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Thesis (MComm)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: This thesis examines the effect of liquidity on excess stock returns on the Johannesburg Stock Exchange (JSE) over the period 2003 to 2011. It builds on the findings of previous studies that found size, value and momentum effects to be significant in explaining market anomalies by adding a further explanatory factor, namely liquidity. A standard CAPM, as well as a momentum-augmented Fama-French (1993: 3) model are employed to perform regression analyses to examine the effect of the four variables on excess stock returns. Results suggested that the log of the stock‘s market value best captured the size effect, the earnings yield best captured the value effect and the previous three month‘s returns best captured the momentum effect. Five liquidity proxies are used: the bid-ask spread first proposed by Amihud (1986: 223), turnover, the price impact measure of Amihud (2002: 31) and two zero return measures proposed by Lesmond et al. (1999: 1113). Despite prior studies having found liquidity to be an influential factor, this thesis found the opposite to be true. This finding remains robust, irrespective of the type of liquidity measure used. While size, value and momentum are found to be significant to a certain extent in explaining excess stock returns over the period, liquidity is not found to be significant. This is a surprising result, given that the JSE is seen as an emerging market, which is generally regarded as illiquid. This fact is exacerbated by the fact that the JSE is a highly concentrated and therefore skewed market that is dominated by only a handful of shares. Hence liquidity is expected to be of utmost importance. The result that liquidity is however not a priced factor on this market is therefore an important finding that requires further analysis to determine why this is the case. In addition, significant non-zero intercepts remained, indicating continued missing risk factors. / AFRIKAANSE OPSOMMING: In hierdie tesis word die effek van likiditeit op oormaat aandeel-opbrengste op die Johannesburg Effektebeurs (JEB) ondersoek gedurende die periode 2003 tot 2011. Dit bou voort op die bevindinge van vorige studies wat toon dat grootte, waarde en momentum beduidend is in die verklaring van mark onreëlmatighede deur 'n addisionele verklarende faktor, likiditeit, toe te voeg. 'n Standaard kapitaalbateprysingsmodel (KBPM) sowel as 'n momentum-aangepaste Fama-French (1993: 3) model word gebruik om deur middel van regressie analise die effek van die vier veranderlikes op oormaat aandeel-opbrengste te ondersoek. Die resultate toon dat die grootte effek die beste verteenwoordig word deur die logaritme van die aandeel se mark kapitalisasie, die verdienste-opbrengs verteenwoordig die waarde effek en die vorige drie-maande opbrengskoerse verteenwoordig die momentum effek die beste. Vyf likiditeitsveranderlikes is gebruik: bod-en-aanbod spreiding voorgestel deur Amihud (1986: 223), omset, die prys-impak maatstaf van Amihud (2002: 31) en twee nul-opbrengskoers maatstawwe voorgestel deur Lesmond et al. (1999: 1113). Afgesien van die feit dat vorige studies die effek van likiditeit beduidend vind, word die teenoorgestelde in hierdie tesis gevind. Hierdie bevinding bly robuus, ongeag van die likiditeitsveranderlike wat gebruik word. Terwyl bevind is dat grootte, waarde en momentum beduidend is tot 'n sekere mate in die verklaring van oormaat aandeel-opbrengste tydens die periode, is geen aanduiding dat likiditeit 'n addisionele beduidende verklarende faktor is gevind nie. Hierdie bevinding is onverwags, aangesien die JEB beskou word as 'n ontluikende mark, wat normaalweg illikied is. Hierdie feit word vererger deur dat die JEB hoogs gekonsentreerd is en dus 'n skewe mark is wat oorheers word deur slegs 'n hand vol aandele. Dus word verwag dat likiditeit 'n baie belangrike faktor behoort te wees. Die bevinding dat likiditeit nie 'n prysingsfaktor op hierdie mark is nie, is dus 'n belangrike bevinding en vereis verdere analise om vas te stel waarom dit die geval is. Addisioneel word beduidende nie-nul afsnitte verkry, wat aandui dat daar steeds risiko faktore is wat nog nie geïdentifiseer is nie.

Chapter 2 provides the literature survey on investor protection and liquidity provision. Work in related studies and the latest developments in these areas are reviewed. / Chapter 3 coven the institutional details of the Hong Kong stock market and the specification of datasets. The descriptive statistics of the trading activities of the sample companies are also presented. An understanding of these descriptive statistics is useful in choosing the appropriate theoretical model and econometric techniques in the analysis. Apart form using regression analysis to investigate the impacts of transitory volatility on market depth and order-flow composition; additional control measures are also implemented. For instance, matched samples based on market depth, transitory volatility, daily trading volume, etc. are constructed. Statistical Tests are employed to investigate the influence of investor protection. / Chapter 4 presents the results of the regression models. Apart form investigating the impacts of transitory volatility on market depth and order-flow composition, this chapter also contributes to the literature by examining the distinction (of this interaction) between companies under different regulatory environment. It is found that the liquidity replenishments for Hong Kong-based companies are more rapid than their Chinese counterparts. The results show that companies ruled by strict governance regulations provide more liquidity when liquidity is most needed. Additional test results also suggest that this difference is robust to various control criteria. / Chapter 5 gives the summary and conclusions. / In this dissertation, data on the Hong Kong Exchange (HKEx) are employed. The Hong Kong equity market lists companies from distinct investor protection environments. These companies are traded under the same market mechanism even though they have different levels of legal protection for investors e.g. Hang Seng Index (HSI) Constituents versus H-shares/red chips. The HKEx is also a very good example of pure order driven markets. Stock prices are determined by the buy and sell orders submitted by traders without liquidity providers of the last resort. Therefore, the Hong Kong equity market provides a unique opportunity to compare the liquidity replenishment process across diverse regulatory environments, but still under one pure order driven market trading with the same mechanism and currency. The choice of Hong Kong data is also justified on the grounds of the size of the Hong Kong market and the increasing importance of Hong Kong in worldwide financial market. / The purpose of this dissertation is to examine the importance of investor protection for the dynamics between liquidity provision and transitory volatility in a pure order-driven market. I posit that environments with better investor protection lead to a more stable ecological system of the supply and the demand of liquidity. / This dissertation has five chapters. Chapter 1 is the introduction that covers the motivation and major findings of the dissertation. / Leung Chung Ho. / "June 2007." / Adviser: Raymond So. / Source: Dissertation Abstracts International, Volume: 69-01, Section: A, page: 0320. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (p. 305-308). / 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, [200-] 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. / Abstracts in English and Chinese. / School code: 1307.

Originally presented as the author's thesis (Ph.D. - Goethe-University, Frankfurt am Main) titled "Pricing in (in)complete markets : structural analysis and applications," May 2003. / Includes bibliographical references (p. [105]-107) and index.

This dissertation explores different aspects of the interaction between money and asset prices. The first chapter investigates how a firm’s financing affects its decision to update prices: does linking interest rates to inflation alter the firm’s optimal price updating strategy? Building on the state dependent pricing models of Willis (2000) and the price indexing literature of Azariadis and Cooper (1985) and Freeman and Tabellini (1998), this model investigates the financing and price updating decisions of a representative firm facing state-dependent pricing and a cash-in-advance constraint. The model shows the circumstances under which a firm’s financing decision affects its price updating decision, and how the likelihood of changing prices affects the amount borrowed. It also illustrates how the use of nominal (as opposed to inflation-linked) interest rates leads to a lower frequency of price updating and higher profits overall for a firm facing menu costs and sticky prices. The second chapter extends the bank run literature to present a theoretical mechanism that explains how money supply can affect asset prices and asset price volatility. In a two period asset allocation model, agents faced with uncertainty cannot perfectly allocate assets ex-ante. After income shocks are revealed, they will be willing to pay a premium over the future fundamental value for an asset in order to consume in the current period. The size of this premium is directly affected by the supply of money relative to the asset. This paper explores the relationship between economy-wide monetary liquidity on the mean and variance of equity returns and in relation to market liquidity. At an index level, I test the impact of money-based liquidity measures against existing measures of market liquidity. I proceed to do a stock level analysis of liquidity following Pastor and Stambaugh (2003). The results indicated that measures of aggregate money supply are able to match several of the observed relationships in stock return data much better than market liquidity. At an individual stock level, monetary liquidity is a priced factor for individual stocks. Taken together, these papers support the idea that changes in the money supply have consequences for the real economy. / text

Firms face a big challenge in matching the supply of perishable goods with uncertain demand in real time. In practice, the traditional supply chain models are proved not efficiently enough to lower firms' risk exposure. The purpose of the dissertation is to provide the theoretical framework of roles of several stylized markets in firms' risk management. In particular, we explore the influence of the spot business-to-business exchange market, forward contract market and credit-default swap market respectively. The dissertation is divided into the following three chapters. In chapter 1, we show that when the exchange market lacks perfect liquidity, a firm's capital structure has a greater influence on its output-level decisions, then the market is perfectly liquid. The impact may be even greater than that without an exchange market. This is primarily because the introduction of the exchange market causes firms to act strategically in absence of perfect liquidity. In chapter 2, we study the essential relationship between producers' forward contracts and their supply strategies in business-to-business exchange market. Specifically, we focus on the application of the electricity power exchange market in the US. Our model reveals that the strategic incentive makes producers to join in forward contract market voluntarily and increases social welfare. We show in chapter 1 that even when firms' risks are independent of each other, there is a chance that the realization of market uncertainty turns out to be the same. As a result, there is no exchange market as a platform to help firms hedge their risks. Therefore, we need other instruments in firms' risk management portfolio. In chapter 3, we propose a financial market, credit-default swap market, in which firm s can temporarily transfer default risks to outside investors. However, the "lemon" problem may cause social cost.

Univ., Diss.--Frankfurt (Main), 2003. / Literaturverz. S. [105] - 107.

Orientador: Ricardo de Medeiros Carneiro / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-09T20:45:20Z (GMT). No. of bitstreams: 1 Biancarelli_AndreMartins_D.pdf: 3105941 bytes, checksum: 652e1c5e727498868f7b28fd435cbf61 (MD5) Previous issue date: 2007 / Resumo: Este trabalho se enquadra na ampla temática da integração dos países periféricos à globalização financeira, e tem como objetivo específico analisar os seus impactos não apenas sobre as contas externas da economia brasileira, mas também sobre as relações financeiras domésticas. O movimento que se procura fazer é de dupla natureza: revisitar, em uma primeira parte, o debate teórico (na sua vertente convencional de maneira crítica; em suas variantes alternativas na busca de explicações mais satisfatórias) e, na segunda, descrever de maneira ampla e detalhada a realidade concreta no período aqui julgado mais relevante (a partir da década de 1990). Dentro da concepção mais ampla de que a abertura financeira e a delegação das responsabilidades do financiamento às forças de mercado não constituem a estratégia de longo prazo mais adequada para o país, a tese defendida aqui pode assim ser resumida: a submissão das finanças locais aos ciclos internacionais de liquidez (que sintetizam o caráter da ordem monetária e financeira contemporânea) fica muito aquém de resolver as nossas deficiências históricas neste campo ¿ sobretudo porque a ligação parece ser feita preferencialmente por meio do mercado de capitais. Ao contrário, mesmo que não resulte em crises ou maiores dificuldades, parece reforçar alguns dos mecanismos que dificultam a retomada do desenvolvimento em bases sustentáveis / Abstract: This thesis faces the broad issue of peripheral countries integration to the financial globalization, and the specific goal is to analyze its effects to external situation of Brazilian economy, as well as to domestic financial relations. The work is concerned, in a first part, with the theoretical debate (in its conventional variants with a critical focus; in the alternative literature looking for better explanations). In a second part, the aim is to describe the events in the period since the 1990s. Coherent with the broad conception against the financial openness and total freedom to market forces as the better way to economic development to a country like Brazil, the main idea of the thesis could be summarized as follows: the submission of domestic financial relations to international liquidity cycles (which manifest the negative characteristics of contemporary financial and monetary order) does not solve our historical handicaps in this field ¿ mainly because the link have been done mostly by way of the capital markets. On the contrary, this link, even without crisis or other difficulties, seems to reinforce some of the mechanisms that hinder the recapture of the Brazilian sustainable development / Doutorado / Teoria Economica / Doutor em Ciências Econômicas

PhD (Financial Management) / Department of Mathematics and Applied Mathematics / See the attached abstract below

Thesis (MSc)--Stellenbosch University, 2013. / ENGLISH ABSTRACT: In modern theory of finance, the so-called First and Second Fundamental Theorems of Asset Pricing play an important role in pricing options with no-arbitrage. These theorems gives a necessary and sufficient conditions for a market to have no-arbitrage and for a market to be complete. An early version of the First Fundamental Theorem of Asset Pricing was proven by Harrison and Kreps [30] in the case of a finite probability space. A more general version was proven by Harrison and Pliska [31] in the case of a finite probability space and discrete time. In the case of continuous time, Delbaen and Schachermayer [19] introduced a more general concept of no-arbitrage called "No-Free Lunch With Vanishing Risk" (NFLVR), and showed that for a locally-bounded semimartingale price process NFLVR is essentially equivalent to the existence of an equivalent local martingale measure. The goal of this thesis is to review the theory of arbitrage pricing and the extension of this theory to include liquidity risk. At the current time, liquidity risk is a key challenge faced by investors. Consequently there is a need to develop more realistic pricing models that include liquidity risk. We present an approach to liquidity risk by Çetin, Jarrow and Protter [10]. In to this approach the liquidity risk is embedded into the classical theory of arbitrage pricing by having investors act as price takers, and assuming the existence of a supply curve where prices depend on trade size. This framework assumes that the quantity impact on the price transacted is momentary. Using trading strategies that are both continuous and of finite variation allows one to avoid liquidity costs. Therefore, the First and Second Fundamental Theorems of Asset Pricing and the Black-Scholes model can be extended. / AFRIKAANSE OPSOMMING: In moderne finansiële teorie speel die sogenaamde Eerste en Tweede Fundamentele Stellings van Bateprysbepaling ’n belangrike rol in die prysbepaling van opsies in arbitrage-vrye markte. Hierdie stellings gee nodig en voldoende voorwaardes vir ’n mark om vry van arbitrage te wees, en om volledig te wees. ’n Vroeë weergawe van die Eerste Fundamentele Stelling was deur Harrison en Kreps [30] bewys in die geval van ’n eindige waarskynlikheidsruimte. ’n Meer algemene weergawe was daarna gepubliseer deur Harrison en Pliska [31] in die geval van ’n eindige waarskynlikheidsruimte en diskrete tyd. In die geval van kontinue tyd het Delbaen en Schachermayer [19] ’n meer algemene konsep van arbitragevryheid ingelei, naamlik “No–Free–Lunch–With–Vanishing–Risk" (NFLVR), en aangetoon dat vir lokaalbegrensde semimartingaalprysprosesse NFLVR min of meer ekwivalent is aan die bestaan van ’n lokaal martingaalmaat. Die doel van hierdie tesis is om ’n oorsig te gee van beide klassieke arbitrageprysteorie, en ’n uitbreiding daarvan wat likideit in ag neem. Hedendaags is likiditeitsrisiko ’n vooraanstaande uitdaging wat beleggers die hoof moet bied. Gevolglik is dit noodsaaklik om meer realistiese modelle van prysbepaling wat ook likiditeitsrisiko insluit te ontwikkel. Ons bespreek die benadering van Çetin, Jarrow en Protter [10], waar likiditeitsrisiko in die klassieke arbitrageprysteorie ingesluit word deur die bestaan van ’n aanbodkromme aan te neem, waar pryse afhanklik is van handelsgrootte. In hierdie raamwerk word aangeneem dat die impak op die transaksieprys slegs tydelik is. Deur gebruik te maak van handelingsstrategië wat beide kontinu en van eindige variasie is, is dit dan moontlik om likiditeitskoste te vermy. Die Eerste en Tweede Fundamentele Stellings van Bateprysbepaling en die Black–Scholes model kan dus uitgebrei word om likiditeitsrisiko in te sluit.