Thesis (M.A. Commerce (Economics)) -- University of Limpopo, 2019 / South Africa had targeted the oil and gas sector for investment through the industrial action plan as a special economic zone. However, certain economic fundamentals might negate the anticipated sector financial development. This study investigate how economic risk exposure influence oil & gas sector stock market returns from 2007 to 2015 on a monthly basis. The four macroeconomic variables used to measure economic risk exposure are Brent crude oil prices, the USD/ZAR exchange rate, broad money supply and gold prices. The adopted techniques include the GARCH model to incorporate volatility, the Johansen cointegration and Granger causality techniques. The results of the study found that change in Brent crude oil prices and broad money supply had a positive and significant impact on changes in oil & gas sector stock returns. Changes in exchange rate and gold prices had a negative and significant impact on the sector returns. The long-run relationship established one cointegrating equation in the series. Only Brent crude oil prices indicated a bi-directional Granger causality on the sector returns. Based on the findings, it is recommended that government may use exchange rate as a policy tool to attract interest in the sector. Regarding money supply, the reserve bank should further preserve its effective regulatory infrastructure including the laws, regulations and standards towards the achievement and maintenance of a stable financial system. Portfolio managers, risk managers and investors should monitor the gold price to mitigate losses due to its strength as a safe haven asset.

This empirical study is concerned with whether the oil and gas reserve value data reported by petroleum producers have been utilized by investors. Reporting reserve value data based on a present value approach is the initial step toward the development of the Securities and Exchange Commission's new accounting method called "Reserve Recognition Accounting" (RRA) for oil and gas producers. Experimentation with this new accounting concept in the oil and gas industry has been adopted as a tentative resolution of the long-standing controversy over valuation of oil and gas reserves and the measure of income from oil and gas exploration. Evidence gathered in this research will be valuable to the SEC in its efforts to assess the usefulness of RRA. This dissertation assumes capital market efficiency and address two specific questions. First, do investors behave as if the reported end-of-year reserve value data are effective signals for pricing securities of oil and gas producers? Second, has the SEC-mandated reserve value disclosures induced any response in the capital market? Two research designs were employed to permit extensive investigation of these two questions.

Conserving energy and reducing electricity consumption have become critical issues. Measuring when different appliances use electricity can be an effective way to save money on electricity bills. By providing information about hourly electricity prices and peak consumption times, people can subconsciously adopt energy saving habits to reduce the electricity consumption in their households. The challenge, however, lies in ensuring that all household members are informed and made aware of the right times to use electricity. This study will research how nudging can be utilized to reduce electricity consumption in households and what information the people in the households need to be able to make informed decisions to reduce their electricity consumption.

The U.S. dairy industry is heavily regulated. The federal government established the first milk regulation under the Agricultural Adjustment Act in 1933. Subsequently, Congress passed the Act of 1935, the Agricultural Marketing Agreement Act of 1937, and the Agricultural Act in 1949. The 1937 and 1949 pieces of legislation have been the basis for milk regulation until now. The federal government regulates the dairy industry by two programs: (1) the federal milk marketing order program, and (2) the federal price support program. These two programs regulate prices received by farmers. Some states also regulate retail prices for milk. This paper examines the retail milk markets in three areas: (1) the impact of government milk regulation on retail prices for both fluid and manufacturing milk; (2) the impact of government milk regulation on consumers’ surplus, producers' surplus, and deadweight loss; and (3) the support prices for surplus manufacturing milk. It was found that government dairy regulation tends to contribute to: (1) providing market stability in terms of minimum price variability and sufficient milk supply for consumers; and (2) guaranteeing high and uniform income for dairy farmers. These benefits, however, are at the expense of the consumers and taxpayers who are paying higher than pure competitive prices for all milk products. Some welfare transfer from the taxpayers to social programs is taking place under current government regulation. Net consumers' surplus is uncertain. This thesis provides evidence which supports aspects of both the capture theory and market failure theory of the dairy industry in the United States. / Master of Arts

Doctor of Philosophy / Department of Agricultural Economics / Ted Schroeder / Food recalls have been an issue of great concern in the food industry. Stakeholder responses to food safety scares can cause significant economic losses for food firms. Assessing the overall impact that may result from a food recall requires a thorough understanding of the costs incurred by firms. However, quantifying these costs is daunting if not impossible. A direct measurement of a firm’s total costs and losses of revenue associated with a food recall requires firm-level data that is not available. The method utilized in this study overcomes this severe limitation. Using an event study, the impact of meat and poultry recalls is quantified by analyzing price reactions in financial markets, where it is expected that stock prices would reflect the overall economic impact of a recall. A unique contribution of this study is evaluating whether recall and firm specific characteristics are economic drivers of the magnitude of impact of meat and poultry recalls on stock prices. Results indicate that on average shareholders’ wealth is reduced by 1.15% within 5 days after a firm is implicated in a recall involving serious food safety hazards. However, when recalls involve less severe hazards, stock markets do not react negatively. Also, reductions in company valuations return to pre-recall levels after day 20. Firm size, firm’s experience, media information and recall size are drivers of the economic impact of meat and poultry recalls. That is, firms recalling a larger amount of product perceive greater reductions in company valuations. Additionally, recalls issued by larger firms are less likely to present negative effects on stock prices, compared to smaller firms. Moreover, firms that have recently issued a recall are less harmed by a new recall compared to those firms issuing a recall for first time. Thus, suggesting that investors take into consideration the past performance of a company when dealing with food recalls. Furthermore, media information has a negative impact on shareholder’s wealth. Findings from this study provide essential information to the meat industry. In particular, understanding the likely impact of such “black swan” events is critical for firm’s investing in food safety technologies and protocols.

Call number: LD2668 .T4 1955 S59 / Master of Science

Investors make investment decisions based on their risk appetite. Furthermore, when such investors consider shares as part of their investment portfolio, these investors will consider the risk profile of the company it is interested in. By taking on a certain level of risk, shareholders expect to be commensurately compensated. Shareholders of companies with relatively higher debt levels in their capital structure and therefore higher financial risk, require a relatively higher return on their investment in order to compensate for such additional risk taken. Shareholders expect return in the form of dividend pay-outs, and capital growth in the share price. A positive correlation is therefore expected between the debt levels of a company and the total return to their shareholders, i.e. the sum of the dividend pay-outs and the capital growth in the share price, also referred to as total shareholder return (TSR). The focus of this study is on the platinum industry in South Africa, as this industry is vital to the South African economy in terms of job creation and earner of foreign exchange as South Africa dominates the world production of platinum. The purpose of this study is to investigate whether there is a correlation between the debt levels and the total shareholder return (TSR) of platinum companies listed on the JSE Ltd. Quantitative research techniques were used to address the research problem, making use of secondary data and rank correlation-based research. Firstly, the debt-to-equity ratio for each company was calculated based on book values. Secondly, the TSR of each company was calculated considering the dividends received and capital growth in share price. The correlation between the TSR and the debt-to-equity ratio was determined using Spearman’s rank correlation coefficient. The results were inconclusive, i.e. no, negative and positive relationships where the relationship is for the first 12 years not significant and for the last two years significant. Therefore the final conclusion is that this study is inconclusive to support or to reject the conceptual scope of the study in that risk is concomitant to return, i.e. returns compensate for risks, therefore higher debt levels require higher total shareholder returns (and vice versa). This study contributes to the literature on capital structure decisions from a South African platinum company perspective. The core audience will be the management of South African platinum companies considering changes in their capital structure as well as investors considering investing into a listed platinum company. / MCom (Management Accountancy), North-West University, Potchefstroom Campus, 2015

Investors make investment decisions based on their risk appetite. Furthermore, when such investors consider shares as part of their investment portfolio, these investors will consider the risk profile of the company it is interested in. By taking on a certain level of risk, shareholders expect to be commensurately compensated. Shareholders of companies with relatively higher debt levels in their capital structure and therefore higher financial risk, require a relatively higher return on their investment in order to compensate for such additional risk taken. Shareholders expect return in the form of dividend pay-outs, and capital growth in the share price. A positive correlation is therefore expected between the debt levels of a company and the total return to their shareholders, i.e. the sum of the dividend pay-outs and the capital growth in the share price, also referred to as total shareholder return (TSR). The focus of this study is on the platinum industry in South Africa, as this industry is vital to the South African economy in terms of job creation and earner of foreign exchange as South Africa dominates the world production of platinum. The purpose of this study is to investigate whether there is a correlation between the debt levels and the total shareholder return (TSR) of platinum companies listed on the JSE Ltd. Quantitative research techniques were used to address the research problem, making use of secondary data and rank correlation-based research. Firstly, the debt-to-equity ratio for each company was calculated based on book values. Secondly, the TSR of each company was calculated considering the dividends received and capital growth in share price. The correlation between the TSR and the debt-to-equity ratio was determined using Spearman’s rank correlation coefficient. The results were inconclusive, i.e. no, negative and positive relationships where the relationship is for the first 12 years not significant and for the last two years significant. Therefore the final conclusion is that this study is inconclusive to support or to reject the conceptual scope of the study in that risk is concomitant to return, i.e. returns compensate for risks, therefore higher debt levels require higher total shareholder returns (and vice versa). This study contributes to the literature on capital structure decisions from a South African platinum company perspective. The core audience will be the management of South African platinum companies considering changes in their capital structure as well as investors considering investing into a listed platinum company. / MCom (Management Accountancy), North-West University, Potchefstroom Campus, 2015

Instantaneous rate models, although theoretically satisfying, are less so in practice. Instantaneous rates are not observable and calibra- tion to market data is complicated. Hence, the need for a market model where one models LIBOR rates seems imperative. In this modeling process, we aim at regaining the Black-76 formula[7] for pricing caps and °oors since these are the ones used in the market. To regain the Black-76 formula we have to model the LIBOR rates as log-normal processes. The whole construction method means calibration by using market data for caps, °oors and swaptions is straightforward. Brace, Gatarek and Musiela[8] and, Miltersen, Sandmann and Sondermann[25] showed that it is possible to con- struct an arbitrage-free interest rate model in which the LIBOR rates follow a log-normal process leading to Black-type pricing for- mulae for caps and °oors. The key to their approach is to start directly with modeling observed market rates, LIBOR rates in this case, instead of instantaneous spot rates or forward rates. There- after, the market models, which are consistent and arbitrage-free[6], [22], [8], can be used to price more exotic instruments. This model is known as the LIBOR Market Model. In a similar fashion, Jamshidian[22] (1998) showed how to con- struct an arbitrage-free interest rate model that yields Black-type pricing formulae for a certain set of swaptions. In this particular case, one starts with modeling forward swap rates as log-normal processes. This model is known as the Swap Market Model. Some of the advantages of market models as compared to other traditional models are that market models imply pricing formulae for caplets, °oorlets or swaptions that correspond to market practice. Consequently, calibration of such models is relatively simple[8]. The plan of this work is as follows. Firstly, we present an em- pirical analysis of the standard risk-neutral valuation approach, the forward risk-adjusted valuation approach, and elaborate the pro- cess of computing the forward risk-adjusted measure. Secondly, we present the formulation of the LIBOR and Swap market models based on a ¯nite number of bond prices[6], [8]. The technique used will enable us to formulate and name a new model for the South African market, the SAFEX-JIBAR model. In [5], a new approach for the estimation of the volatility of the instantaneous short interest rate was proposed. A relationship between observed LIBOR rates and certain unobserved instantaneous forward rates was established. Since data are observed discretely in time, the stochastic dynamics for these rates were determined un- der the corresponding risk-neutral measure and a ¯ltering estimation algorithm for the time-discretised interest rate dynamics was pro- posed. Thirdly, the SAFEX-JIBAR market model is formulated based on the assumption that the forward JIBAR rates follow a log-normal process. Formulae of the Black-type are deduced and applied to the pricing of a Rand Merchant Bank cap/°oor. In addition, the corre- sponding formulae for the Greeks are deduced. The JIBAR is then compared to other well known models by numerical results. Lastly, we perform some computational analysis in the following manner. We generate bond and caplet prices using Hull's [19] stan- dard market model and calibrate the LIBOR model to the cap curve, i.e determine the implied volatilities ¾i's which can then be used to assess the volatility most appropriate for pricing the instrument under consideration. Having done that, we calibrate the Ho-Lee model to the bond curve obtained by our standard market model. We numerically compute caplet prices using the Black-76 formula for caplets and compare these prices to the ones obtained using the standard market model. Finally we compute and compare swaption prices obtained by our standard market model and by the LIBOR model. / Economics / D.Phil. (Operations Research)

Thesis(MSc)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: The pricing of plain vanilla options, including early exercise options, such as Bermudan and American options, forms the basis for the calibration of financial models. As such, it is important to be able to price these options quickly and accurately. Empirical studies suggest that asset dynamics have jump components which can be modelled by exponential Lévy processes. As such models often have characteristic functions available in closed form, it is possible to use Fourier transform methods, and particularly, the Fast Fourier Transform, to price such options efficiently. In this dissertation we investigate and implement four such methods, dubbed the Carr- Madan method, the convolution method, the COS method and the Fourier spacetime stepping method. We begin by pricing European options using these Fourier methods in the Black-Scholes, Variance Gamma and Normal Inverse Gaussian models. Thereafter, we investigate the pricing of Bermudan and American options in the Black-Scholes and Variance Gamma models. Throughout, we compare the four Fourier pricing methods for accuracy and computational efficiency. / AFRIKAANSE OPSOMMING: Die prysbepaling van gewone vanilla opsies, insluitende opsies wat vroeg uitgeoefen kan word, soos Bermuda-en Amerikaanse opsies, is grondliggend vir die kalibrering van finansiële modelle. Dit is daarom belangrik dat die pryse van sulke opsies vinnig en akkuraat bepaal kan word. Empiriese studies toon aan dat batebewegings sprongkomponente besit, wat gemodelleer kan word met behulp van exponensiëele Lévyprosesse. Aangesien hierdie modelle dikwels karakteristieke funksies het wat beskikbaar is in geslote vorm, is dit moontlik om Fourier-transform metodes, en in besonders die vinnige Fourier-transform, te gebruik om opsiepryse doeltreffend te bepaal. In hierdie proefskrif ondersoek en implementeer ons vier sulke metodes, genaamd die Carr-Madan metode, die konvolusiemetode, die COS-metode en die Fourier ruimte-tydstap metode. Ons begin deur die pryse van Europese opsies in die Black-Scholes, Gammavariansie (Engels: Variance gamma) en Normaal Invers Gauss (Engels: Normal Inverse Gaussian)-modelle te bepaal met behulp van die vier Fourier-metodes. Daarna ondersoek ons die prysbepaling van Bermuda-en Amerikaanse opsies in die Black-Scholes en Gammavariansiemodelle. Deurlopend vergelyk ons die vier Fourier-metodes vir akkuraatheid en berekeningsdoeltreffendheid.