This study investigates transformational leadership at a higher education institution. The systems paradigm serves as the point of departure, while the construct `leadership', which forms the driving force of change in the organisation, and the concept `transformational leadership', are integrated to yield a mechanism for the optimal positioning of the organisation in the ambit of transformation. The results indicate that the leadership style at the higher institution in question is transformational in nature. From the literature review it became evident that although it is possible for transformational leaders to fail in the transformational strategy, the transformational leader may exhibit the most `ideal' leadership style for the higher education institution engaged in a turnaround strategy. Based on the results of the study, additional proposals are made regarding further study in the area of transformational leadership as well as possible decisions regarding human resource management for the higher education institution in question. / Industrial and Organisational Psychology / M.A. (Industrial and Organisational Psychology)

Submitted by Eduardo Alonso Marza dos Santos (eduardo.marza.santos@gmail.com) on 2015-06-21T10:30:55Z No. of bitstreams: 1 Eduardo_A_M_Santos.pdf: 646820 bytes, checksum: aaba122a576d7c75ad0e5803539c25d4 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2015-06-22T11:46:18Z (GMT) No. of bitstreams: 1 Eduardo_A_M_Santos.pdf: 646820 bytes, checksum: aaba122a576d7c75ad0e5803539c25d4 (MD5) / Made available in DSpace on 2015-06-22T11:56:18Z (GMT). No. of bitstreams: 1 Eduardo_A_M_Santos.pdf: 646820 bytes, checksum: aaba122a576d7c75ad0e5803539c25d4 (MD5) Previous issue date: 2015-05-28 / The dissertation goal is to quantify the tail risk premium embedded into hedge funds' returns. Tail risk is the probability of extreme large losses. Although it is a rare event, asset pricing theory suggests that investors demand compensation for holding assets sensitive to extreme market downturns. By de nition, such events have a small likelihood to be represented in the sample, what poses a challenge to estimate the e ects of tail risk by means of traditional approaches such as VaR. The results show that it is not su cient to account for the tail risk stemming from equities markets. Active portfolio management employed by hedge funds demand a speci c measure to estimate and control tail risk. Our proposed factor lls that void inasmuch it presents explanatory power both over the time series as well as the cross-section of funds' returns. / O objetivo do trabalho é quanti car o prêmio de risco de cauda presente nos retornos de fundos de investimento americanos. Risco de cauda é o risco de perdas excepcionalmente elevadas. Apesar de ser um evento raro, a teoria de apreçamento de ativos sugere que os investidores exigem um prêmio de risco para reter ativos expostos a eventos negativos extremos (eventos de cauda). Por de nição, observações extremas têm baixa probabilidade de estarem presentes na amostra, o que di culta a estimação dos impactos de risco de cauda sobre os retornos e reduz o poder de técnicas tradicionais como VaR. Os resultados indicam que não é su ciente controlar somente para o risco de cauda do mercado de capitais. A gestão ativa de portfólio por parte dos gestores de fundos requer uma medida própria para estimação e o controle de risco de cauda. O fator de risco de cauda que propomos cumpre este papel ao apresentar poder explicativo tanto na série temporal dos retornos quanto no corte transversal.

This study investigates transformational leadership at a higher education institution. The systems paradigm serves as the point of departure, while the construct `leadership', which forms the driving force of change in the organisation, and the concept `transformational leadership', are integrated to yield a mechanism for the optimal positioning of the organisation in the ambit of transformation. The results indicate that the leadership style at the higher institution in question is transformational in nature. From the literature review it became evident that although it is possible for transformational leaders to fail in the transformational strategy, the transformational leader may exhibit the most `ideal' leadership style for the higher education institution engaged in a turnaround strategy. Based on the results of the study, additional proposals are made regarding further study in the area of transformational leadership as well as possible decisions regarding human resource management for the higher education institution in question. / Industrial and Organisational Psychology / M.A. (Industrial and Organisational Psychology)

[pt] Este trabalho tem como objetivo explorar o benefício da inclusão de um novo fator relacionado a juros aos principais modelos de análise do cross-section dos retornos de ações, como o CAPM e o modelo de 3 fatores de Fama & French. O foco em especial é sobre a anomalia dos maiores retornos ajustados ao risco das estratégias de spread entre ações de baixo e alto beta de mercado, que também pode ser visto nos spreads entre ações de baixa e alta volatilidade. A motivação para inclusão deste fator vem da teoria de que o bom desempenho destas estratégias é simplesmente uma exposição a taxa de juros, não capturada pelos modelos usuais. Apesar da literatura apontar que as taxas de juros afetam diversas variáveis econômicas, a maior parte dos trabalhos de análise do cross-section dos retornos de ações é conduzida através de modelos de fatores compostos apenas por ações, sem fatores ou ativos diretamente relacionados a mudança da taxa de juros. A análise é feita com modelos lineares de fatores para o mercado acionário norte-americano entre 1976 até 2015. / [en] The literature shows that interest rates influence different economic variables such as consumption willingness, investment or expected asset returns. Notwithstanding, most works dealing with cross-sectional analysis of stock returns use only stock-based factor models disregarding the effects of interest rate movements. In this work, we explore the benefits of incrementing the traditional cross-sectional analysis (CAPM and Fama-French 3-factor model) with a new factor characterizing interest rate evolution over time. With this new factor, our model aims at better explaining stock return dispersion as well as a known anomaly of high risk-adjusted returns for low-volatility stock portfolios. Empirical analysis of linear factor models are carried out using US stock data using the Kenneth French database and the new factor is constructed using the US Aggregate do Barclays index that measures the return of low-risk assets.

nÃo hà / Esta dissertaÃÃo visa contribuir ao mainstream da Teoria de ApreÃamento de Ativos, ao analisar o desempenho dos fundos de investimento em aÃÃes no Brasil, a partir de um painel composto por 75 fundos do tipo ANBIMA Ibovespa Ativo, sobreviventes no perÃodo de janeiro de 1998 a dezembro de 2008, identificando aqueles cujo resultado se deve simplesmente à sorte ou ao azar e aqueles cujo resultado se deve à habilidade ou à falta de habilidade dos seus gestores. Seguindo a metodologia desenvolvida em Fama & French (1992, 1993) e o trabalho elaborado por Matos e Silva (2010), construÃram-se fatores, os quais consistem em zero cost equal weighted portfolios compostos apenas por fundos, capazes de captar os efeitos tamanho e ganho acumulado destes ativos, sendo os mesmos usados em diversas aplicaÃÃes em uma versÃo estendida do Capital Asset Pricing Model (CAPM). Os efeitos tamanho e ganho acumulado, evidenciados pela inadequaÃÃo do CAPM em modelar fundos com maior patrimÃnio lÃquido e ganhos acumulados muito altos ou baixos, parecem ser muito bem acomodados quando da incorporaÃÃo dos fatores, os quais se mostraram significativos conjuntamente em 50% dos 75 fundos analisados. As principais evidÃncias obtidas a partir de regressÃes temporais individuais sÃo corroboradas quando do teste em painel com efeitos aleatÃrios em que ambos os efeitos sÃo indispensÃveis na explicaÃÃo dos retornos dos fundos de investimento em aÃÃes no Brasil. Para a anÃlise de performance dos fundos, seguiu-se a metodologia proposta por Fama & French (2010), na qual, por meio de tÃcnicas de bootstrap, modela-se o estudo transversal do desempenho dos fundos de investimento. Para a maioria dos fundos que apresentaram outperformance significativa, com base nos alfas estimados nas regressÃes individuais, identificou-se desempenho devido ao acaso. No modelo de fatores proposto, somente trÃs fundos apresentaram real desempenho superior devido à habilidade de seus gestores, todos esses vinculados a instituiÃÃes financeiras privadas. O modelo de fatores se mostrou mais criterioso na caracterizaÃÃo da aleatoriedade de performance. / This dissertation aims to contribute to the mainstream in Asset Pricing Theory, to analyze the performance of stock mutual funds in Brazil, for a panel with 75 mutual funds type ANBIMA Active Ibovespa which have survived during the period between Jan-1998 and Dec-2008, identifying those whose result is simply due to good luck or bad luck and those whose result is due to the skill or lack of skill of their managers. Following the methodology developed in Fama and French (1992, 1993), we built two factors, mutual funds zero cost equal weighted portfolios, able to accommodate the size and performance effects observed for these assets, which are used in some applications in an extended version of Capital Asset Pricing Model (CAPM). Both effects, which seem to play a relevant role due to the inefficiency of the CAPM model to price big funds with huge relative performance (very high or very low), are partially accommodated when one adds factors, which are significant jointly in 50% of the 75 funds analyzed. The main evidences obtained running individual time series regressions are corroborated if one uses the panel technique estimation with random effects, where both factors seem to be vital if one intends to better understand the returns of the mutual funds in Brazil. To analyze the performance of the funds, the methodology developed in Fama and French (2010) was used, in which, by bootstrap techniques, the cross-section of the performance of investment funds are modeled. For most of the funds that had significant outperformance, based on the estimated alphas in individual regressions, performance due to chance was identified. In the factors model proposed, only three funds really outperformed due to the ability of their managers, all those linked to private financial institutions. The factor model proved to be more accurate in characterizing the randomness of performance with the appropriate criteria.

Submitted by Daniel Benabou (dbenabas@gmail.com) on 2018-09-24T14:05:05Z No. of bitstreams: 1 Daniel Benabou - Final.pdf: 1509370 bytes, checksum: b5f974a956000f0474b19f3aa92f13db (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2018-09-24T15:01:39Z (GMT) No. of bitstreams: 1 Daniel Benabou - Final.pdf: 1509370 bytes, checksum: b5f974a956000f0474b19f3aa92f13db (MD5) / Approved for entry into archive by Isabele Garcia (isabele.garcia@fgv.br) on 2018-09-24T20:11:14Z (GMT) No. of bitstreams: 1 Daniel Benabou - Final.pdf: 1509370 bytes, checksum: b5f974a956000f0474b19f3aa92f13db (MD5) / Made available in DSpace on 2018-09-24T20:11:14Z (GMT). No. of bitstreams: 1 Daniel Benabou - Final.pdf: 1509370 bytes, checksum: b5f974a956000f0474b19f3aa92f13db (MD5) Previous issue date: 2018-08-24 / Com o objetivo de obter a estrutura de curvas futuras de swaps de energia, este trabalho foca na implementação numérica do modelo de Heath, Jarrow e Morton (1992) utilizando somente as informações dos contratos de swaps negociados no Sistema Elétrico Brasileiro, através do modelo discreto do HJM conhecido como Modelo de Brace, Garatek e Musiela (1997), também referido como Modelo de Mercado. A estrutura de volatilidade foi obtida de forma não-paramétrica através de curvas suaves e de vértices sintéticos obtidos por interpolação dos dados de venda de uma comercializadora tratados através do método de Análise de Componentes Principais (PCA). Os dados analisados foram contratos firmados entre o início de 2013 e o primeiro quadrimestre de 2015. / For the purpose of obtaining the structure of future swap energy curves in the Brazilian market, this paper focuses on the numerical implementation of the Heath, Jarrow and Morton model (1992) using market information regarding the swap contracts traded in the Brazilian energy system, with its multi-factor discrete form, the Brace, Garatek and Musiela (1997) model, also known as Market Model. The volatility structure is obtained with smooth curves and synthetic vertices, obtained thru swap contracts negotiated by a Brazilian energy trading company. Also, the volatility structures where analyzed with the Principal Components Analysis (PCA). The analyzed data where swap contracts stablished between the beginning of 2013 until the first quarter of 2015.

This thesis is composed of three chapters. The first two chapters provides novel approaches for<p>modeling and estimating the dependence structure for a large portfolio of assets using rating data.<p>In both chapters a natural form of organizing a portfolio in terms of the levels of exposure to economic sectors and geographical regions, plays a key role in setting up the dependence structure.<p>The last chapter investigates weather financial strategies that exploit sector or geographical heterogeneity in the asset space are relevant in terms of portfolio optimization. This is also done in a context of a large portfolio but with data on stock returns. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

M. Tech. (Department of Industrial Engineering and Operations Management, Faculty of Engineering), Vaal University of Technology. / The current business environments in many companies are characterized by markets facing tough competitions, from which customer requirements and expectations are becoming increasingly high in terms of quality, cost and delivery dates, etc. These emerging expectations are even getting stronger due to rapid development of new information and communication technologies that provide direct connections between companies and their clients. As a result, companies should have powerful control mechanisms at their disposal. To achieve this, companies rely on a number of functions including production scheduling. This function has always been present within companies, but today, it is facing increasing complexities because of the large number of jobs that must be executed simultaneously. Amongst many factors, it is time driven. This study demonstrates that several disciplines can be married into one model (i.e. a unified model) to solve scheduling problems after disruptions, and clears the way for future multi-disciplinary research efforts. Scheduling problem is modeled as follows: Ito’s stochastic differential rule is used to analyse the time evolution of random or stochastic processes. Multifactor productivity is used to unify various disruption factors. Theory of line balancing is also employed to determine the required number of resources to minimize bottleneck. Reliability: disruptions are considered to be equivalent to system failure. The failure rate of the system is translated to the reliability of the system mathematically. The probabilities of failure are used as indicators of disruptions, and the theory of reliability is then applied. Bernoulli’s principle is also employed to relate pressure to production flow and aid in managing bottleneck situations. Results indicate that the amount of resources needed after disruption depends on the nature of disruption, and that the scheduler should plan to increase number of facilities following a trend that is only predicted by the nature of disruptions. It is also shown that disruption of one type may not greatly affect productivity of a certain company layout, whilst similar disruptions can have devastating effect on another type. It is further concluded that impacts of disruption are dependent on the type of company layouts.

At the current level of the world and Russian economy development industrial enterprises can get important advantages due to the effective formation and use of intangible resources which have a significant impact on the activities of these enterprises. The purpose of the thesis is to assess the impact of intangible assets on the industrial complex enterprises activities. The information and empirical base of the research was based on legislative acts and regulations governing commercial organizations and enterprises accounting of intangible assets, normative acts, monographic research, periodical materials, international accounting and reporting standards, guidelines, scientific works and publications of foreign and domestic economists, official statistic data of the intangible assets use by commercial organizations, reporting documents of the investigated industrial enterprise. Domestic and foreign literary sources analysis shows the unified approaches absence to the study of the problems of accounting and valuation of industrial enterprises intangible assets. Therefore, in the course of writing the master’s thesis the author’s definition of “intangible assets” was given, the classification of industrial enterprises intangible assets was clarified, and a multifactor model for evaluating the industrial enterprise’s activities results taking into account the influence of various factors including intangible assets considered and not accounted for was developed. This multifactor model which was tested on research enterprise will help to give not only an assessment of the degree of these factors impact, but also allow for a predictive check of changes in the results of the enterprise’s activity under various development scenarios. / При современном уровне развития мировой и российской экономики промышленные предприятия могут получить существенные преимущества за счет эффективного формирования и применения нематериальных ресурсов, которые оказывают значительное влияние на деятельность этих предприятий. Целью диссертационной работы является оценка влияния нематериальных активов на результаты деятельности предприятий промышленного комплекса. Информационно-эмпирическая база исследования основывалась на законодательных актах и положениях, регламентирующих коммерческие организации и ведение бухгалтерского учета нематериальных активов предприятиями, нормативных актах, монографических исследованиях, материалах периодической печати, международных стандартах учета и отчетности, методических рекомендациях, научных трудах и публикациях зарубежных и отечественных экономистов, официальных статистических данных об использовании нематериальных активов коммерческими субъектами, отчетных документах исследуемого промышленного предприятия. Анализ отечественных и зарубежных литературных источников показывает отсутствие единых подходов в изучении проблематики учета и оценки нематериальных активов промышленных предприятий. Поэтому в ходе написания магистерской диссертации дано авторское определение «нематериальные активы», уточнена классификация нематериальных активов промышленных предприятий, а также разработана многофакторная модель оценки результатов деятельности промышленного предприятия с учетом влияния различных факторов, в том числе учитываемых и не учитываемых в балансе нематериальных активов. Данная многофакторная модель, которая была апробирована на исследуемом предприятии, поможет дать не только оценку степени воздействия этих факторов, но также позволит провести прогнозную проверку изменения результатов деятельности предприятия при различных сценариях развития.

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