Thesis (MComm)--Stellenbosch University, 2013. / ENGLISH ABSTRACT: This study sets out to evaluate the possible influence of increasing and declining markets on the returns of dividend-investing strategies. This study’s objective, therefore, was to evaluate the possible influence dividend pay-out policy has on share return. Secondary objectives serve to investigate how the size of cash dividend payments, measured in dividend yield (DY), influence share value, especially during bull and bear markets respectively. In order to address the stated objectives of this study and prevent possible survivorship bias, the sample included listed and delisted shares for the period 1995 to 2010. Initially, all firms that were listed on the Johannesburg Stock Exchange (JSE) during the period under review were considered, both that were listed at the end as well as firms that delisted. However, due to the nature of the financial structures of firms in the financial and basic industries, the study did not include their data. The final sample consisted of 291 firms, providing 22 927 monthly observations. Dividend-investing strategies were constructed using non-dividendpaying (Portfolio one) and dividend-paying firms (Portfolio two). Portfolio one and two were then further deconstructed into four groups based on monthly DY rankings. Portfolio one was represented by Group 1, whilst Portfolio two was grouped into the lowest, medium, and highest DYs and classified as Group 2 to Group 4 accordingly. The results obtained from statistical analyses performed in this study indicate that the level of DY appears to influence returns positively. Furthermore, after investigating the results obtained during opposing market scenarios, some important findings resulted. During bear markets no significant difference in abnormal risk-adjusted returns was observed for the portfolios and four groups, however, in bull markets the return for Portfolio two, specifically Group 4, was more than double the result for the non-dividend payers. This study, therefore proposes that firms should have a DY in the range of the highest market DY average for bull markets specifically. From the perspective of the potential investors, the study suggests that dividend-investing could allow for the generation of positive risk-adjusted returns during bull markets. / AFRIKAANSE OPSOMMING: Hierdie studie evalueer die moontlike invloed van stygende en dalende markte aangaande opbrengs op dividend-investerings strategie . Die studie se primêre doelwit is om die invloed van dividend uitbetalings op aandeel opbrengste te bestudeer. Sekondêre doelwitte ondersoek hoe die grootte van ‘n kontant dividend, soos gemeet in dividend opbrengs, die aandeel-waarde beïnvloed, spesifiek tydens bul en beer markte. Om oorlewingsydigheid te voorkom, sluit die steekproef genoteerde sowel as gedenoteerde firmas in vir ‘n tydperk van 1995 tot 2010. Aanvanklik was alle sektore van die Johannesburg Aandele-beurs (JSE) ondersoek, maar weens die komplekse kapitaal struktuur van finansi le en die basiese nywerheid sektore was hul aandeel inligiting uitgesluit. Die finale steekproef het ‘n totaal van 291 firmas ingesluit en 22 927 maandelike waarnemings verskaf. Dividend-investerings strategie was saamgestel deur nie-dividend-betalende firmas (Portefeulje een) teenoor dividendbetalende firmas (Portefeulje twee) te vergelyk. Die twee portefeuljes was ook verder onderdeel in vier groepe volgens maandelikse dividend opbrengstes. Portefeulje een was verteenwoordig deur Groep 1, terwyl Portfeulje twee opgedeel was volgends laag, medium, en hoë dividend opbrengstes en geklasifiseer as Groep 2 tot 4 onderskeidelik. Die resultate van die statististiese ontleding van hierdie studie dui moontlik daarop dat die vlak van dividend opbrengs aandeel waarde positief beïnvloed. Nadat die spesifieke bul en beer markte ontleed is, was belangrike resultate waargeneem. Tydens beer markte was daar geen beduidende verskil tussen die risiko-aangepaste opbrengstes van die twee portefeuljes en vier groepe nie, maar tydens bul markte het die opbrengstes van Portefeulje twee, spesifiek Groep 4, meer as dubbel dié van die nie-dividend betalers getoon. Die studie stel dus voor dat ‘n firma tydens bul markte moet poog om ‘n dividend opbrengs te handhaaf wat die hoogste gemiddeld van die mark verteenwoordig. Vanuit die belegger se oogpunt, stel die studie voor dat dividend investering stategie moontlik gebruik kan word om positiewe risikoaangepaste opbrengstes te genereer, veral tydens bul markte.

Thesis (MBA)--Stellenbosch University, 2002. / Some digitised pages may appear illegible due to the condition of the original hard copy / ENGLISH ABSTRACT: With the trends of business moving away from large, corporate companies to small, flexible and innovative alternatives, the need to value new companies are becoming important. A new company generally does not have substantial historical data available and it is therefore difficult to determine potential revenue streams and hence accurate valuations. The focus of this study is to find an appropriate method to attempt the valuation of a new company and this is explained by means of a case study. Three basic approaches exist to value companies. The Discounted Cash Flow (DCF) method analyses risk and return to estimate a discount rate and presents the value of the company as a Net Present Value (NPV). Relative Valuation methods compare the fundamentals of a company to that of other companies. Contingent Claim Valuation methods base the value of a company on the fact that decisions may be deferred into the future until more information is evident. The basis of this valuation technique is that of Option Pricing Theory in which the Black-Scholes technique and binomial models are used .: This method is normally used on assets that have optionlike features e.g. equity in a company, natural resource rights, product patents or any decision that may be deferred into the future. Decisions (options) deferred may be identified as growth-, staged-, flexibility-, exit-, learning- and expanding options. This is also known as the Real Option Pricing Theory. According to this model the investment proposal may be mapped as a series of call options (Luehrman, 1998a). The amount of money expended in the project corresponds to the option's exercise price (X), the present value of the asset built or acquired corresponds to the stock price (S), the length of time the company can defer the investment decision corresponds to the option's time to expiration (t) and the uncertainty about the future value of the project's cashflow corresponds to the standard deviation of return on the stock (c). Seven steps are used to obtain the value of the call option and the value is reflected by two option-value metries namely the value-to-cost (NPVq) and cumulative volatility (cr--Jt).The two metries are plotteá on a graph (defined as Options Space) in order to visualize and interpret the results. Mushroom Biomedical Systems developed three highly novel and patented products. The company was valued using the conventional OeF method and valued as a staged investment using the Real Option Pricing Theory according to Luehrman's model (1998a). The values of two products are similar using the OeF and Real Options methods. Most of the investment capital was required during the first phases of these products resulting in the investment of the second phases not holding high risks or value. The value of the third product is significantly higher using the Real Options method compared to the OeF. This is ascribed to the forced delay of phase one. The value of this future decision is worth more than the current decision due to expected new information that might arise. By "creating an option" value is added by forcing management to actively make two decisions about the continuation of the project at a future date. Applying Real Option Pricing Theory suggests inherent value in uncertainty when there is freedom to choose different courses of action in the face of different market conditions. With the OeF analysis the impact of risk is seen as depressing the value of the investment. By contrast, real options show that risk can be influenced through managerial flexibility, which becomes a central instrument to create value. / AFRIKAANSE OPSOMMING: Die beweging van die besigheidswêreld vanaf groot korporatiewe maatskappye na kleiner, buigsame en innoverende alternatiewe het 'n behoefte geskep om die waarde van sulke nuwe maatskappye te kan bepaal. 'n Nuwe maatskappy het tipies nie historiese data beskikbaar nie wat die vooruitskatting van potensiële inkomste strome en dus akkurate waardasies moeilik maak. Die fokus van hierdie studie is die bepaling van 'n toepaslike metode om die waarde van 'n nuwe maatskappy te bepaal en dit word deur middel van 'n gevalle studie verduidelik. Drie basiese metodes bestaan om maatskappye te waardeer. Die Verdiskonteerde Kontantvloei Stroom (VKS) metode gebruik risiko en opbrengs om 'n verdiskonteringskoers te bepaal en reflekteer die waarde van die maatskappy as die Netto Teenswoordige Waarde (NTW). Relatiewe Waardasie metodes vergelyk die fundamentele eienskappe van 'n maatskappy met die van ander maatskappye. Die Gebeurlikheids Waardasie metode koppel waarde aan die feit dat besluite uitgestel kan word totdat meer informasie beskikbaar is. Die basis van hierdie tegniek is Opsie Teorie waarin die Black-Scholes tegniek en binomiaal model gebruik word. Hierdie metode word gewoonlik gebruik waar bates "opsie-tipe" eienskappe besit soos aandeelhouding in 'n maatskappy, natuurlike mynregte; produk patente of enige besluit wat uitgestel kan word na 'n datum in die toekoms. Besluite (opsies) wat uitgestel word kan geïdentifiseer word as groei-, stap-vir-stap-, buigbaarheids-, uittree-, lerings- en uitbreidingsopsies. Hierdie metode staan ook bekend as die Ware Opsie Prysings Teorie. Volgens hierdie metode kan 'n beleggingsgeleentheid voorgestel word as 'n reeks koopopsies (Luehrman, 1998a). Die totale uitgawe word voorgestel deur die uitoefeningsprys (X), die teenswoordige waarde van die bate word voorgestel deur die aandeel waarde (S), die tydperk wat die besluit uitgestel kan word, word voorgestel deur die opsie vervaltyd (t), en die onsekerheid van die bate se kontantvloeistroom word voorgestel deur die standaardafwyking van die opbrengs van die bate (c). Sewe stappe word geneem om die waarde van die koopopsie te bepaal wat uitgedruk word deur twee opsiewaarde komponente naamlik waarde-tot-koste (NPVq) en kummulatiewe volatiliteit ((1'Jt). Die twee komponente word grafies voorgestel (genoem Opsie Spasie) om resultate te visualiseer en te interpreteer. Mushroom Biomedical Systems het drie unieke en gepatenteerde produkte ontwikkel. Die maatskappy is met die konvensionele VKS metode gewaardeer en volgens Luehrman (1998a) se Ware Opsie Prysings model as 'n stap-vir-stap opsie gewaardeer. Die waardes van twee van die produkte is dieselfde met die VKS metode en die Opsie Teorie metode. Die meeste van die kapitaal is tydens die eerste fases van die twee produkte benodig met die gevolg dat die tweede fases nie veel risiko of waarde inhou nie. Die waarde van die derde produk is aansienlik meer met die Opsie Teorie metode in vergelyking met die VKS metode. Dit word toegeskryf aan die gedwonge vertraging van fase een. Die waarde gekoppel daaraan om die besluit in die toekoms te neem is meer werd as om die besluit nou te neem a.g.v. verwagte nuwe informasie. Deur hierdie opsie "te skep" word waarde toegevoeg omdat bestuur gedwing word om aktief twee besluite in die toekoms te neem rakende die voortsetting van die projek. Die gebruik van Ware Opsie Prysings Teorie skep 'n inherente waarde wanneer daar verskillende besluite geneem kan word soos mark kondisies verander. Met die VKS metode word risiko gesien as 'n faktor wat waarde laat afneem. In teenstelling hiermee dui die Ware Opsie Teorie dat risiko beïnvloed kan word deur bestuur se vermoëns, wat 'n belangrike instrument is vir waardeskepping.

Thesis (MBA)-- Stellenbosch University, 1995. / ENGLISH ABSTRACT: The price of shares is determined primarily by investors' current expectations about the future values of variables that measure the relevant aspects of a company's performance and profitability, particularly the anticipated growth rate of earnings per share. Empirically, no model estimated with only historical senes data has been found to have greater forecast accuracy than the random walk model in estimating earnings one period ahead. This has led to the conclusion that past and future earnings growth is uncorrelated and that only year t-l earnings are useful in forecasting year t earnings. Research by Mozes in the USA has found the opposite and his model is applied to the South African situation. The aim is to determine whether the Mozes model has greater forecasting accuracy in the prediction of earnings per share than the random walk model. The present study shows that the Mozes model has greater forecast accuracy in the prediction of earnings per share than the random walk model if the following criteria are met: the company must be classified as a large company in terms of market capitalisation; or the percentage increase in earnings per share must be large; and the earnings per share must be classified in the growth mode. It is demonstrated that if these criteria are met, the historical growth in earnings and the future growth in earnings are positively correlated and not distributed at random. If earnings per share is classified in the non~growth mode, the random walk model is more accurate in the prediction of earnings per share than the Mozes model and as such, only the earnings per share of year t-l is important in forecasting year t's earnings per share. The most important conclusion from the study is that earnings per share in the South African market is not always randomly distributed. / AFRIKAANSE OPSOMMING: Die prys van aandele word primer bepaal deur beleggers se huidige verwagtinge rakende die toekomstige waarde van veranderlikes wat relevante aspekte van die maatskappy se prestasie en winsgewendheid beinvloed, meer spesifiek die geantisipeerde groei in verdienste per aandeel. Empiriese studies het bevind dat die toevalslopie-model die grootste akkuraatheid in die vooruitskatting van verdienste vir een periode in die toekoms lewer indien van historiese tydreeksdata gebruik gemaak word. Die gevolgtrekking word dus gemaak dat groei in verdienste van die verlede en die toekoms nie gekorreleerd is nie en dat slegs jaar t-1 se verdienste belangrik is in die vooruitskatting van jaar t se verdienste. Navorsing deur Mozes in die VSA het die teendeel getoon en die model is in die ondersoek toegepas op Suid-Afrikaanse data om te bepaal of dieselfde bevindinge geld. Resultate van hierdie studie toon dat daar aan die volgende kriteria voldoen moet word alvorens die Mozes-model meer akkurate vooruitskattings van verdienste per aandeel lewer as die toevals-Iopiemodel : -die maatskappy behoort as 'n groot maatskappy geklassifiseer te wees volgens markkapitalisasie; of -die persentasieverandering in verdienste per aandeel behoort groot te wees; en -indien verdienste per aandeel as synde in die groeifase geklassifiseer is. Indien aan die kriteria voldoen word, is aangetoon dat historiese groei in verdienste en toekomstige groei in verdienste gekorreleerd is en nie ewekansig versprei is nie. In die gevalle waar verdienste per aandeel as synde in die nie-groeifase geklassifiseer is, lewer die toevalslopie-model oorheersend meer akkurate vooruitskattings van verdienste per aandeel as die Mozes-model en gevolglik is daar bevind dat slegs jaar t ~ 1 se verdienste per aandeel belangrik is vir die vooruitskatting van jaar t se verdienste per aandeel. Die belangrikste afleiding vanuit die studie is gevolglik dat verdienste per aandeel in die SuidAfrikaanse mark nie in aile gevalle sonder meer ewekansig versprei is nie.

Thesis (MBA)--Stellenbosch University, 1995. / ENGLISH ABSTRACT: In spite of the significant role of price-earnings ratios on the Johannesburg Stock Exchange. relatively little is known of the behaviour of these ratios over time. The price-earnings ratio is the price of the company's share. divided by the company's earnings per share. In a theoretically stable environment the interpretation of the price-earnings ratio is less problematic than in an everyday unstable. non-perfect market. The problem with a non-perfect market, is that the expectations and assumptions of investors start to play a role. This is difficult to quantify. To analyse price·earnings ratios now become problematic . Based on the formula for price-earnings ratio, one can say that it represents that which the investor is willing to pay, for one rand of the earnings of the company. A high price-earnings ratio is a function of either a big expected growth in earnings for the company, or a very small earnings for the company in that financial year. The purpose of this study is: 1) The accomplishment of a databank which reflects the relative rank of the different companies. 2) To establish the relationship of the rank of a given year with future ranks. The study was conducted on all industrial companies on the Johannesburg Stock Exchange. Price·earnings ratios calculated with share prices at financial year-end, as well as price-earnings ratios calculated with share prices three months after the financial year·end, were used in the study. Companies included in the study were divided into groups which have been listed for 20. 15, 10 and 5 years respectively. Descriptive statistical methods were used to find out more about the data. To establish the extent of the relationships between the different ranks, Spearman's rankorder coefficient was used. Finally a databank was established to show the different relative ranks of the different groups. Descriptive statistics indicated that price-earnings ratios are not disrtibuted normally. The median was therefore used in all the groups as representative of the data. The median showed a definite upward trend over time. The medians of the price-earnings ratios calculated on the share prices three months after financial year-end, closely follow the medians of the price-earning ratios calculated on share prices at financial year-end. This indicates that either investors do not take the earnings of the companies into account, or that investors' expectations of earnings are correct. It is, however, doubtful whether investors have sufficient information at financial year-end. Spearman's rankorder coefficient showed a definite positive and significant trend. especially if the time-span of the tests are taken into account. Companies which were therefore ranked high, wilt most probably be high again the following year, if the time-span does not exceed five years. The databank which was established to show the relative ranks of the different companies, showed that the so-called top companies do not necessarily fall into the top positions. / AFRIKAANSE OPSOMMING: Alhoewel prys-verdienste-verhoudings 'n belangrike rol op die Johannesburgse Effektebeurs speel, is relatief min inligting beskikbaar oor die werking daarvan oor die lang termyn. Die prys-verdienste-verhouding is die prys van die maatskappy se aandeel, gedeel deur die verdienste per aandeel. Die interpretasie van prys-verdienste-verhoudings is minder problematies in 'n teoreties stabiele omgewing as in 'n oorwegend onseker, nie-perfekte marksituasie. Die probleem in laasgenoemde tipe mark is dat beleggersverwagtings en -aannames toenemend 'n rol begin speel. Aangesien verwagtings en aannames moeilik is om te kwantifiseer, bemoeilik dit ook die interpretasie van prys-verdienste-verhoudings. Volgens die formule verteenwoordig prys-verdienste-verhoudings dit wat beleggers bereid is om te betaal, vir een rand verdienste van die maatskappy. 'n Groot prys-verdienste-verhouding is 'n funksie van groot verwagte verdienstegroei van die maatskappy, of 'n baie klein verdienste per aandeel vir die maatskappy in daardie betrokke finansiele jaar. Die doel van die studie is: 1) Die daarstelling van 'n databank van prys-verdienste-verhoudings wat die relatiewe rangorde van die verskillende maatskappye reflekteer. 2) Vasstelling van die verband tussen rangordes van 'n bepaalde jaar en toekomstige rangordes . Die studie is gedoen op alle industriële maatskappye op die Johannesburgse Effektebeurs. Prys-verdienste-verhoudings bereken volgens aandeelpryse op finansiële jaareinde, asook die bereken op aandeelpryse drie maande na afloop van die finansiële jaareinde van die betrokke maatskappy , is by hierdie studie ingesluit. Maatskappye is in vier groepe verdeel naamlik maatskappye wat onderskeidelik al 20, 15, 10 en 5 jaar genoteer is. Ter toeligting van hierdie data in die verskillende groepe, is beskrywende statistiese metodes gebruik en geinterpreteer. Spearman se rangorde korrelasiekoëffisient is gebruik om die omvang van die verband tussen rangordes vas te stel. 'n Databank is laastens opgestel vir die verskillende groepe wat relatiewe rangorde aantoon. Volgens die beskrywende statistiese metodes is die prys-verdienste-verhoudings nie normaal verdeel nie. Die mediaan is dus in alle groepe as verteenwoordigend van die data gebruik, in plaas van die gemiddelde. Die mediaan het in alle groepe 'n skerp stygende tendens oor tyd getoon. Mediane van prys-verdienste-verhoudings bereken op aandeelpryse drie maande na die finansiële jaareinde, het 'n sterk ooreenkoms getoon met mediane van prys-verdienste-verhoudings bereken op finansiële jaareind aandeelpryse. Dit kan 'n gevolg wees van of die feit dat beleggers hulle nie veel steur aan die verdienstes van maatskappye nie, of dat beleggers se verwagtings van die maatskappye se verdienstes korrek was. Dit is egter te betwyfel of beleggers op finansiële jaareinde oor genoegsame intigting beskik. Spearman se rangorde korrelasiekoëffisient toon 'n definitiewe positiewe en beduidende tendens, veral as die tydsduur van die toetse wat gedoen is in ag geneem word. Maatskappye met 'n hoë rangorde sal daarom waarskynlik ook die daaropvolgende jare 'n hoë rangorde hê, veral as die tydperk nie langer as vyf jaar is nie. Volgens die databank wat saamgestel is om die relatiewe rangordes van die verskillende maatskappye se prys-verdienste-verhoudings aan te toon. hey, sogenaamde top maatskappye nie hoog in die hiërargie van top maatskappye gefigureer nie.

Thesis (MBA)--Stellenbosch University, 2012. / This research report examines the dispersal of information into the share market. According to the efficient market hypothesis, the share price always reflects all available information on a company. This information is incorporated into the share price via heterogeneous trader interaction: a transaction between a willing buyer and a willing seller sets the latest share price. Therefore, the dispersal of information is a dynamic process. This process has been modelled with a newly developed micro-economic, stochastic, dynamic model for share price based on trader interaction. The model has been implemented as a Monte Carlo simulation with several supporting metrics to assess simulation results. Extensive Monte Carlo simulations have been performed to validate the model and to examine the dispersal and value of information. Key findings are that trader interaction is a dominant effect in both the dispersal of information and portfolio performance; technical trading, i.e. trading on only past share price information, can be beneficial under certain conditions; technical trading causes the share price to increase significantly compared to rational trading; information is more valuable for fast changing markets and small companies. The findings from Monte Carlo simulation have been compared with sectors of the Johannesburg Stock Exchange and advice is provided with regards to the value of information per sector.

Thesis (MBA)--Stellenbosch University, 2012. / The success of momentum investing has puzzled the investment society for quite some time. Numerous academics have released studies that proved the success of different momentum investing strategies, even after compensating for trading costs. According to the efficient market hypothesis investors can only realise additional returns by taking additional risks. But no real risk factors can be ascribed to momentum investing. This study investigated the success of momentum investing strategies on the Johannesburg Stock Exchange (JSE) during the period January 1997 to March 2012. Three strategies were tested, namely: return momentum, price relative to high price and the crossover ratio. These strategies were tested using different combinations of testing and holding periods and only the more liquid stocks trading on the JSE were used in the study. The study showed that the momentum investing strategies generated statically significant outperformance over the period. The momentum investing strategies were then dissected according to the three risk factors identified by the Fama and French (1992) three-factor model. None of the risk factors were able to explain the outperformance of the momentum strategies. The outperformance of the momentum strategies also showed remarkable resilience after being subjected to trading costs. The success of the three momentum investing strategies is in clear contravention of the efficient market hypothesis and adds to the growing body of evidence against the hypothesis.

Thesis (MDF)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: “Inflation is as violent as a mugger, as frightening as an armed robber and as deadly as a hit man.” – Ronald Reagan It is widely publicised that inflation-linked instruments provide a hedge against rising inflation. This has led investors to assume that high inflation creates an opportunity to beat the market when investing in this asset class. This assumption is based on the belief that higher inflation creates higher returns. It is due to this belief that a research question was formulated to determine if inflation is in fact a determinant of inflation-linked bond returns. This research study investigated, as a first objective, the relationship between the South African prime lending interest rate and the South African consumer price index inflation between 2000 and 2013. The Augmented Dickey-Fuller test was applied to test for unit roots between interest and inflation. This test was extended to six other emerging countries that, together with South Africa, are issuers of government inflation-linked bonds. The researcher’s intention was to compare the relationship between interest rates and inflation in South Africa with that of the six other countries. Surprisingly, the results indicated that South African inflation and interest are non-stationary. After testing for cointegration, it was concluded that there is no relationship between the prime lending interest rate and inflation in the data set and most of the variation can be explained by means of the autocorrelation of residuals in previous periods more than the prime lending rate. As a second objective, the same methodology was applied to determine whether there is any relationship between the South African consumer price index inflation and the South African government inflation-linked bond returns. The results indicated that the series is not cointegrated which means that no relationship exists between inflation and inflation-linked bond returns. The third objective looked at alternative factors that could explain what the real determinants of inflation-linked bond returns are. It was concluded that the trend in inflation is really the source of inflation-linked bond performance, with the effects of the lead and lag periods causing capital losses and profits.

The existing theoretical and empirical literature to investigate the existence of local market power is typically based on spatial competition models in the tradition of Hotelling's (1929) linear city and Salop's (1979) circular city. In models of this kind, strong assumptions are made that lead to a spatial homogeneity (symmetry) of firms in a highly stylized one-dimensional market space. However, some of these assumptions are hardly satisfied in many (retail) markets. The present thesis builds on a recent model by Chen and Riordan (2007), in which the market is characterized by a star-shaped graph with a central intersection. In an extension of Chen and Riordan, I distinguish between firms close to the center and firms in the periphery of a spatial market. This spatial heterogeneity leads to an asymmetric competition between firms. A central firm directly competes with a larger number of firms than remote firms do. The implications of the theoretical model are tested in two empirical applications to the retail gasoline market of Vienna and Austria. Using station level data on diesel prices, I estimate price reaction functions for gasoline stations in two different approaches. In the first approach the Austrian retail gasoline market is divided into numerous highly localized and delimited markets. The second approach analyzes the metropolitan area of Vienna and treats the whole market as one big network of gasoline stations, which are connected through the road network. In both approaches I apply econometric spatial autoregressive (SAR) models. The estimated parameters of the slopes of the reaction functions are used to evaluate the impact of individual gasoline stations on equilibrium market prices depending on their location within the market (network). All results obtained provide evidence for (more) central suppliers serving as a stronger reference in pricing than (rather) remote suppliers. Thus, the assumption of a symmetry in spatial competition which is usually implied by spatial competition models in theoretical and applied research, is rejected. (author's abstract)

We empirically investigate the importance of centrality (holding a central position in a spatial network) for strategic interaction in pricing for the Austrian retail gasoline market. Results from spatial autoregressive models suggest that the gasoline station located most closely to the market center - defined as the 1-median location - exerts the strongest effect on pricing decisions of other stations. We conclude that centrality influences firms' pricing behavior and further find that the importance of centrality increases with market size. (authors' abstract) / Series: Department of Economics Working Paper Series

In this study, we examine the dynamic link between returns and volatility of commodities and currency markets. Based on weekly data over the period from January 6, 1987 to July 22, 2014, we find the following empirical regularities. First, our results suggest that the information contents of gold, silver, platinum, and the CHF/USD and GBP/USD exchange rates can help improve forecast accuracy of returns and volatilities of palladium, crude oil and the EUR/CHF and GBP/USD exchange rates. Second, gold (CHF/USD) is the dominant commodity (currency) transmitter of return and volatility spillovers to the remaining assets in our model. Third, the analysis of dynamic spillovers shows time{ and event{specific patterns. For instance, the dynamic spillover effects originating in gold and silver (platinum) returns and volatility intensified (degraded) in the period marked by the global financial crisis. After the global financial crisis, the net transmitting role of gold and silver (platinum) returns shocks weakened (strengthened), while the net transmitting role of gold, silver and platinum volatility shocks remained relatively high. Overall, our findings reveal that, while the static analysis clearly classifies the aforementioned variables into net transmitters and net receivers, the dynamic analysis denotes episodes wherein the role of transmitters and receivers of return (volatility) spillovers can be interrupted or even reversed. Hence, even if certain commonalities prevail in each identified category of commodities, such commonalities are time - and event - dependent. (authors' abstract)