Dissertation, Universität Freiburg, 2007. / Includes bibliographical references.

Submitted by Cristiane Shirayama (cristiane.shirayama@fgv.br) on 2011-06-03T14:49:21Z No. of bitstreams: 1 66080100242.pdf: 1293551 bytes, checksum: 7ee3120dcba713fbbbac7968573ec9ad (MD5) / Approved for entry into archive by Vera Lúcia Mourão(vera.mourao@fgv.br) on 2011-06-03T16:51:03Z (GMT) No. of bitstreams: 1 66080100242.pdf: 1293551 bytes, checksum: 7ee3120dcba713fbbbac7968573ec9ad (MD5) / Approved for entry into archive by Vera Lúcia Mourão(vera.mourao@fgv.br) on 2011-06-03T17:02:25Z (GMT) No. of bitstreams: 1 66080100242.pdf: 1293551 bytes, checksum: 7ee3120dcba713fbbbac7968573ec9ad (MD5) / Made available in DSpace on 2011-06-03T19:02:03Z (GMT). No. of bitstreams: 1 66080100242.pdf: 1293551 bytes, checksum: 7ee3120dcba713fbbbac7968573ec9ad (MD5) Previous issue date: 2010-12-13 / We examine, using panel data modeling techniques, the determinants of corporate liquidity in a sample of publicly traded firms in Brazil, Argentina, Chile, Mexico and Peru in the 1995-2009 period. In this paper, the ratio utilized in the models is denominated liquid assets (or simply cash), which includes the available cash and the investment in short term securities, divided by the firm’s total assets. It is possible to identify an increasing trend in the firms’ liquid assets ratio in the period analyzed for the majority of the countries. We find evidence that firms with stronger growth opportunities, larger total assets position, higher dividends payment and higher profitability, accumulate more cash. Also, firms with higher capital expenditures, higher cash flow generation and cash flow volatility, stronger leverage position and higher working capital level accumulate less cash. We identify similarities in the determinants of corporate liquidity with the empirical studies of firms in developed countries, as well as differences due to specific characteristics in emergent economies such as high internal interest rates, different access levels to international credit market and to development agencies credit lines, equity kicking, among others. We find evidence in tests applied for Brazil’s largest firms sample the presence of cash target levels through first order auto regressive model (AR1). Variables utilized in tests in recent papers with firms in developed economies such as acquisitions, recent IPO activities and corporate governance level are also tested for Brazil’s firms sample. / Neste estudo são analisados, através de técnicas de dados em painel, os fatores determinantes dos níveis de ativos líquidos de empresas abertas do Brasil, Argentina, Chile, México e Peru no período de 1995 a 2009. O índice utilizado nas modelagens é denominado de ativo líquido (ou simplesmente caixa), o qual inclui os recursos disponíveis em caixa e as aplicações financeiras de curto prazo, divididos pelo total de ativos da firma. É possível identificar uma tendência crescente de acúmulo de ativos líquidos como proporção do total de ativos ao longo dos anos em praticamente todos os países. São encontradas evidências de que empresas com maiores oportunidades de crescimento, maior tamanho (medido pelo total de ativos), maior nível de pagamento de dividendos e maior nível de lucratividade, acumulam mais caixa na maior parte dos países analisados. Da mesma forma, empresas com maiores níveis de investimento em ativo imobilizado, maior geração de caixa, maior volatilidade do fluxo de caixa, maior alavancagem e maior nível de capital de giro, apresentam menor nível de acúmulo de ativos líquidos. São identificadas semelhanças de fatores determinantes de liquidez em relação a estudos empíricos com empresas de países desenvolvidos, bem como diferenças devido a fenômenos particulares de países emergentes, como por exemplo elevadas taxas de juros internas, diferentes graus de acessibilidade ao mercado de crédito internacional e a linhas de crédito de agências de fomento, equity kicking, entre outros. Em teste para a base de dados das maiores firmas do Brasil, é identificada a presença de níveis-alvo de caixa através de modelo auto-regressivo de primeira ordem (AR1). Variáveis presentes em estudos mais recentes com empresas de países desenvolvidos como aquisições, abertura recente de capital e nível de governança corporativa também são testadas para a base de dados do Brasil.

The purpose of the study is to examine the application of selected variables from previous studies when applied to the capital structure of Swedish publicly traded companies. Five variables will be used to examine whether they have a similar effect on the capital structure of Swedish companies. The study is a quantitative research that is made up of data that was collected from two chosen line of businesses on the Swedish market, industrials and medicine. A large quantity of data was collected from 135 companies during the time period 2013-2017, the data was processed and converted before a regression analysis was performed. According to the regression analysis this study received the following result from the industrial line of business: the variable with the most explanatory effect regarding the capital structure was liquid assets, profitability, turnover assets, total assets (size) and tangible assets. In the medicine line of business the following variables had the most explanatory effects: liquid assets, total assets (size), turnover assets, tangible assets and profitability. The study shows the extent to which the variables are significant and what impact they have on debt in the Swedish market. The result was different between the industries, which is an interesting aspect to note that different variables were applied with different strengths in the industries depending on the company's financial position. Liquid assets were the variable that had the greatest connection to the degree of indebtedness in both industries in the Swedish market. The result regarding the variables used in this study had greater similarity in its applicability between the two industries in Sweden than the similarity to an earlier studyconducted in Romania with similar variables.

The objective of this thesis is to examine the need for people and communities to develop liquid assets through a savings programme and to work productively with these savings. It had to be taken into consideration that at least some members of the population could be considered non-monetary in their orientation. In order to achieve this objective a participatory and culturally sensitive micro-finance programme was designed through an Action Research methodology. By combining mainly quantitative baseline information, detailed and more qualitative work with some of the participants and routine output from the programme activities, the study aimed to arrive at concrete conclusions concerning the way a micro-finance programme has worked in San conununities and make recommendations regarding its future. lt was found that the programme has made at least some of the participants more conversant with the handling of cash and also contributed to increased self-respect. Developing liquid assets was most difficult for the poorest participants and the majority of these poorest are women. The San people are the poorest; even among other marginal rural minorities and should receive special assistance. The programme was moderately successful in helping participants to save towards larger needs and to even out income flows. It could not be established whether the programme could make a contribution to the development of long~term assets. Initiatives to establish microenterprises with the capital met with only limited success. The programme was not successful in establishing a savings programme as an alternative to cattle farming and should rather be seen as a complementary strategy for increasing household assets. It was found that the emphasis on savings mobilisation, rather than the creation of debt through credit was valid. Increased incomes will lead to increased indebtedness. A higher influx of cash in a San community is likely to be unevenly spread and is also likely to increase the gap between the wealthier and poorer community members. It was concluded that projects that meet basic and immediate needs such as food, shelter and housing, should be integrated with programmes that address larger needs such as loss of culture and land. A process of empowerment cannot be supported when rural poverty is not addressed. / Development Studies / D.Litt. et Phil. (Development Administration)

The objective of this thesis is to examine the need for people and communities to develop liquid assets through a savings programme and to work productively with these savings. It had to be taken into consideration that at least some members of the population could be considered non-monetary in their orientation. In order to achieve this objective a participatory and culturally sensitive micro-finance programme was designed through an Action Research methodology. By combining mainly quantitative baseline information, detailed and more qualitative work with some of the participants and routine output from the programme activities, the study aimed to arrive at concrete conclusions concerning the way a micro-finance programme has worked in San communities and make recommendations regarding its future. It was found that the programme has made at least some of the participants more conversant with the handling of cash and also contributed to increased self-respect. Developing liquid assets was most difficult for the poorest participants and the majority of these poorest are women. The San people are the poorest, even among other marginal rural minorities and should receive special assistance. The programme was moderately successful in helping participants to save towards larger needs and to even out income flows. It could not be established whether the programme could make a contribution to the development of long-term assets. Initiatives to establish microenterprises with the capital met with only limited success. The programme was not successful in establishing a savings programme as an alternative to cattle farming and should rather be seen as a complementary strategy for increasing household assets. It was found that the emphasis on savings mobilisation, rather than the creation of debt through credit was valid. Increased incomes will lead to increased indebtedness. A higher influx of cash in a San community is likely to be unevenly spread and is also likely to increase the gap between the wealthier and poorer community members. It was concluded that projects that meet basic and immediate needs such as food, shelter and housing, should be integrated with programmes that address larger needs such as loss of culture and land. A process of empowerment cannot be supported when rural poverty is not addressed. / Public Administration / D. Litt. et Phil. (Development Administration)

This thesis investigates the determinants of UK corporate cash holdings between 1980 and 2012. The global and long term phenomenon of corporate cash pilling has drawn significant attention from researchers. Similarly, this study aims at shedding light on the empirical relationship between cash holding and specific firm characteristics. Our preliminary research incorporates a comprehensive literature review. Towards this end, the relevant financial theory is presented and the previous empirical studies are highlighted. Afterwards, the expected results of our research are synthesized into a set of distinct hypotheses and tested with regression analysis. The empirical findings suggest that cash holdings are positively related to investment opportunity, as R&D and market to book ratio. Cash ratio is also positively related to industry cash flow volatility and negatively affected by cash flow, net working capital, capital expenditures, leverage, tax expenses, age and size. Regarding the development of the determinants of cash holdings, the study indicates that three major variables influenced cash holdings over the years of analysis. In particular, leverage, tax regime and capital expenditures significantly affect the corporate liquidity in UK market. Furthermore, the results suggest that cash holdings are mostly defined by trade off theory. Indeed, our findings offer stimulating insights on the factors that determine the firms’ cash holdings during the past three decades. These findings may be beneficial for financial managers, investors and consultants. / Στην παρούσα διατριβή εξετάζονται οι προσδιοριστικοί παράγοντες του δείκτη μετρητών σε επιχειρήσεις του Ηνωμένου Βασιλείου μεταξύ των ετών 1980 και 2012. Η διακράτηση μετρητών αποτελεί παγκόσμιο φαινόμενο και λαμβάνει της ανάλογης προσοχής από πληθώρα ερευνητών. Σε αυτή τη βάση, η μελέτη αυτή έχει ως στόχο να ρίξει φως σχετικά με την εμπειρική σχέση μεταξύ του δείκτη μετρητών και τα συγκεκριμένα χαρακτηριστικά που επηρεάζουν την ρευστότητα στις επιχειρήσεις διαχρονικά. Αρχικά η έρευνα ενσωματώνει μια βιβλιογραφική ανασκόπηση. Προς το σκοπό αυτό, οι σχετικές οικονομικές θεωρίες και οι προηγούμενες εμπειρικές μελέτες παρουσιάζονται. Στη συνέχεια, τα αναμενόμενα αποτελέσματα της έρευνας συντίθενται σε ένα σύνολο διακριτών υποθέσεων και δοκιμάζονται με ανάλυση παλινδρόμησης. Τα εμπειρικά ευρήματα υποδηλώνουν ότι ο δείκτης μετρητών σχετίζεται θετικά με τις επενδυτικές ευκαιρίες, τις δαπάνες Ε&Α και τον λόγο της αγοραίας προς τη λογιστική αξία των βιβλίων της επιχείρησης. Ο δείκτης μετρητών επίσης, σχετίζεται θετικά με την μεταβλητότητα των ταμειακών ροών του κλάδου και επηρεάζεται αρνητικά από τις ταμειακές ροές, το καθαρό κεφάλαιο κίνησης, τις κεφαλαιακές δαπάνες, την μόχλευση, τα φορολογικά έξοδα, την ηλικία και το μέγεθος των επιχειρήσεων. Όσον αφορά την εξέλιξη των προσδιοριστικών παραγόντων των ταμειακών ρευστών διαθεσίμων, η μελέτη δείχνει ότι τρεις είναι οι κύριες μεταβλητές που επηρεάζουν τη διακράτηση μετρητών κατά τη διάρκεια των χρόνων της ανάλυσης. Ειδικότερα, η μόχλευση, το φορολογικό καθεστώς και τις κεφαλαιακές δαπάνες επηρεάΖουν σημαντικά την απόφαση για εταιρική ρευστότητα στην αγορά του Ηνωμένου Βασιλείου. Επιπλέον, τα αποτελέσματα δείχνουν ότι η διακράτηση μετρητών ακολουθεί κυρίως την trade off θεωρία. Πράγματι, τα ευρήματά προσφέρουν χρήσιμες γνώσεις σχετικά με τους παράγοντες που καθορίζουν τη διακράτηση μετρητών των επιχειρήσεων κατά τη διάρκεια των τριών τελευταίων δεκαετιών. Τα ευρήματα αυτά μπορεί να είναι επωφελή για οικονομολόγους, επενδυτές και συμβούλους.

The objective of this thesis is to examine the need for people and communities to develop liquid assets through a savings programme and to work productively with these savings. It had to be taken into consideration that at least some members of the population could be considered non-monetary in their orientation. In order to achieve this objective a participatory and culturally sensitive micro-finance programme was designed through an Action Research methodology. By combining mainly quantitative baseline information, detailed and more qualitative work with some of the participants and routine output from the programme activities, the study aimed to arrive at concrete conclusions concerning the way a micro-finance programme has worked in San conununities and make recommendations regarding its future. lt was found that the programme has made at least some of the participants more conversant with the handling of cash and also contributed to increased self-respect. Developing liquid assets was most difficult for the poorest participants and the majority of these poorest are women. The San people are the poorest; even among other marginal rural minorities and should receive special assistance. The programme was moderately successful in helping participants to save towards larger needs and to even out income flows. It could not be established whether the programme could make a contribution to the development of long~term assets. Initiatives to establish microenterprises with the capital met with only limited success. The programme was not successful in establishing a savings programme as an alternative to cattle farming and should rather be seen as a complementary strategy for increasing household assets. It was found that the emphasis on savings mobilisation, rather than the creation of debt through credit was valid. Increased incomes will lead to increased indebtedness. A higher influx of cash in a San community is likely to be unevenly spread and is also likely to increase the gap between the wealthier and poorer community members. It was concluded that projects that meet basic and immediate needs such as food, shelter and housing, should be integrated with programmes that address larger needs such as loss of culture and land. A process of empowerment cannot be supported when rural poverty is not addressed. / Development Studies / D.Litt. et Phil. (Development Administration)

Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. In an attempt to demystify the illiquidity conundrum, shadow allocations are attached to the classical mean-variance framework to account for liquidity activities. The framework is further improved by replacing the variance for the coherent risk measure conditional value at risk (CVaR). This framework is then used to first stress test and optimize a theoretical portfolio and then analyze real-world data in a case study. The investors’ liquidity preferences are based on common institutional investors such as Foundations & Charities, Pension Funds, and Unions. The theoretical results support previous findings of the shadow allocations framework and decrease the allocation towards illiquid assets, while the results of the case study do not support the shadow allocations framework. / Trots det faktum att illikvida tillgångar medför flera svårigheter när det gäller portföljallokeringsproblem för investerare, så ökar allt fler investerare sin allokering mot dem. Alternativa tillgångar kännetecknas av att de är svårare att värdera och handla på grund av sin illikviditet, vilket väcker frågan om hur de ska hanteras ur ett allokeringsoptimeringsperspektiv. I ett försök att avmystifiera illikviditetsproblemet adderas skuggallokeringar till det klassiska ramverket för modern portföljteori för att ta hänsyn till likviditetsaktiviteter. Ramverket förbättras ytterligare genom att ersätta variansen mot det koherenta riskmåttet CVaR. Detta ramverk används sedan för att först stresstesta och optimera en teoretisk portfölj, och sedan analysera verkliga data i en fallstudie. Investerarnas likviditetspreferenser baseras på vanliga institutionella investerare såsom stiftelser & välgörenhetsorganisationer, pensionsfonder samt fackföreningar. De teoretiska resultaten stödjer tidigare forskning om ramverket för skuggallokeringer och sänker allokeringen mot illikvida tillgångar, samtidigt som resultaten från fallstudien inte stödjer ramverket för skuggallokeringar.

Notre thèse consiste à expliquer, en apportant quelques éléments théoriques, les imperfections des stress tests macro-prudentiels d’EBA/BCE, et de proposer une nouvelle méthodologie de leur application ainsi que deux stress tests spécifiques en complément. Nous montrons que les stress tests macro-prudentiels peuvent être non pertinents lorsque les deux hypothèses fondamentales du modèle de base de Gordy-Vasicek utilisé pour évaluer le capital réglementaire des banques en méthodes internes (IRB) dans le cadre du risque de crédit (portefeuille de crédit asymptotiquement granulaire et présence d’une seule source de risque systématique qui est la conjoncture macro-économique), ne sont pas respectées. Premièrement, ils existent des portefeuilles concentrés pour lesquels les macro-stress tests ne sont pas suffisants pour mesurer les pertes potentielles, voire inefficaces si ces portefeuilles impliquent des contreparties non cycliques. Deuxièmement, le risque systématique peut provenir de plusieurs sources ; le modèle actuel à un facteur empêche la répercussion propre des chocs « macro ».Nous proposons un stress test spécifique de crédit qui permet d’appréhender le risque spécifique de crédit d’un portefeuille concentré, et un stress test spécifique de liquidité qui permet de mesurer l’impact des chocs spécifiques de liquidité sur la solvabilité de la banque. Nous proposons aussi une généralisation multifactorielle de la fonction d’évaluation du capital réglementaire en IRB, qui permet d’appliquer les chocs des macro-stress tests sur chaque portefeuille sectoriel, en stressant de façon claire, précise et transparente les facteurs de risque systématique l’impactant. Cette méthodologie permet une répercussion propre de ces chocs sur la probabilité de défaut conditionnelle des contreparties de ces portefeuilles et donc une meilleure évaluation de la charge en capital de la banque. / Our thesis consists in explaining, by bringing some theoretical elements, the imperfections of EBA / BCE macro-prudential stress tests, and proposing a new methodology of their application as well as two specific stress tests in addition. We show that macro-prudential stress tests may be irrelevant when the two basic assumptions of the Gordy-Vasicek core model used to assess banks regulatory capital in internal methods (IRB) in the context of credit risk (asymptotically granular credit portfolio and presence of a single source of systematic risk which is the macroeconomic conjuncture), are not respected. Firstly, they exist concentrated portfolios for which macro-stress tests are not sufficient to measure potential losses or even ineffective in the case where these portfolios involve non-cyclical counterparties. Secondly, systematic risk can come from several sources; the actual one-factor model doesn’t allow a proper repercussion of the “macro” shocks. We propose a specific credit stress test which makes possible to apprehend the specific credit risk of a concentrated portfolio, as well as a specific liquidity stress test which makes possible to measure the impact of liquidity shocks on the bank’s solvency. We also propose a multifactorial generalization of the regulatory capital valuation model in IRB, which allows applying macro-stress tests shocks on each sectorial portfolio, stressing in a clear, precise and transparent way the systematic risk factors impacting it. This methodology allows a proper impact of these shocks on the conditional probability of default of the counterparties of these portfolios and therefore a better evaluation of the capital charge of the bank.