Magister Commercii - MCom / This study seeks to evaluate the performance of unit trust managers based on their client affiliation classification. Worldwide, the number of investors investing in unit trusts is on the rise and increasingly they want to be able to evaluate the performance of the managers managing their funds so as to make better investment decisions. This increase in the asset size and number of unit trusts funds could be attributed but not limited to the low capital required for investment by small investors who before could not afford to invest in portfolios requiring large capital (Prather, Bertin, and Henker, 2004). In addition, the fund managers of these units are believed to have special skills such as market timing and stock selectivity which contribute to the performances they achieve. The evaluation of the performance of unit trust fund managers is a largely unexplored area in South Africa. As a result, the study focuses on South Africa fund managers and has as aim to evaluate the performance of two groups of fund managers (independent and dependent) who were classified based on their client affiliation structure. The client affiliation classification is as a result of the fund manager's clientele base. The dependent group are those who formed part of a group structure and offer other wealth management services for which their clients or investors in the unit trust services originate from within the group while the independent group are those whose clients are pulled together from diverse individuals or institutions and does not form part of a group or render other services other than fund management. Two fund types were selected namely; general equity funds and balanced funds. It has also examined the underlying skills the different groups of fund managers possess. The performance of unit trust has an effect on many parties who are related in one way or the other to the unit trust funds. The results of this study will inform individual investors, trustees and asset consultants in their decision making process of selecting a fund manager. The results of the study will be of value to the asset management industry in terms of assessing their structures and restructuring the investment service business to meet the expectations of their clients; the investors. It could also be used as a marketing tool. Publicly available historical data on the returns generated by fund managers for a five year period from 2005 to 2009 was obtained. Analyses were done using the independent sampled t-test and the Treynor Mazel model respectively for the different research questions posed. The results obtained indicated that there were no statistically significant differences between the performances of independent fund managers with those of dependent fund managers. However, dependent fund managers of equity funds performed better than their counterparts the independent fund managers. In the case of balanced funds, the independent fund managers performed better than their dependent counterparts. On average, both fund manager types possessed selectivity skills for equity funds and none for balanced funds. However for both fund types, the dependent fund manager demonstrated more selectivity skills than their independent counterparts. The results for market timing skills demonstrated that on average, both fund managers did not possess market timing skills for balanced funds while possessing these skills for equity funds. The dependent fund managers demonstrated more market timing skills for balanced funds though negative when compared to that of their counterparts. On the other hand, the equity fund independent fund managers demonstrated more market timing skills than the dependent fund managers. / South Africa

The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of international mutual funds. This exploration splits the sample, uses the initial sub-sample to investigate return patterns of international mutual funds and develops trading rules based on the predictable return patterns, and tests those rules on the holdout sample. The empirical findings suggest that smart investors may earn higher riskadjusted returns by following daily dynamic trading strategies. The excess returns earned by investors are statistically and economically significant, irrespective of load or no-load mutual funds and even in the presence of various exchange restrictions and regulations.

Made available in DSpace on 2015-03-05T19:14:42Z (GMT). No. of bitstreams: 0 Previous issue date: 29 / Nenhuma / Este estudo teve como pressuposto investigar a ocorrência da teoria de equity market timing na formação da estrutura de capital das companhias abertas brasileiras. Equity market timing, ou janela de oportunidades de mercado, pode ser definido como o momento apropriado para a emissão de ações, que ocorre quando o quociente entre o valor de mercado e o valor contábil das empresas – market-to-book ratio (MB) − é alto, indicando que a firma está sobrevalorizada e que, respectivamente, seu custo de capital está baixo. Baker e Wurgler (2002) foram os expoentes dessa teoria e desenvolveram um modelo para testar a existência e a persistência de equity market timing na formação da estrutura de capital das companhias abertas americanas. Ao aplicarem o modelo no mercado norte-americano, nele constataram a existência de market timing, bem como sua persistência por cerca de uma década, a contar da data da oferta pública inicial de ações (IPO) das respectivas empresas, comprovando que as empresas norte-americanas se / This study examines the implications of the theory of equity market timing on the capital structure in the Brazilian public companies. Equity market timing, or windows of opportunities, can be defined as the right moment to issue equity when the market value is high, relative to book value, indicating that the firm is overvalued and the cost of capital is low. Baker and Wurgler (2002) developed a model to test the equity market timing theory in the American capital market. The results are consistent with the hypothesis that market timing has large and persistent effects on capital structure. Furthermore, they found out that the impacts persist for a decade after the IPO of the firms, proving that companies in United States take advantage of the windows of opportunities to form their capital structures. Assuming the Baker and Wurgler’s propositions, the equity market timing theory was tested in Brazilian capital market for a group of companies that went public between 1997 and 2007. Both market and book lever

This research employs five predicting variables to implementing the market timing strategy. These five variables are E/P1, E/P2, B/M, CP and GM. The investment performances of market timing under a variety of investment horizons are examined. There are four different forecasting horizons, which are one-month, three-month, six-month, and twelve-month investment horizons. Both the linear approach and artificial neural networks are employed to forecasting the market. The artificial neural network is employed with a view to capture the non-linearity property embedded in the market. The results are summarized as follows. (1) Both the linearity and nonlinear approaches are able to outperform the market. According to the results of Cumby-Modest test, they do have the market timing ability. (2) In the simple regression models, the performance of CP is relatively well compared to those of other variables. (3) The correct prediction rate increases as the investment horizon increases. (4) The performance of the expanding window approach is on average inferior to that of the moving window approach. (5) In the simulations of timing abilities over the period of May, 1991 to December, 1997. The multiple regression models has the best performance for the cases of one-month, three-month, and six-month investment horizons. On the other hand, BP(1) has the best performance for the case of one-year investment horizon. Contents Chapter 1 Introduction ……………………………………… 1 1.1 Background……………………………………………………………. 1 1.2 Motivations and objectives…………………………………………….3 1.3 Thesis organization ………………………………………………….. 4 Chapter 2 Literature Review…………………………………6 2.1 Previous studies on market timing……………………………………. 6 2.2 Predicting variables…………………………………………………… 8 2.3 Artificial Neural Networks……………………………………………10 2.4 Back Propagation Neural Networks…………………………………..11 2.5 Applications of ANNs to financial fields………………….………….12 Chapter 3 Data and Methodology……………………….….15 3.1 Data………………………………………………………………..….15 3.2 Linear approaches to implementing market timing strategy……….…18 3.3 ANNs to implementing market timing strategy…………..…………..23 Chapter 4 Results on Timing Performance……………..…26 4.1 Performance of linear approach………………………………………26 4.2 Performance of ANNs………………………………………………...38 4.3 Performance evaluation……………………………………………….39 Chapter 5 Summary…………………………………………54 5.1 Conclusions……………………………………………………….….54 5.2 Future works…………………………………………………………55 Appendix……………………………………………………..56 References……………………………………………………57 / This research employs five predicting variables to implementing the market timing strategy. These five variables are E/P1, E/P2, B/M, CP and GM. The investment performances of market timing under a variety of investment horizons are examined. There are four different forecasting horizons, which are one-month, three-month, six-month, and twelve-month investment horizons. Both the linear approach and artificial neural networks are employed to forecasting the market. The artificial neural network is employed with a view to capture the non-linearity property embedded in the market. The results are summarized as follows. (1) Both the linearity and nonlinear approaches are able to outperform the market. According to the results of Cumby-Modest test, they do have the market timing ability. (2) In the simple regression models, the performance of CP is relatively well compared to those of other variables. (3) The correct prediction rate increases as the investment horizon increases. (4) The performance of the expanding window approach is on average inferior to that of the moving window approach. (5) In the simulations of timing abilities over the period of May, 1991 to December, 1997. The multiple regression models has the best performance for the cases of one-month, three-month, and six-month investment horizons. On the other hand, BP(1) has the best performance for the case of one-year investment horizon.

本研究結合由Holland(1975)所發展的遺傳程式與資訊科技的計算理論來研究臺灣股票市場的市場擇時策略，並根據Bauer(1994)對於投資法則的編碼方式，分別考慮以基本分析與技術分析為基礎的遺傳程式市場擇時策略，並且以買入持有策略、投資無風險資產與追漲殺跌策略等三種投資策略作為比較基礎來評估遺傳程式在投資策略應用上的可行性。 　　研究期間為1984年至1991年，其中樣本內期間為1984年至1988年，而樣本外期間為1989年至1991年，研究結論如下： 　　1.不論採基本分析或技術分析為基礎的遺傳程式投資法則，在樣本外期間第一年（1989年）的報酬均顯著高於投資無險資產與追漲殺跌策略，但低於買入持有策略。 　　2.就整個樣本外期間（1989-91年）而言，採用基本分析的遺傳程式投資法則顯著優於買入持有策略，而採用技術分析的遺傳程式投資法則並不具有投資績效。 　　3.以基本分析為基礎的遺傳程式投資法則較適用於長期投資，而以技術分析為基礎的遺傳程式投資法則較適用於短期投資。 　　4.樣本外期間經歷了遺傳程式沒有學習過的資料型態（亦即1990年初股價連續下跌趨勢），對於遺傳程式的學習能力形成了一大挑戰。

本研究主要是探討台灣上市櫃公司從事現金增資之決策是否受公司所處生命周期及市場時機影響，並進一步探討增資公司是否因市場時機有囤積現金的現象。 本研究檢視民國83年1月1日至95年12月31日止，共十三年期間台灣發生之現金增資。本研究以羅吉斯回歸檢定企業生命週期與市場時機之替代變數，發現兩者對台灣上市櫃公司增資意願之影響皆為顯著，而企業生命週期對增資之影響比市場時機的影響更大。雖然生命週期與市場時機的替代變數皆為顯著，但迴歸的預測模型對增資機率的解釋力低，因此本研究進一步探討增資公司於增資前後的現金水準變化。最後發現台灣增資公司利用市場時機進行增資而短期現金水準提高的現象並不算常態，多數公司於增資後會用盡增資現金，且多數公司若未進行增資則可能面臨現金短缺的狀況。因此，本研究之實證結果顯示，市場時機與公司所處生命週期雖會影響現金增資之機率，但只能解釋為一小部分的增資動機，而大部分的公司之所以從事現金增資是因為面臨現金短缺，為避免進一步的財務危機而向資本市場籌資。

Market Timing Strategy is an active investment strategy, which is based on the signals of indicators, for the investors to make their investment decisions. However, there has always been the question on which variable is a good indicator, that would provide superior returns for the investment. Bond to Equity Yield Ratio (BEYR) is a new indicator widely researched by many academics in the field of finance and extensively applied by practitioners of the financial markets during the last two decades. Efficient Market Hypothesis (EMH) is a theory in finance which states that stock prices are always reflected with the relevant information and beating the market from predicting the trend of future stock prices is not possible. Therefore, if the market is in accordance with EMH, market timing strategy is not useful and passive investment strategy is better than active investment strategy. Although extant literatures have proved BEYR as a good indicator to be used in market timing strategy, the focus of the existing research is on the financial markets in the United States, the United Kingdom, and the Europe; the study on Asian financial markets is very limited. The main objective of the research is mainly motivated by this knowledge gap. This study will use extreme value strategy as an active trading strategy to conduct research on the market timing ability of BEYR in three Asian financial markets: Japan, Malaysia and Singapore. In addition, passive trading strategy will be used to compare with active trading strategy in each country to identify whether the markets comply with weak form of EMH. Deductive approach of quantitative research is conducted and three main hypotheses are developed to achieve the research objective. The empirical findings from our research and the responses to the main hypotheses can be summarized as active trading strategy does perform better than passive trading strategy for all countries and the market timing ability of BEYR is not as good as the traditional indicators: dividend yields and earning yields for all countries. Therefore, the financial markets of all counties under scrutiny do not comply with weak form of EMH. However, it is worthy to take note that the sample period chosen for this research includes the period when the Global Financial Crisis occurred in 2008. Therefore, it is assumed that the impact of the financial crisis is the main reason contributing the difference between the findings from our research and the existing literatures. Moreover, the difference in the nature of financial market can be considered as another underlying factor for the new perspective on BEYR resulting from our empirical results.

本研究主要欲針對市場擇時理論進行實證研究，研究期間橫跨1990年至2008年，以台灣上市公司為研究樣本，主要欲探討兩大議題：第一部分驗證台灣上市公司是否會在權益資金成本相對較低時，進行外部權益融資，而使公司之槓桿下降；反之，觀察其是否會在權益資金成本相對較高時，進行負債融資，而使公司槓桿上升。研究方法參考Huang and Ritter(2009)之方法，使用剩餘收益模型估計權益資金成本，並以權益風險溢酬作為衡量市場擇時行為的代理變數，探討權益資金成本的大小是否會透過淨權益的發行而影響公司資本結構，並加入公司特徵變數與總體市況變數作為控制變數。實證結果顯示在公司有財務資金需求的前提下，公司的負債比例與權益風險溢酬之間存在正向的關係，此結果符合市場擇時理論之預期。第二部分討論過去依據資金成本之高低所進行的市場擇時融資行為是否會影響公司的資本結構。實證結果發現市場擇時行為對公司資本結構的影響力會在三年後消逝，對資本結構只具有短期的影響效果。 / This paper examines market timing theory on Taiwan listed company during 1990－2008, and focus on two topics. In the first part, we want to test whether firms fund larger proportion of their financing deficit with external equity when cost of equity is relatively low. We refer to Huang and Ritter (2009), using residual income model to estimate the firm’s implied cost of equity, and let implied equity risk premium as a market timing proxy. Consistent with the market timing theory, the empirical evidences show that the effect of financing deficit on leverage is positively related to the implied equity risk premium. In the second part, we test whether the historical values of cost of equity have persistent impact on current capital structure. We find about three years impacts, indicating that past market timing financing behavior have short-term effects on firm’s capital structure.

本篇論文探討亞太地區債券市場中是否存在著擇時行為，以此區域中三個經濟區為代表—澳洲、新加坡及香港，透過分析此區域2000~2009期間的絕對利率、相對利率與絕對債券發行量、相對債券發行量間之關係，以及進一步控制影響企業債券發行之因素，包括市場的成長機會、再融資及企業特性等，最後，實證結果指出亞太地區之債券市場並無擇時行為之存在，且其融資行為較傾向支持靜態抵換理論，亦即亞太企業進行舉債融資時較可能同時考慮舉債所帶來的正面及負面效果，因此有一最適資本結構存在的可能。 / The purpose of this thesis is to test whether there is market timing behavior existing in Asia-pacific bond market. Using the data during 2000~2009 in three representative places, including Australia, Hong Kong and Singapore, we compare both the absolute and relative interest rate to both the absolute and relative amount of debt issue. In addition, we further control the factors that affect the debt issue of firms, including the market growth opportunities, refinancing and the characteristics of firms. Finally, we find there is no market timing behavior in Asia-pacific bond market. Besides, firms’ financing behavior in Asia-pacific are better explained by the trade-off theory, which means it is possible that there is a optimal capital structure for each firm.

Submitted by Marcio Gabrielli (marcio.gabrielli@fgv.br) on 2018-07-04T02:39:03Z No. of bitstreams: 1 Tese_MFG_final_ecadernação.pdf: 2878379 bytes, checksum: 28ebd84c3ad4ad62d72a2e31828c8dc3 (MD5) / Approved for entry into archive by Debora Nunes Ferreira (debora.nunes@fgv.br) on 2018-07-10T17:35:41Z (GMT) No. of bitstreams: 1 Tese_MFG_final_ecadernação.pdf: 2878379 bytes, checksum: 28ebd84c3ad4ad62d72a2e31828c8dc3 (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-07-10T17:42:11Z (GMT) No. of bitstreams: 1 Tese_MFG_final_ecadernação.pdf: 2878379 bytes, checksum: 28ebd84c3ad4ad62d72a2e31828c8dc3 (MD5) / Made available in DSpace on 2018-07-10T17:42:11Z (GMT). No. of bitstreams: 1 Tese_MFG_final_ecadernação.pdf: 2878379 bytes, checksum: 28ebd84c3ad4ad62d72a2e31828c8dc3 (MD5) Previous issue date: 2018-06-05 / Este trabalho analisou os motivos que levam empresas brasileiras a realizarem emissões de títulos de dívida no mercado internacional. Para tanto, utilizou-se a lei que estabeleceu a taxação sobre os derivativos cambiais (anunciada em 26/07/2011, implementada em 16/09/2011 e revogada em 12/06/2013), vigente durante o período do então Ministro da Fazenda Guido Mantega, como um evento quase-natural para analisar se a probabilidade de emissão no mercado internacional é afetada por uma medida governamental. Constatou-se uma redução na probabilidade de emissão de bônus por empresas brasileiras no mercado internacional durante a vigência da lei, ao passo que se constatou um aumento desta probabilidade para emissões no mercado interno, sugerindo um efeito de substituição. Este efeito estaria ligado ao fato de que a taxação dos derivativos cambiais teria gerado uma quebra da paridade coberta das taxas de juros, pois o custo de emissão no mercado nacional teria ficado mais baixo do que o custo no mercado internacional quando computado o valor do hedge cambial. Este efeito foi evidenciado de forma mais clara ao se constatar que ele afetou de forma diferente empresas que apresentavam exposições distintas em relação à variação cambial. Empresas exportadoras líquidas, para as quais a dívida em moeda estrangeira funcionaria com o hedge natural de suas operações, foram menos afetadas que as empresa importadoras líquidas, as quais necessitariam realizar o hedge cambial de suas dívidas em outras moedas, para não incorrerem em uma maior exposição cambial. Desta forma, foi possível evidenciar que as empresas agem na direção de captar recursos no mercado que lhes possibilite o menor custo final de captação, buscando 'janelas de oportunidade' entre os mercados local e internacional – já incorporado o valor do hedge para eliminação dos riscos cambiais – para decidir onde emitir seus títulos de dívida. Estes resultados também possibilitam argumentar que o governo foi capaz de influenciar a decisão de financiamento – uma tomada de decisão interna das empresas a respeito da emissão de dívida no mercado local ou internacional – assim como afetar o seu (delas) custo de captação e consequentemente seu custo de capital. / This paper analyzes the reasons that lead Brazilian companies to issue debt securities in the international market. For this purpose, the law that established the taxation on foreign exchange derivatives (announced on 07/26/2011, implemented on 09/16/2011 and revoked on 06/12/2013), in force during the period of the then Minister of Fazenda Guido Mantega, was used as a quasi-natural event to analyze whether the probability of issuance in the international market is affected by a governmental measure. A reduction in the probability of issuance of bonds by Brazilian companies in the international market during the period of the law was observed, while an increase in this probability for domestic issues was observed, suggesting a substitution effect. This effect would be related to the fact that the taxation of foreign exchange derivatives would have generated a break in the covered interest rate parity, since the cost of issuance in the domestic market would have been lower than the cost of issuance in the international market after computing the hedge cost of the foreign exchange risk. This effect was more clearly evidenced by the fact that it affected in a different way companies with different foreign exchange exposures. Net exporting companies, for which the foreign exchange debt would function as a natural hedge of their operations, were less affected than net importing companies, which would need to hedge their foreign exchange debts in order not to incur in a larger foreign exchange exposure. In this way, there were evidences that companies act in the direction of raising funds in the market that allows them the lowest final funding cost, seeking 'windows of opportunity' between local and international markets – already incorporating the foreign exchange hedge cost – in order to decide in which market to issue their debt securities. These results also make it possible to argue that the government was able to influence corporate internal financing decision – debt issuance in domestic or international markets – as well as affect its funding costs and hence its cost of capital.