Black-Scholes model. Because the volatility is assumed constant in the Black-Scholes model, the consideration of adapting the GARCH volatility into the model sheds insight on bridging empirical results and theoretical requirements. Second, because the London Traded Options Market is thinly traded the quoted prices may not reflect prices at which trade did or could take place. However, information on call option trading volume may not be available. This study develops and implements an analytical criterion to select the most actively traded call options. The call options selected by this criterion bear the basic characteristics of those frequently traded call options where trading volume is available. Third, this study uses the bid and ask quotations for shares and call options to test the efficiency of the London Traded Options Market. By incorporating the bid-ask spread directly in the establishment of arbitrage portfolios, an accurate assessment of transactions data can be made. The results of incorporating these factors in the test for market efficiency reveal that, despite the identification of mispriced call options, it would not have been possible to exploit the mispricing by setting up arbitrage portfolios. It must therefore be concluded that the London Traded Options Market was trading efficiently over the period of this study.

By analyzing the information provided by analyst recommendations in the banking industry, I find that analyst recommendations trigger an immediate impact on the value of banks (Essay 1), they profitably guide the investment decisions of investors for periods of up to three months (Essay 2), and they also have an immediate impact on the values of rival banks (Essay 3). In addition, I find that analysts’ ability to provide new information depends on the information environment of the bank. The degree of information asymmetry, the degree of complexity, the risk of the bank, the risk of the time period, as well as regulatory reforms that affect these characteristics, have a significant impact on the analyst’s ability to provide new information to the investors. Specifically, I find that analyst recommendations are more informative when banks suffer from a high degree of information asymmetry. In addition, regulatory reforms that reduced the information asymmetry of the banking industry also diminished the analyst’s ability to provide new information. Similarly, I find that analyst recommendations have a greater impact on the values of the rated and the rival banks when these banks operate in a risky environment. This result is robust to several measures of bank risk, period risk, and regulatory events that affected the risk of the banking industry. However, the results of Essay 2 show that positive recommendations that occur during riskier periods or after regulatory events that increased the risk of the banking industry result in lower value for the investors over the following 1-month or 3- month periods. Lastly, I find that as banks become more complex, analyst recommendations have a smaller immediate impact on the value of the bank, deliver a smaller investment value for the investors, and also have a smaller immediate impact on the value of the rival banks. / Includes bibliography. / Dissertation (Ph.D.)--Florida Atlantic University, 2014. / FAU Electronic Theses and Dissertations Collection

by Lum Kwok Keung Jacky. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1989. / Bibliography: leaves 60-61.

by Fung Mei Ling, Hon Ming Luen Katy. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 57-58). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / Chapter / Chapter I --- INTRODUCTION --- p.1 / The Market --- p.1 / The Investors --- p.2 / The Investment Tools --- p.3 / Scope of Study --- p.4 / Chapter II --- DEFINATIONS OF INVESTMENT TOOLS AND THEIR THERIORIES BEHIND --- p.7 / Fundamental Analysis --- p.7 / Technical Analysis --- p.8 / Mutual Funds --- p.11 / Market Anomaly Rules --- p.12 / """January Effect""" --- p.12 / """Weekend Effect""" --- p.13 / """Turn-of-the-Month Effect""" --- p.14 / """January Barometer""" --- p.14 / Chapter III --- METHODOLOGY --- p.16 / Approach --- p.16 / Data Collection --- p.17 / Chapter IV --- RESULTS --- p.19 / Mutual Funds --- p.19 / Market Anomaly Rules --- p.22 / Chapter V --- CONCLUSIONS --- p.27 / A Review of Economic Impacts from 1998 to 2000 --- p.27 / Comparing Performances of Mutual Funds --- p.31 / Comparing Performances of Market Anomaly Rules --- p.32 / Comparing Performances of Market Anomaly Rules and Mutual Funds --- p.34 / In the Declining Market of 1998 --- p.35 / In the Growing Market of 1999 --- p.36 / In the Stable Market of 2000 --- p.37 / Recommendations and Guidelines for the Use of Analysis Methods --- p.38 / Concluding Remarks --- p.39 / APPENDIX --- p.40 / BIBLIOGRAPHY --- p.56

Wong Chin Pang, Antonio. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 48-52). / Abstract also in Chinese. / Abstract --- p.2 / Acknowledgment --- p.4 / Chapter 1 --- Introduction --- p.7 / Chapter 2 --- Data and Methodology --- p.13 / Chapter 3 --- Univariate Analysis --- p.15 / Chapter 3.1 --- Momentum Strategies --- p.15 / Chapter 3.2 --- Contrarian Strategies --- p.17 / Chapter 3.3 --- Value Strategies --- p.18 / Chapter 3.4 --- Descriptive Statistics --- p.22 / Chapter 4 --- Anatomy of Contrarian and Value Strategies --- p.25 / Chapter 4.1 --- Control for size effect --- p.25 / Chapter 4.2 --- Control for industry effect --- p.29 / Chapter 4.3 --- Hang Seng Index Constituent Stocks --- p.33 / Chapter 5 --- Are Contrarian and Value Strategies Systematically Riskier? --- p.35 / Chapter 6 --- Fama-French's Three-Factor Model --- p.40 / Chapter 7 --- Conclusion --- p.44

This thesis is concerned with a new computational study of optimal investment decisions with proportional transaction costs or capital gain taxes over multiple periods. The decisions are studied for investors who have access to a risk-free asset and multiple risky assets to maximize the expected utility of terminal wealth. The risky asset returns are modeled by a discrete-time multivariate geometric Brownian motion. As in the model in Davis and Norman (1990) and Lynch and Tan (2010), the transaction cost is modeled to be proportional to the amount of transferred wealth. As in the model in Dammon et al. (2001) and Dammon et al. (2004), the taxation rule is linear, uses the weighted average tax basis price, and allows an immediate tax credit for a capital loss. For the transaction costs problem, we compute both lower and upper bounds for optimal solutions. We propose three trading strategies to obtain the lower bounds: the hyper-sphere strategy (termed HS); the hyper-cube strategy (termed HC); and the value function optimization strategy (termed VF). The first two strategies parameterize the associated no-trading region by a hyper-sphere and a hyper-cube, respectively. The third strategy relies on approximate value functions used in an approximate dynamic programming algorithm. In order to examine their quality, we compute the upper bounds by a modified gradient-based duality method (termed MG). We apply the new methods across various parameter sets and compare their results with those from the methods in Brown and Smith (2011). We are able to numerically solve problems up to the size of 20 risky assets and a 40-year-long horizon. Compared with their methods, the three novel lower bound methods can achieve higher utilities. HS and HC are about one order of magnitude faster in computation times. The upper bounds from MG are tighter in various examples. The new duality gap is ten times narrower than the one in Brown and Smith (2011) in the best case. In addition, I illustrate how the no-trading region deforms when it reaches the borrowing constraint boundary in state space. To the best of our knowledge, this is the first study of the deformation in no-trading region shape resulted from the borrowing constraint. In particular, we demonstrate how the rectangular no-trading region generated in uncorrelated risky asset cases (see, e.g., Lynch and Tan, 2010; Goodman and Ostrov, 2010) transforms into a non-convex region due to the binding of the constraint.For the capital gain taxes problem, we allow wash sales and rule out "shorting against the box" by imposing nonnegativity on portfolio positions. In order to produce accurate results, we sample the risky asset returns from its continuous distribution directly, leading to a dynamic program with continuous decision and state spaces. We provide ingredients of effective error control in an approximate dynamic programming solution method. Accordingly, the relative numerical error in approximating value functions by a polynomial basis function is about 10E-5 measured by the l1 norm and about 10E-10 by the l2 norm. Through highly accurate numerical solutions and transformed state variables, we are able to explain the optimal trades through an associated no-trading region. We numerically show in the new state space the no-trading region has a similar shape and parameter sensitivity to that of the transaction costs problem in Muthuraman and Kumar (2006) and Lynch and Tan (2010). Our computational results elucidate the impact on the no-trading region from volatilities, tax rates, risk aversion of investors, and correlations among risky assets. To the best of our knowledge, this is the first time showing no-trading region of the capital gain taxes problem has such similar traits to that of the transaction costs problem. We also compute lower and upper bounds for the problem. To obtain the lower bounds we propose five novel trading strategies: the value function optimization (VF) strategy from approximate dynamic programming; the myopic optimization and the rolling buy-and-hold heuristic strategies (MO and RBH); and the realized Merton's and hyper-cube strategies (RM and HC) from policy approximation. In order to examine their performance, we develop two upper bound methods (VUB and GUB) based on the duality technique in Brown et al. (2009) and Brown and Smith (2011). Across various sets of parameters, duality gaps between lower and upper bounds are smaller than 3% in most examples. We are able to solve the problem up to the size of 20 risky assets and a 30-year-long horizon.

In this thesis, we focus our study on the multi-period portfolio selection problems with different investment conditions. We first analyze the mean-variance multi-period portfolio selection problem with stochastic investment horizon. It is often the case that some unexpected endogenous and exogenous events may force an investor to terminate her investment and leave the market. We give the assumption that the uncertain investment horizon follows a given stochastic process. By making use of the embedding technique of Li and Ng (2000), the original nonseparable problem can be solved by solving an auxiliary problem. With the given assumption, the auxiliary problem can be translated into one with deterministic exit time and solved by dynamic programming. Furthermore, we consider the mean-variance formulation of multi-period portfolio optimization for asset-liability management with an exogenous uncertain investment horizon. Secondly, we consider the multi-period portfolio selection problem in an incomplete market with no short-selling or transaction cost constraint. We assume that the sample space is finite, and the number of possible security price vector transitions is equal to the number of securities. By introducing a family of auxiliary markets, we connect the primal problem to a set of optimization problems without no short-selling or without transaction costs constraint. In the no short-selling case, the auxiliary problem can be solved by using the martingale method of Pliska (1986), and the optimal terminal wealth of the original constrained problem can be derived. In the transaction cost case, we find that the dual problem, which is to minimize the optimal value for the set of optimization problems, is equivalent to the primal problem, when the primal problem has a solution, and we thus characterize the optimal solution accordingly. / Yi, Lan. / Adviser: Duan Li. / Source: Dissertation Abstracts International, Volume: 72-11, Section: A, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 133-139). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.