Thesis (PhD)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: Analysts are valuation specialists who advise both institutional clients and non-professional investors on the choice and timing of security purchases and sales. The analysts’ advice may have hugely beneficial or unfavourable outcomes for those who rely on them. This study investigated the possible influence of 901 local and international analysts’ recommendations that were issued from 1993 to 2011 on shares listed on the Johannesburg Stock Exchange (JSE). The short-term impact of recommendations on prices and possible behavioural tendencies among analysts, including a reported inclination to issue overly-positive recommendations, were respectively investigated in the first two empirical chapters. Thirdly, the success rate of analysts to issue recommendations with an advised directional impact and possible herding behaviour among analysts were researched. The empirical chapters conclude with an investigation into changes in investor attention (as proxied by traded volumes) and price volatility around analysts’ recommendations. The efficient market hypothesis and the ‘differences of opinion’ theories were used as fundamental points of departure and interpretation. More than 37 000 recommendations, ranging from strong buy to strong sell, were used in an event-study methodology to analyse the market’s reaction to these recommendations. Advanced modelling techniques were implemented in Excel and VBA to analyse daily consensus opinions, positive- versus negative sentiment, analyst activity and reactions, the frequency of abnormal price reactions, abnormal price movements, abnormal traded volumes, and changes in price volatility surrounding recommendation revisions. The study found that analyst recommendations were followed by an abnormal reaction in prices and that the magnitude of a recommendation’s change (e.g. a three-step change from strong sell to buy versus a one-step change hold to buy) had a greater impact than a recommendation’s absolute level. A portfolio strategy revealed the possible benefit of recommendations for investors. Analysts issued their opinions using different patterns within the five possible recommendation categories, and issued the same proportion of negative recommendations during periods of low business confidence and economic contraction than during growth- and economic upswing phases. Analysts who issued more recommendations in total were not more influential than less active analysts, and not all analysts were able to issue recommendations with a large advised directional abnormal impact. As expected, recommendations that had a large abnormal price impact generated some herding activity among the other analysts who covered the same share. Investor attention increased around the issuance of recommendation revisions, and price volatility increased after large recommendation upgrades. In support of market efficiency, investors seemed able to trade at new price levels and execute their trades with sufficient liquidity following recommendations. Results that infer differences of opinion were present both among analysts and investors: competing analysts did not issue the same recommendations for the same shares and favoured different recommendations categories; and investors only acted on some of the recommendations. Furthermore, analysts did not have the same propensity to cause abnormal price reactions. Traded volumes increased around recommendation revisions, showing that investors paid attention to recommendations. / AFRIKAANSE OPSOMMING: Analiste spesialiseer in die waardasie van maatskappye en adviseer beide institusionele- en nie-professionele beleggers rakende die keuse en tydsberekening van hul kope en verkope. Díé advies kan baie voordelige of nadelige gevolge hê vir diegene wat daarop staatmaak. Hierdie studie het die moontlike invloed ondersoek van 901 Suid-Afrikaanse en internasionale analiste se aanbevelings rakende JSE-genoteerde aandele tussen 1993 en 2011. Die eerste twee empiriese hoofstukke ondersoek (i) die korttermyn impak van analiste se aanbevelings op pryse en (ii) moontlike gedragspatrone onder analiste, insluitend ‘n gerapporteerde neiging om oor-positiewe aanbevelings uit te reik. Derdens is analiste se sukseskoers om aanbevelings met ‘n verwagte impak uit te reik en moontlike ‘trop’-gedrag onder analiste nagevors. Die empiriese hoofstukke sluit af met ‘n ontleding van veranderinge in beleggers se aandag (soos aangedui deur verhandelde volumes) en prysvolatiliteit rondom analiste se aanbevelings. Die effektiewe markhipotese en die ‘verskil in opinie’ teorie was gebruik as fundamentele grondslag en om resultate te interpreteer. ‘n Gebeurtenis-studie metodologie is gebruik om die mark se reaksie op meer as 37 000 aanbevelings, wat van sterk koop tot sterk verkoop strek, te analiseer. Gevorderde modelleringstegnieke is in Excel en VBA geïmplementeer om konsensus opinies, positiewe- vs. negatiewe sentimentsperiodes, analiste se aktiwiteitsvlakke en reaksies, abnormale prysreaksies en die voorkoms daarvan, abnormale verhandelde volumes, en veranderinge in prysvolatiliteit rondom aanbevelings hersienings te bereken en te analiseer. Die studie het bevind dat analiste se aanbevelings wel gevolg is deur abnormale prysbewegings, en dat die grootte van aanbevelings se hersienings (bv. ‘n drie-stap hersiening van sterk verkoop na koop versus ‘n een-stap hersiening van hou na koop) ‘n groter impak as die aanbeveling se absolute vlak gehad het. ‘n Portefeulje strategie het ook die moontlike voordeel van aanbevelings vir beleggers uitgelig. Analiste het verskillende patrone binne die vyf-punt aanbevelingskategorieë gebruik om hul opinies te kommunikeer, en het dieselfde proporsie negatiewe aanbevelings tydens periodes van swak besigheidsvertroue en ekonomiese afswaai uitgereik as tydens periodes van groei en ekonomiese opswaai. Analiste wat meer aanbevelings in totaal uitgereik het, was nie meer invloedryk as ander analiste nie, en nie alle analiste het aanbevelings wat ‘n groot abnormale prysreaksie veroorsaak het, uitgereik nie. Soos verwag het aanbevelings, wat groot abnormale prysbewegings veroorsaak het (invloedryke aanbevelings), ‘trop’-gedrag veroorsaak onder kompeterende analiste. Beleggers se aandag het toegeneem met die uitreik van hersienings, en prysvolatitliteit het toegeneem ná groot aanbeveling-opgraderings. Beleggers kon teen nuwe prysvlakke verhandel en hul besluite uitvoer met genoeg likiditeit nadat aanbevelings uitgereik is, wat indikatief van mark-effektiwiteit is. Resultate dui ook op verskillende opinies tussen beleggers en analiste: analiste het verskillende aanbevelings vir dieselfde aandele uitgereik en het verskillende aanbevelings-kategorieë verkies, en beleggers het nie op alle analiste se aanbevelings gereageer nie soos aangedui deur pryse en volumes. Analiste het verder nie dieselfde geneigdheid gehad om abnormale prysveranderinge te veroorsaak nie. Verhandelde volumes het toegeneem rondom aanbevelingshersienings, wat aandui dat beleggers wel aandag aan die analiste se aanbevelings gegee het.

Selecting the right project is critical for an organisation's success because resources are limited. From an economics perspective, the loss in opportunity for an organisation in doing the wrong project is expensive. This investment can be used for doing the right project for achieving competitive advantage and implementing business strategies. As a result, there are many frameworks with techniques and tools available in the literature for assisting organisations in project selection and prioritisation. All techniques or tools have their own advantages and disadvantages and these frameworks do not fit “one for all”. The framework can be business specific; therefore it is necessary to understand what the targeted industry considers as the “best practice”.

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016. / Foreign investment, both in the form of direct, long-term and portfolio flows, is necessary for the development of countries. Fund managers are regulated to allocate funds from their portfolios to countries that are in Emerging Market Indices, following the guide laid out by MSCI and Standard & Poor Dow Jones Indices. Accordingly, countries that graduate into these indexes are defined as ‘investable’. This study examined the underlying factors that both foreign direct and portfolio investors consider when making investments. The factors were then regressed against the countries that had graduated into the emerging market indices to determine which characteristics are necessary for qualification into the index. The sample size included 22 countries common to MSCI and S&P Dow Jones Emerging Market Indices and 28 countries that were economically similar but did not qualify for entry into the index. The study revealed that inflation has negatively correlated with the odds of a country’s graduation into the index. Additionally, of the different types of infrastructure considered, human capital had the largest marginal impact on a country’s investability, while taxation laws and foreign exchange were found to be statistically insignificant. Political stability was found to be negatively correlated with the country’s odds of graduation. Lastly, foreign investors preferred investing in countries with higher sovereign credit rankings and placed high emphasis on the size of financial markets. Policy makers of countries that intend to graduate into the emerging market indices should therefore place emphasis on macroeconomic stability of their economies. They should aim to develop resources, through development of human capital. Finally, they should aim to improve and maintain their credit ratings over time. / DH2016

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2012. / Research indicates that investment in un-securitised private real estate in both developed and emerging economies exhibits inflation hedging potential and provides diversification benefits for mixed-asset portfolios, reducing the risk of portfolios that contain mostly common stocks and bonds. This paper examines the risk diversification potential of securitised property funds for investment portfolios comprising traditional asset classes such as common stocks, bonds and cash instruments in the South African context – to establish if they exhibit the same characteristics as un-securitised private real estate. The results indicate that including securitised property funds in a portfolio comprised of traditional assets reduces unsystematic risk in a portfolio by a significant amount. We also assess the affecters of variability in returns of PUT and PLS funds. The results suggest that the variability in PUT and PLS returns can be explained by both the variability in the equity and debt markets (measured by the ALSI and ALBI), and the variability in direct property returns. Importantly, we find that PUT and PLS market pricing is representative of the underlying asset class pricing (direct real estate prices).

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / This study aims to make a contribution to the better understanding of the role commodities play in a portfolio, specifically in a South African investment portfolio. It considers the interactions between a fully collateralised commodity index and South African equities, bonds, property and cash. The study uses historical data to asses if commodities provide addition benefits to an investment portfolio, namely, additional returns, diversification and as an inflation hedge. The analyses used in this study are performance analysis, correlation studies and portfolio optimisation. Based on the evidence presented in this study we show that there were some benefits to adding commodities to a South African investment portfolio, namely, using commodities to diversify a portfolio and as an inflation hedge. However, commodities did not provide sufficiently large enough returns to justify their high volatility and as such would not be an appropriate stand alone investment in the South African context.

Essay I: Governance surrounding dividend initiation. According to the free cash flow hypothesis, managers prefer to invest surplus cash, even in value reducing projects, rather than release it to shareholders. Yet, previous studies of dividend payout conclude that managers pay more in dividends when they are entrenched, supporting the substitute model... The results indicate that initiating firms have stronger shareholder rights, in contrast with much of the prior research on continuous divident payout. Firms with lower entrenchment index are more likely to initiate dividends... Essay II: Earnings management surrounding dividend initiation. Prior research tests earnings management surrounding changes in dividend payout and researchers conclude that the earnings management is a means of amplifying the dividend signal to the market. However, dividend initiation is a unique event. If initiation represents signaling, similar to a dividend increase, then management will manage earnings upward. If, on the other hand, divident initiation is better explained by the free cash flow hypothesis, then initiation may be entered into with caution or reluctance by management. / by Deborah Drummond Smith. / Thesis (Ph.D.)--Florida Atlantic University, 2012. / Includes bibliography. / Mode of access: World Wide Web. / System requirements: Adobe Reader.

Lam Fong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 67-68). / Abstracts in English and Chinese. / Chapter 1 --- Background --- p.1 / Chapter 1.1 --- Bond and Yield --- p.1 / Chapter 1.1.1 --- Bond [8] --- p.1 / Chapter 1.1.2 --- Yields --- p.3 / Chapter 1.1.3 --- Qualitative Nature of Price-Yield Curves --- p.5 / Chapter 1.2 --- "Duration, Convexity and Time Value" --- p.8 / Chapter 1.2.1 --- Duration --- p.8 / Chapter 1.2.2 --- Qualitative Properties of Duration --- p.10 / Chapter 1.2.3 --- Convexity --- p.16 / Chapter 1.2.4 --- Literatures Review of Duration and Convexity --- p.17 / Chapter 1.2.5 --- Time Value --- p.20 / Chapter 2 --- Management of Interest Rate Risk --- p.22 / Chapter 2.1 --- Laddered Strategy --- p.23 / Chapter 2.2 --- Dumbbell Strategy --- p.24 / Chapter 2.3 --- Immunization Strategy --- p.25 / Chapter 2.4 --- Consideration of Convexity for Managing Interest Rate Risk --- p.26 / Chapter 2.5 --- Duration Targeting[l2] --- p.28 / Chapter 2.6 --- Immunizing Default-Free Bond Portfolios with a Duration Vec- tor [2] --- p.29 / Chapter 2.7 --- The need of Dynamic Global Portfolio Immunization Theorem --- p.32 / Chapter 3 --- Multi-Period Portfolio Selection --- p.34 / Chapter 3.1 --- Objective --- p.34 / Chapter 3.2 --- Dynamic Programming Formulation --- p.35 / Chapter 3.3 --- Specific Situation --- p.46 / Chapter 3.4 --- Summary of Implementation Results --- p.59 / Chapter 4 --- Summary --- p.64 / Bibliography --- p.67 / A Matlab Program of the Dynamic Portfolio Selection --- p.69

Michaud introduced resampled efficiency as an alternative and improvement to Markowitz mean-variance efficiency. While resampled efficiency is far from becoming the standard paradigm of capital allocation amongst risky assets, it has nonetheless gained considerable ground in financial circles and become a fairly debated portfolio construction technique. This thesis applies Michaud's techniques to a wide array of stocks and tries to validate claims of performance superiority of resampled portfolios. While there seems to be no conclusive advantage or disadvantage of using resampling as a technique to obtain better returns, resampled portfolios do seem to offer higher stability and lower transaction costs.

Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1978. / Includes bibliographical references (leaves 59-62). / by Robert Neil Fuhrman. / M.S.

Shen Ruijun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 72-74). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.ii / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Portfolio Selection Problem --- p.1 / Chapter 1.1.1 --- The Mean-Variance Approach --- p.1 / Chapter 1.1.2 --- The Utility Function Approach --- p.2 / Chapter 1.2 --- Conic Programming and Duality Theory --- p.3 / Chapter 1.2.1 --- Cones and Conic Programming --- p.3 / Chapter 1.2.2 --- Second Order Cones --- p.4 / Chapter 1.3 --- Uncertainties and Robust Optimization --- p.5 / Chapter 1.4 --- Problem Formulation --- p.8 / Chapter 1.4.1 --- Utility Approach Based on a Single-Stage Tree --- p.8 / Chapter 1.4.2 --- Utility Approach Based on a Two-St age Tree --- p.10 / Chapter 1.4.3 --- Robust Counterpart of the Single-Stage Model --- p.14 / Chapter 1.4.4 --- Robust Counterpart of the Two-Stage Model --- p.16 / Chapter 2 --- Single-Stage Robust Selection --- p.20 / Chapter 2.1 --- A Specific Model --- p.20 / Chapter 2.1.1 --- Assumptions --- p.20 / Chapter 2.1.2 --- Formulation of the Model --- p.21 / Chapter 2.1.3 --- Solution for the Model --- p.22 / Chapter 2.2 --- The General Model --- p.26 / Chapter 2.2.1 --- Assumptions --- p.26 / Chapter 2.2.2 --- Solving the model --- p.27 / Chapter 3 --- Results on Two-Stage Models --- p.30 / Chapter 3.1 --- A Specific Two-Stage Robust Model --- p.30 / Chapter 3.1.1 --- Assumptions --- p.30 / Chapter 3.1.2 --- Formulation of the model --- p.32 / Chapter 3.1.3 --- Solution for the Model --- p.33 / Chapter 3.2 --- The General Two-Stage Robust Model --- p.40 / Chapter 3.2.1 --- Assumptions --- p.40 / Chapter 3.2.2 --- Solution for the Model --- p.41 / Chapter 3.2.3 --- General Model with Ellipsoidal Uncertainty Sets --- p.45 / Chapter 4 --- Numerical Results --- p.53 / Chapter 4.1 --- Scenario Tree Generation --- p.53 / Chapter 4.2 --- Numerical Results for the problem (SRP2) --- p.56 / Chapter 5 --- Conclusion --- p.67 / Chapter A --- Equation Derivation --- p.69 / Bibliography --- p.72