This thesis is based on the analysis of all rural property sales transactions that occurred in NSW over the period 1990-2000 and is the first complete state wide analysis of a rural property market in Australia. Previous studies on rural land performance have been restricted in both limited time periods and limited location areas. The importance of rural property, as an investment asset has been recognised in the US and UK with both countries having a rural property performance index. These indices are similar in construction, quality and reliability as the commercial property, residential property and share market indices that are also available in these countries to analyse the performance of these investment assets. Until the development of the rural property capital and total return indices in this thesis, there has never been a comprehensive and complete set of rural property investment indices available to assess the risk/return performance and investment portfolio benefits of rural property in Australia. The actual construction of the indices in this thesis have been based on the current indices produced by the Property Council of Australia for office, retail, industrial and hotel property in Australia. Based on the work in this thesis, rural property investment performance can now be compared to all major investment assets available in Australia. This research will be ongoing to ensure that the performance of rural property will be available on a semi-annual basis for use by all institutions, companies and individuals with an interest in the investment potential of rural property in Australia / Doctor of Philosophy (PhD)

This research project examines the investment performance of Hong Kong?s real estate and property stocks over a period of nineteen years from 1984 to 2002. Evaluations using time-varying Jensen index adjust the asset return comparison for possible time-varying investment risk (return variation). The return and risk comparison for direct and indirect real estate investment is further investigated with an alternative GARCH-M model in capturing the possible time-varying risk premium. Unlike previous studies, one of the major contributions of this research is to measure the risk-adjusted real estate returns by taking into account the impact of illiquidity, management and transaction costs, and vacancy risk with actual transaction data. The time-varying models have not been applied for analysing the returns on property investment in Hong Kong so far. The results of this study help resolving the puzzle why real estate offers superior investment performance as stated in the existing literature that is inconsistent with the Efficient Market Hypothesis. With arbitrage, the capital theory predicts that all investments should display similar risk adjusted return in the long run. As a result, it is impossible for direct property to earn abnormal risk adjusted return in the long run. The empirical results show that superiority of real estate property in risk-adjusted return is reduced or even disappeared in the period of 1991 to 2002 when the impact of illiquidity and the 1997 Asian Financial Crisis are taken into account. This conclusion is further strengthened with the favourable empirical evidence obtained when all the unsystematic risks including the management and transaction costs, and vacancy risk are incorporated into the analysis. The superior investment performance for real estate relative to property stocks found in the literature is too good to be true. Its existence is simply due to the omission of fundamentals factors like unsystematic risks in the analysis. The impact of liquidity on return assessment has been under-researched, this study attempts to fill the gap by quantifying the impact of liquidity explicitly in explaining the excess return of real estate investment. The empirical result is consistent with the intuition that investors require compensation in holding illiquid assets.

股市起起落落，何謂真實價值，投資人如何在股海中獲取超額報酬呢？本研究採用三種評價模型-D C F 法、A P V 法以及本益比法來評估公司的真實價值，然後與市價做比較，然後與市場做比較，且分析市場價值與模型所推算出的公司價值間是否有差異性存在？若有，便根據差異程度高達 10%以上者做低買高賣的頭資，不過在文中本研究只採用買的投資行為以形成一個投資組合，同時檢視投資組合在「買入持有」半年及一年之後的投資績效，最後再與大盤及共同基金做績效比較。 實證結果發現，依據本研究所評價出的公司價位與市價間的確有差異性存在，而依此差異性所建立的投資組合績效以 DCF 法、APV 法及超額報酬法最佳，其不僅較本益比法有較佳的報酬，並能打敗大盤與前 25%共同基金的績效表現。 / This paper discusses three business valuation models, including DCF, APV and P/E ratio.The first step is computing the true value (model price) belong to the stockholder. Then compare the true value with the market price.If the difference is really large enough, form a "buy and hold" investment portfolio for half an year and one year. Finally test whether the portfolios forming base on valuation models can beat the market and most of the mutual fund. The empirical evidence is, the DCF, APV methods not only outperform the P/E ratio but also the market and the first 25% of the mutual fund.

This study mainly investgates the investment performance of momentum strategies and contrarian strategies in Taiwan stock market. There are three purposes in this paper. First, we examine whether the momentum strategies and contrarian strategies can create significant profits under different formulation horizons and holding horizons, then we discuss the reasons for the profits of significant profits strategies, including risk, seasonality, industrial momentum, time series predictability of stock returns and cross-sectional variation in the mean returns, and stock underreation, overreaction, and random walk. Second, we derive the mix strategies from the combination of momentum strategies and contrarian strategies for the same holding horizons and test the investment performance of mix strategies empirically. Finally, we study whether the investment strategies of stock mutual funds in Taiwan are industrial momentum strategies or industrial contrarian strategies, and which strategies can create better industrial investment performance. The main conclusions and suggestions are as follows: First, we find the momentum strategies are more successful in Taiwan as a whole, especially from 1991/1/1 to 2000/12/31. There are only three significant profits strategies in 147 strategies totally for three different test periods, including the (24,24) strategy and (36,24) strategy from 1991/1/1 to 2000/12/31, and (1,12) strategy from 1981/1/1 to 1990/12/31. For the reasons of the profits of the three strategies, we find the negative alphas in the F&F three factors model and underreation from the decreasing returns in the post holding horizons, so we should use the momentum strategies very carefully in Taiwan stock market. Second, we find the success of mix strategies theoretically and empirically. Nevertheless, we can¡¦t increase the profits for considering more different sub-strategies if there are no successful sub-strategies with different formulation horizons. Finally, we find the investment strategies of stock mutual funds almost are industrial momentum strategies, which realized significantly better industrial performance then the industrial contrarian strategies. It suggests that the industrial momentum strategies are not irrational and can increase the speed of adjustment of industrial index to its intrinsic value. On the other hand, stock mutual funds can perform well by the momentum strategies without superior information collection and analysis.

Individuals who rely on mutual funds to accumulate wealth need advice on how best to select them (Ciccotello&Grant, 1996). The purpose of the study is to gain insight whether fund size and boutique or institutional fund structure of unit trusts affects returns. It expands the body of knowledge on investment performance factors and equips investors with a tool to make informed decisions when contemplating various fund manager offerings.Data was collected from the database of the Association for Savings and Investment (ASISA) for South African general equity unit trust returns and fund size information covering a period of 44 quarters from March 2001 to December 2011. Domestic general equity unit trusts were analysed during the period under review. A regression analysis was run to test for fund size as an indicator of investment performance. A parallel study was conducted to test whether boutique funds outperform institutional funds.The results indicate that fund size has no influence on fund performance. The findings also show that there is no significant difference between the performance of boutique style unit trust funds and institutional unit trust funds. These findings contradict the findings of previous research by (Fama, 1972); (Chen, Hong, Huang, &Kubik, 2004; Ciccotello&Grant, 1996; Droms&Walker, 1996) who found fund size, either positively or negatively have an influence on mutual fund returns while (Gallagher&Martin, 2005) and Schönfeld (2009) concluded that boutique funds offer better returns compared to institutional funds. Investors would be advised to carry out a fund by fund analysis to identify the optimal domestic unit trust investment fund when investing as opposed to an aggregated study. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Thesis (MBA)--Stellenbosch University, 2005. / ENGLISH ABSTRACT: Investors accept that actual investment pertormance differs from anticipated pertormance. The difference between the two is attributed to investment risk. Professional investment managers charge significant fees for active investment management. Investors funding this industry should evaluate the risk-adjusted investment pertormance to determine if it justifies the associated costs. A number of research papers have presented various methods for adjusting investment pertormance for the risk assumed in the generation thereof. This study presents an overview of techniques available for measuring riskadjusted pertormance of listed equity related investments. The classic pertormance measures of Treynor, Sharpe and Jensen are discussed. Alternative ways of quantifying risk offer different methods for risk-adjusting periormance. This leads to the discussion of more modern approaches to risk-adjustment, such as the Sortino ratio and the Omega measure. The lack of risk-adjusted pertormance reporting within the South African investment management industry is highlighted. An overview of guidelines for risk-adjusted pertormance reporting is presented. As such, it is relevant to investment managers, policy makers of the industry and the financial press reporting on investment management. A comparison of risk-adjusted pertormance figures between unitised-, indexand direct equity investment approaches show that a simple direct equity investment strategy outpertorm on risk-adjusted basis for the five year period reviewed. / AFRIKAANSE OPSOMMING: Beleggers aanvaar die feit dat gerealiseerde beleggings opbrengste van verwagte opbrengste verskil. Die verskil word aan beleggings risiko toegeskryf. Professionele beleggingsbestuurders hef aansienlike fooie om beleggings aktief te bestuur. Beleggers wat hierdie industrie befonds behoort die risiko-aangepaste beleggingsprestasie te evalueer ten einde vas te stel of dit die kostes regverdig wat daarmee gepaardgaan. 'n Aantal navorsingsverslae het reeds verskeie metodes voorgestel vir die aanpassing van beleggingsprestasie vir risiko aanvaar tydens die najaag van prestasie. Hierdie studie bied 'n oorsig van beskikbare tegnieke vir die meet van risiko aangepaste prestasie van genoteerde aandeel- en verwante beleggings. Die klassieke metodes van Treynor, Sharpe en Jensen word bespreek. Alternatiewe metodes om risiko te kwantifiseer bied verskillende metodes om prestasie vir risiko aan te pas. Dit lei tot die bespreking van meer moderne benaderings tot risiko aanpassing, soos die Sortino verhouding en die Omega maatstaf. Hierdie studie bring die tekort van risiko aangepaste prestasie verslaggewing in die Suid-Afrikaanse beleggingsbestuur industrie aan die lig. 'n Oorsig van riglyne vir risiko-aangepaste prestasie verslaggewing word gelewer. Die studie is gevolglik relevant vir beleggingsbestuurders, industrie beleidmakers en die finansiele pers wat oor beleggingsbestuur verslag doen. 'n Vergelyking van risiko-aangepaste opbrengs syfers tussen kollektiewe-. indeks- en direkte aandele beleggings benaderings lig uit dat 'n eenvoudige direkte aandele belegging strategie op 'n risiko-aangepaste basis oor die vyf jaar periode ondersoek, uitpresteer het.

Although finance has been studied for thousands years, behavioral finance which considers the human behaviors in finance is a quite new area. Behavioral finance theories, which are based on the psychology, attempt to understand how emotions and cognitive errors influence individual investors’ behaviors (investors mentioned in this study are refered to individual investors). The main objective of this study is exploring the behavioral factors influencing individual investors’ decisions at the Ho Chi Minh Stock Exchange. Furthermore, the relations between these factors and investment performance are also examined. As there are limited studies about behavioral finance in Vietnam, this study is  expected to contribute significantly to the development of this field in Vietnam.  The study begins with the existing theories in behavioral  finance, based on which, hypotheses are proposed. Then, these hypotheses are tested  through the questionnaires distributed to individual investors at the Ho Chi Minh Stock Exchange. The collected data are analyzed by using SPSS and AMOS soft wares. Semi-structured interviews with some managers of the Ho Chi Minh Stock Exchange are conducted to have deeper understanding of these behaviors. The result shows that there are five behavioral factors affecting the investment decisions of individual investors at the Ho Chi Minh Stock Exchange: Herding, Market, Prospect, Overconfidence-gamble’s fallacy, and Anchoring-ability bias. Most of these factors have moderate impacts whereas Market factor has high influence.  This study also tries to find out the correlation between these behavioral factors and investment performance. Among the behavioral factors mentioned above, only three factors are found to influence the Investment Performance: Herding (including buying and selling; choice of trading stocks; volume of trading stocks; speed of herding), Prospect (including loss aversion, regret aversion, and mental accounting), and Heuristic (including overconfidence and gamble’s fallacy). The heuristic behaviors are found to have the highest positive impact on the investment performance while the herding behaviors are reported to influence positively the investment performance at the lower level. In contrast, the prospect behaviors give the negative impact on the investment performance.

本研究經過分析台灣股市中三大法人的持股率與買賣超對於公司財務變數與市場變數的的關係，藉由法人的持股選擇觀點，進而組成具有法人選股特性的投資組合，並驗證其是否具有較佳的績效表現與是否具有擊敗大盤的能力。實證結果發現，外資偏向投資於較大報酬波動率與規模的公司，以及較低負債比率與股利殖利率的公司；投信具有偏好較高的股利殖利率、股東權益報酬率、移動平均報酬率之標準差與規模的公司，以及淨價市值比較低的公司；自營商喜歡較高的負債比率、淨值市價比、移動平均報酬率與規模的公司，以及報酬波動率較低的公司。在驗證經由法人的投資特性組成之投資組合表現中，發現投信之投資組合雖具有較高的平均報酬率，但是考量風險因子後，自營商的績效表現較佳，而且都具有擊敗大盤的績效表現。 / The study analyzed the relationship between Taiwanese institutional investors’ shareholding ratio or net buy-and-sell and the company's financial variables and market variables. Using the result of regression to compose a portfolio with the characteristics of institutional investors, and verification whether it has a better performance than the stock market index. The empirical results show that foreign investors tend to invest in the company with larger volatility and size, and also lower debt ratio and dividend yield; Investment trust investors with a preference for high dividend yields, return on equity, the long-term volatility and size of the company, and tend to invest in lower book-to-market ratio of the company; Dealers like high debt ratio, book-to-market ratio, size and momentum, and also preference for the company of lower volatility. The performance of the portfolio with institutional investors’ characteristics, we found that the investment trust's portfolio had highest average rate of return, but after consideration of risk factors, dealers had better performance. Both of the portfolio beat the stock market index’s performance.

Thesis (MBA)--Stellenbosch University, 2006. / ENGLISH ABSTRACT: The Omega function is a relatively newly developed performance measure, falling within the class of downside risk measures. This measure does not make any assumptions regarding the return distributions evaluated, but incorporates the actual return distribution in its calculation. The sensitivity of this measure to simulated changes within the class of stable distributions was tested, within the range of parameters that was evident in the South African investment environment. The Omega and Sharpe ratios that were calculated for these distributions were ranked and compared. Even though the rankings were similar, discrepancies did occur. On investigation it was found that these discrepancies were caused by the inability of the Sharpe measure to differentiate between increased volatility caused by higher probability weighted gains (or positive skewness) and losses, as the Sharpe ratio penalises funds for volatility. The simulated tests were extended to various distributions, which have different risk profiles and distribution shapes, and ranked. A higher incidence of ranking differences occurred due to the inability of the Sharpe ratio to differentiate between gains and losses, correctly account for the risk of positively skewed distributions and lastly due to negative Sharpe ratios, caused by the average realised returns being exceeded by the threshold (target) rate, resulting in incorrect rankings. Comparison of rankings based on the Sharpe and Omega measures was performed on the class of general equity unit trusts over a five-year period, which resulted in statistically similar rankings. In extending the evaluation over shorter periods, the ran kings were still statistically similar, even though some differences were noteworthy. As the returns became more variable, the Omega measure captured this variation and risk whilst the Sharpe ratio was unable to, as its formulation is limited to two statistics, thus losing all this additional information. Normally performance evaluation is not initiated with a detailed analysis of the return distributions in order to determine which performance measure is more appropriate. The Omega measure incorporates the distribution into the calculation, which is not the case with the Sharpe measure. Therefore, even if the distributions are normal, the Omega measure gives exacty the same result as the Sharpe measure. However, where return distributions diverge from normality, we can be certain that the Omega measure will correctly incorporate the divergence, whilst it has been shown that in certain instances the Sharpe measure does not. The Omega measure adds another dimension to risk-adjusted performance evaluation and should be incorporated in the evaluation process. / AFRIKAANSE OPSOMMING: Die Omega-funksie, wat as 'n afwaartse risikomaatstaf geklassifiseer word, is 'n relatiewe nuut-ontwikkelde prestasiemaatstaf. Hierdie maatstaf maak nie enige aannames ten opsigte van die opbrengsverdelings wat ge-evalueer word nie, maar inkorporeer die werklike opbrengsverdeling in die berekening. Die sensitiwiteit van hierdie maatstaf tot gesimuleerde veranderinge in die klas van stabiele verdelings is getoets, binne die parameters van toepassing in die Suid Afrikaanse beleggingsomgewing. Die Omega- en Sharpe-maatstawe is bereken, georden en vergelyk. Alhoewel die rangordes meestal dieselfde was, het verskille in sommige gevalle voorgekom. Hierdie verskille is veroorsaak deur die onvermoe van die Sharpe-maatstaf om te onderskei tussen verhoogde volatiliteit veroorsaak deur 'n hoer waarskynlikheidsgeweegde wins, of positiewe skeefheid en verliese. Die Sharpe-maatstaf penaliseer alle volatiliteit. Die gesimuleerde toetse is uitgebrei na alternatiewe verdelings wat verskillende risikoprofiele het en is weereens georden. Weereens was die rangordes meestal dieselfde. Die verskille wat plaasgevind het, is veroorsaak deur die onvermoe van die Sharpe-maatstaf om tussen winste en verliese te onderskei, positiewe skeefheid korrek te verdiskonteer en laastens om negatiewe Sharpe-verhoudings in die korrekte rangorde te plaas. 'n Vergelyking van die rangordes van die Sharpe- en Omega-maatstawe is gedoen op die algemene effektetrusts oor 'n tydperk van vyf jaar. Die rangordes in geheel was statisties dieselfde. Hierdie toetse is vervolgens uitgebrei om korter tydperke in te sluit, wat weereens in geheel statisties dieselfde korrelasie getoon het, maar 'n paar individuele portefeuljes se rangordes het heelwat verskil. Soos die opbrengste gevarieer het, kon die Omega-maatstaf hierdie variasies en risiko verdiskonteer terwyl die Sharpe-maatstaf nie in staat was om hierdie risiko te verdiskonteer nie, aangesien sy formulering beperk is tot twee statistieke wat 'n verlies van inligting tot gevolg het. Normaalweg word prestasie-beoordeling nie begin met 'n gedetailleerde analise van die opbrengsverdelings om te bepaal watter prestasie-maatstaf meer toepaslik is nie. Die Omega-maatstaf inkorporeer die verdeling in die berekening, wat nie die geval is met die Sharpe-maatstaf nie. AI is die opbrengsverdelings normaal, gee die Omega-maatstaf dieselfde resultate as die Sharpe-maatstaf. Waar die verdelings egter afwyk van normaal, weet ons dat die Omega-maatstaf die afwykings korrek verdiskonteer, terwyl dit bewys is dat die Sharpe-maatstaf in sekere omstandighede nie die afwykings korrek verdiskonteer nie. Die Omega-maatstaf voeg 'n verdere dimensie by risiko-aangepaste prestasiemeting en behoort dus ingesluit te word in die evauleringsproses.

Esta pesquisa inova ao investigar a associação de práticas de governança e de características específicas de fundos de pensão brasileiros com o desempenho dos investimentos. Déficits crescentes observados desde 2011, combinados com casos de corrupção e gestão temerária, são fatores que podem contestar a efetividade de fundos de pensão e lançar questionamentos sobre a previdência complementar fechada. O estudo utiliza dados coletados de demonstrações contábeis anuais auditadas de 2011 a 2015 de 41 fundos de pensão do país e que possuem sob a gestão 72% dos investimentos do total das entidades do Brasil. As informações sobre práticas de governança foram obtidas de relatórios internos dos fundos de pensão disponíveis em seus sítios eletrônicos e, também de plataformas eletrônicas como Bloomberg, LinkedIn e Google. Foi desenvolvido estudo quantitativo para investigar o problema de aspectos de governança e de características específicas em fundos de pensão brasileiros e que podem impactar de forma diferenciada o retorno dos ativos sob a gestão. O experimento do trabalho testou dados em painel através do método dos momentos generalizados em dois estágios com uso de variáveis instrumentais. Os resultados indicam evidências de impacto positivo no desempenho dos investimentos quando há uso de melhores práticas de governança como o comitê de investimentos. Sugere-se que estão sendo efetivos a avaliação e o controle de riscos sob esta prática e em benefício dos planos sob a gestão. Porém, há evidências de associação negativa de características no nível destas organizações sobre o retorno dos investimentos. Dentre as características que puderam ser observadas, os resultados sugerem que conexões com governo pelo tipo de patrocínio e existência de contratos de gestão externa dos investimentos por fundo de pensão com patrocinador do setor financeiro, podem influenciar a busca de outros interesses que não o melhor retorno aos planos de benefícios. Entretanto, a partir das mesmas características apresentam-se evidências de associação positiva com uso de melhores práticas de governança. Entende-se que pode haver o incentivo de se manter as condições para atendimento dos interesses políticos de suas relações. Os resultados desta pesquisa trazem contribuições para a discussão de características no nível dos fundos de pensão que podem influenciar o comportamento de seus executivos e para o debate da governança dessas organizações no país. Entende-se que estas contribuições podem ser aplicadas no contexto de demais economias emergentes. Por fim, a pesquisa sugere não ser óbvio que o monitoramento e controle pelos órgãos de supervisão e regulação atual sejam suficientes para evitar a evolução de déficits nos fundos de pensão e de impacto social no longo prazo. O argumento é que sem mecanismos de governança adequados às características no nível das entidades, os executivos em fundos de pensão podem não atuar no interesse único dos participantes dos planos de benefícios. / This research innovates by investigating the association of governance practices and specific characteristics of Brazilian pension funds with the performance of investments. Increasing deficits observed since 2011, combined with cases of corruption and reckless management, are factors that can challenge the effectiveness of pension funds and raise questions about closed private pension plans. The study uses data collected from audited annual financial statements between 2011 and 2015 from 41 pension funds that accounting for 72% of investments in this system. Information on pension fund governance practices was obtained from internal reports available on its websites and also from electronic platforms such as Bloomberg, LinkedIn, and Google. A quantitative study was developed to investigate the problem of governance aspects, and specific characteristics of them that may have a different impact on the return of assets under management. The work experiment tested panel data through the generalized method of moments (GMM) in two stages and use of instrumental variables. The results indicate evidence of a positive impact on the performance of asset under management in the use of governance best-practices such as investment committee. It is suggested that under this practice, risk assessment and control are being effective for the benefit of plans under the management of pension funds. However, there is evidence of a negative association at the organization-level on the return of investments. The results demonstrate that characteristics such as the government connections by the type of sponsorship and the outsourcing of the investment management by pension funds with sponsor from the financial sector can influence the pursuit of interests other than the best return of investments for the benefit plans. However, these same characteristics present evidence of a positive association with the use of governance best-practices. It is understood that the incentive would be to maintain the conditions to attend the political interests of their relations. The results of this research bring contributions to the discussion of characteristics at the level of pension funds that can influence the behavior of its executives and to the debate of their corporate governance in the country. It is understood that these contributions can be applied in the context of other emerging economies. Finally, this paper suggests that it isn´t obvious that monitoring and controlling by current supervisory and regulatory bodies are sufficient to avoid the evolution of deficits in pension funds and greater social impact in the long term. The argument is that without appropriated governance mechanisms to entity-level characteristics, pension fund executives may not act in the sole interest of participants.