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Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade e Gestão de Políticas Públicas, Programa de Pós-Graduação em Ciências Contábeis, 2017. / Submitted by Raquel Almeida (raquel.df13@gmail.com) on 2018-03-15T20:13:01Z No. of bitstreams: 1 2017_VanessaRodriguesdosSantosCardoso.pdf: 1204775 bytes, checksum: b3244b57ef40e149d2c2d5bba50d6d27 (MD5) / Approved for entry into archive by Raquel Viana (raquelviana@bce.unb.br) on 2018-04-24T20:13:04Z (GMT) No. of bitstreams: 1 2017_VanessaRodriguesdosSantosCardoso.pdf: 1204775 bytes, checksum: b3244b57ef40e149d2c2d5bba50d6d27 (MD5) / Made available in DSpace on 2018-04-24T20:13:04Z (GMT). No. of bitstreams: 1 2017_VanessaRodriguesdosSantosCardoso.pdf: 1204775 bytes, checksum: b3244b57ef40e149d2c2d5bba50d6d27 (MD5) Previous issue date: 2018-04-24 / Os modelos de precificação de ativos são utilizados por investidores como base para a tomada de decisões, pois estimam qual seria o seu retorno em função do risco que estão dispostos a tomar. Embora o CAPM seja o modelo mais utilizado, diversos autores defendem que o seu único fator de risco não captura anomalias existentes na precificação de ativos. Nos últimos anos tem sido crescente o interesse da academia por anomalias, de forma que em 2012 já existiam 313 delas na literatura. Este estudo objetivou investigar se os recentes modelos que consideram anomalias na precificação de ativos ajustam-se satisfatoriamente ao mercado acionário brasileiro. Como objetivo secundário, o estudo também verificou se modelos com anomalias eram superiores ao CAPM quando aplicado ao setor elétrico, pois o modelo é utilizado pela Agência Reguladora para estimar o retorno sobre o capital a ser pago aos investidores pelos consumidores de energia. Para tanto, os modelos de cinco fatores de Fama e French (2015), o de quatro fatores de Hou, Xue e Zhang (2014a) e outro alternativo com seis anomalias foram testados e comparados com o CAPM, por meio de regressões de séries temporais estimadas com dados contábeis e do mercado de ações no período de junho de 2010 a dezembro de 2016. Os resultados demostram que os três modelos com anomalias testados se ajustam satisfatoriamente à variação nos preços dos ativos no Brasil e no setor elétrico. Dentre eles, o de cinco fatores de Fama e French (2015) é superior em termos de poder explicativo no mercado acionário, enquanto o modelo alternativo se mostrou superior ao CAPM no setor elétrico. Especificamente quanto às anomalias, verifica-se que tamanho, valor, investimento, rentabilidade, momento, alavancagem operacional e fricções de mercado possuem relação estatisticamente significante com o retorno dos ativos no mercado brasileiro. Entretanto, os prêmios de risco dessas anomalias foram negativos e/ou estatisticamente não diferentes de zero, indicando que estratégias de investimentos baseadas nesse tipo de risco não foram recompensadas no Brasil no período analisado. / Asset pricing models are used by investors as a basis for decision-making because they estimate how much they would return based on the risk they are willing to take. Although CAPM is the most widely used model, several authors argue that its single risk factor does not capture existing anomalies in asset pricing. In recent years the interest of the academy on anomalies has increased, so that in 2012 313 of them have been already reported in the literature. This study aimed to investigate whether recent models that consider anomalies in asset pricing fits satisfactorily to the Brazilian stock market. As a secondary objective, the study also verified whether models with anomalies were superior to CAPM when applied to the electric sector, since the model is used by the Regulatory Agency to estimate the return on capital to be paid to investors by energy consumers. To do so, the Fama and French (2015) five-factor model, the Hou, Xue and Zhang (2014a) four-factor model and an six-factor alternative model were tested and compared with CAPM, using time series regressions estimated with accounting and stock market data from June 2010 to December 2016. The results showed that the three models with anomalies tested fit satisfactorily in explaining asset price movements in Brazil and its electric industry. Among them, the Fama and French (2015) five-factor is superior in terms of explanatory power in the stock market, while the alternative model proved to be superior to CAPM in the domestic electric industry. Specifically, regarding the anomalies, we find that size, value, investment, profitability, moment, operating leverage and market frictions have a statistically significant relation with asset returns in the Brazilian market. However, the risk premiums for these anomalies are negative and / or statistically nonzero, indicating that investment strategies based on this type of risk are not rewarded in the Brazilian market in the analyzed period.

FundaÃÃo Cearense de Apoio ao Desenvolvimento Cientifico e TecnolÃgico / A gestÃo dos recursos hÃdricos constitui-se em questÃo cada vez mais presente e imperativa na pauta de discussÃes dos governos e da sociedade em geral, tendo a cobranÃa pelo uso da Ãgua bruta como um de seus instrumentos mais importantes, em especial pelo atual estÃgio de configuraÃÃo dos entes sociais. No Nordeste brasileiro, assim como em todo o paÃs, esse instrumento de gestÃo ainda à pouco implementado aos usuÃrios. Uma das dificuldades na aplicaÃÃo de tal instrumento incide no tipo de formulaÃÃo de modelo tarifÃrio, o qual deve ser capaz de aferir tarifas que sejam aplicÃveis aos diversos usuÃrios â inter e intrassetorial. Nesse sentido, o presente trabalho tem como objetivo maior, a proposiÃÃo e discussÃo de modelo tarifÃrio da Ãgua bruta a diversos setores usuÃrios â indÃstria, Ãgua envasada, saneamento bÃsico, aquicultura e agricultura irrigada â em estados da regiÃo Nordeste do Brasil â CearÃ, Rio Grande do Norte e ParaÃba. Para o desenvolvimento do modelo proposto (CPS-2), procede-se em reformulaÃÃo de modelo precedente (CPS), adotando nova configuraÃÃo no cÃlculo de tarifas discriminadas com uso de mecanismo de subsÃdios cruzados, sendo essa discriminaÃÃo estabelecida por faixa de consumo hÃdrico. O modelo desenvolvido tem fundamentaÃÃo em modelos do tipo ad hoc e baseia-se em custo de operaÃÃo, administraÃÃo e operaÃÃo (OAM) do sistema hÃdrico e em capacidade de pagamento setorial para determinar valores de tarifas. Para o cÃlculo tarifÃrio pelo CPS-2, procede-se ainda em estimaÃÃo de variÃveis exÃgenas ao modelo, como capacidade de pagamento, vazÃo demanda e montante a arrecadar. Os resultados alcanÃados indicam que o modelo tarifÃrio CPS-2 à capaz de aferir tarifas mÃdias, setorialmente, e tarifas discriminadas por faixa de consumo intrassetorial, plausÃveis de aplicaÃÃo à conjuntura social dos trÃs estados apreciados. Os valores de tarifas mÃdias aferidos para todos os setores admitidos na pesquisa sÃo considerados na mesma ordem de grandeza de valores de tarifas praticadas e/ou propostas na Ãrea de estudo, assim, como os valores de tarifas discriminadas para o setor de agricultura irrigada. Com a tarifaÃÃo por faixa de consumo, uma mesma tarifa à aplicada a distintos usuÃrios, bem como vÃrias sÃo aplicadas a um mesmo usuÃrio, configurando assim o preceito de equalizaÃÃo de tarifas. Dessa forma, com a prÃtica de associaÃÃo de determinada tarifa à faixa de consumo especÃfica, a cobranÃa tem uma composiÃÃo mais igualitÃria e menos dÃspare. Do trabalho, depreendem-se conclusÃes satisfatÃrias concernentes à formulaÃÃo e aplicaÃÃo do modelo CPS-2, principalmente devido Ãs medidas tarifÃrias aferidas e à composiÃÃo da cobranÃa aos usuÃrios, possibilitando maior distribuiÃÃo tarifÃria entre estes. / A gestÃo dos recursos hÃdricos constitui-se em questÃo cada vez mais presente e imperativa na pauta de discussÃes dos governos e da sociedade em geral, tendo a cobranÃa pelo uso da Ãgua bruta como um de seus instrumentos mais importantes, em especial pelo atual estÃgio de configuraÃÃo dos entes sociais. No Nordeste brasileiro, assim como em todo o paÃs, esse instrumento de gestÃo ainda à pouco implementado aos usuÃrios. Uma das dificuldades na aplicaÃÃo de tal instrumento incide no tipo de formulaÃÃo de modelo tarifÃrio, o qual deve ser capaz de aferir tarifas que sejam aplicÃveis aos diversos usuÃrios â inter e intrassetorial. Nesse sentido, o presente trabalho tem como objetivo maior, a proposiÃÃo e discussÃo de modelo tarifÃrio da Ãgua bruta a diversos setores usuÃrios â indÃstria, Ãgua envasada, saneamento bÃsico, aquicultura e agricultura irrigada â em estados da regiÃo Nordeste do Brasil â CearÃ, Rio Grande do Norte e ParaÃba. Para o desenvolvimento do modelo proposto (CPS-2), procede-se em reformulaÃÃo de modelo precedente (CPS), adotando nova configuraÃÃo no cÃlculo de tarifas discriminadas com uso de mecanismo de subsÃdios cruzados, sendo essa discriminaÃÃo estabelecida por faixa de consumo hÃdrico. O modelo desenvolvido tem fundamentaÃÃo em modelos do tipo ad hoc e baseia-se em custo de operaÃÃo, administraÃÃo e operaÃÃo (OAM) do sistema hÃdrico e em capacidade de pagamento setorial para determinar valores de tarifas. Para o cÃlculo tarifÃrio pelo CPS-2, procede-se ainda em estimaÃÃo de variÃveis exÃgenas ao modelo, como capacidade de pagamento, vazÃo demanda e montante a arrecadar. Os resultados alcanÃados indicam que o modelo tarifÃrio CPS-2 à capaz de aferir tarifas mÃdias, setorialmente, e tarifas discriminadas por faixa de consumo intrassetorial, plausÃveis de aplicaÃÃo à conjuntura social dos trÃs estados apreciados. Os valores de tarifas mÃdias aferidos para todos os setores admitidos na pesquisa sÃo considerados na mesma ordem de grandeza de valores de tarifas praticadas e/ou propostas na Ãrea de estudo, assim, como os valores de tarifas discriminadas para o setor de agricultura irrigada. Com a tarifaÃÃo por faixa de consumo, uma mesma tarifa à aplicada a distintos usuÃrios, bem como vÃrias sÃo aplicadas a um mesmo usuÃrio, configurando assim o preceito de equalizaÃÃo de tarifas. Dessa forma, com a prÃtica de associaÃÃo de determinada tarifa à faixa de consumo especÃfica, a cobranÃa tem uma composiÃÃo mais igualitÃria e menos dÃspare. Do trabalho, depreendem-se conclusÃes satisfatÃrias concernentes à formulaÃÃo e aplicaÃÃo do modelo CPS-2, principalmente devido Ãs medidas tarifÃrias aferidas e à composiÃÃo da cobranÃa aos usuÃrios, possibilitando maior distribuiÃÃo tarifÃria entre estes. / The management of water resources is a matter increasingly present and pressing in the agenda of governments and of the society at large. Charging for the bulk water use is one of the main instruments of water management, especially in the current stage of configuration of social entities. Even so, in Northeastern Brazil, as well as across the country, this management tool is still poorly implemented. One of the difficulties in applying this instrument lies on the formulation of the charging model, which should be able to determine charging rates that could be applied to different users within a given activity sector and even to different users of different sectors. In that sense, this paper aims higher, at the proposition and discussion of the bulk water charging model to different user sectors - industry, bottled water, basic sanitation, aquaculture and irrigated agriculture - in northeastern states of Brazil â CearÃ, Rio Grande do Norte and ParaÃba. In order to develop the proposed model (CPS-2), we reformulate the previous model (CPS), adopting a new configuration in the calculation of discriminated charging rates, using the cross-subsidy mechanism, where such discrimination is established by the range of water consumption. The model thus developed is structured after the models of the ad hoc type and based on cost of operation, administration and maintenance (OAM) of the water system and on the paying capacity of the focused sector to determine rates of charging. In order to calculate the charge by CPS-2, we still evaluate of the model-exogenous variables such as ability to pay, water discharge, water demand and amount to collect. The results indicate that the charging (or pricing) model CPS-2 is able to establish average rates, by sector, and charging rates determined by range of consumption (within a given sector) applicable to the set of the social circumstances of the three states focused. The values of average charges determined for all sectors studied in the survey are taken to be in the same order of magnitude as the rates charged and/or proposed in the studied area, as well as the rates charged for the irrigated agriculture sector. When charging for the range of consumption, the same rate is applied to different users, and several are applied to a single user, thus configuring the charging after the precept of equalizing rates. Therefore, with the practice of associating a certain rate of charge to a range of specific consumption, the charging takes an aspect more egalitarian and less exceptional. Thus, we draw satisfactory conclusions concerning the formulation and application of the CPS-2 model, mainly due to charging directives implemented and to the composition of the charged sums to users, enabling fairer distribution of the financial load between them. / The management of water resources is a matter increasingly present and pressing in the agenda of governments and of the society at large. Charging for the bulk water use is one of the main instruments of water management, especially in the current stage of configuration of social entities. Even so, in Northeastern Brazil, as well as across the country, this management tool is still poorly implemented. One of the difficulties in applying this instrument lies on the formulation of the charging model, which should be able to determine charging rates that could be applied to different users within a given activity sector and even to different users of different sectors. In that sense, this paper aims higher, at the proposition and discussion of the bulk water charging model to different user sectors - industry, bottled water, basic sanitation, aquaculture and irrigated agriculture - in northeastern states of Brazil â CearÃ, Rio Grande do Norte and ParaÃba. In order to develop the proposed model (CPS-2), we reformulate the previous model (CPS), adopting a new configuration in the calculation of discriminated charging rates, using the cross-subsidy mechanism, where such discrimination is established by the range of water consumption. The model thus developed is structured after the models of the ad hoc type and based on cost of operation, administration and maintenance (OAM) of the water system and on the paying capacity of the focused sector to determine rates of charging. In order to calculate the charge by CPS-2, we still evaluate of the model-exogenous variables such as ability to pay, water discharge, water demand and amount to collect. The results indicate that the charging (or pricing) model CPS-2 is able to establish average rates, by sector, and charging rates determined by range of consumption (within a given sector) applicable to the set of the social circumstances of the three states focused. The values of average charges determined for all sectors studied in the survey are taken to be in the same order of magnitude as the rates charged and/or proposed in the studied area, as well as the rates charged for the irrigated agriculture sector. When charging for the range of consumption, the same rate is applied to different users, and several are applied to a single user, thus configuring the charging after the precept of equalizing rates. Therefore, with the practice of associating a certain rate of charge to a range of specific consumption, the charging takes an aspect more egalitarian and less exceptional. Thus, we draw satisfactory conclusions concerning the formulation and application of the CPS-2 model, mainly due to charging directives implemented and to the composition of the charged sums to users, enabling fairer distribution of the financial load between them.

In this paper, I examine the top ten historical upward and downward daily shocks in the Dow Jones Industrial Average, and test whether industry specific abnormal returns can be explained by industry specific leverage ratios on those days. I use modified versions of the Capital Asset Pricing Model and the Fama French 3 Factor regression to examine within-industry abnormal returns. I then proceed to rank the industry abnormal returns and industry leverage ratios, from high to low, on days corresponding to these large shocks. Finally, I examine the correlation between these ranks on the days corresponding to the large moves. The results show that on upward moving days, there is no relationship between industry abnormal returns and industry leverage. However, on downward moving days, there is moderate negative correlation between industry abnormal returns and leverage, suggesting that higher leverage leads to lower abnormal returns. This paper explains these results in further detail, and discusses the implications to the greater field of financial economics.

Mergers and acquisitions are a key component in the toolbox of business strategies that companies employ to improve organisational performance. Empirical studies that focus on domestic mergers and acquisitions activity in developed countries are numerous, however there remains a limited amount of research into the effects of cross border mergers and acquisitions on the performance of acquiring companies, especially in emerging markets. This research examined whether cross border mergers and acquisitions concluded by acquiring companies listed on the Johannesburg Stock Exchange have a positive or negative impact on the operating financial and short term share price performance of the listed acquirer. A quantitative approach was adopted for the purpose of this research. In order to analyse the impact of cross border mergers and acquisitions transactions on the share price and operating financial performance of listed acquiring firms secondary data was utilised. The research incorporated publicly available daily share trading data for shares traded on the Johannesburg Stock Exchange and financial and accounting data sourced from McGregorBFA. In addition, the sample of cross border mergers and acquisitions transactions was obtained from the MergerMarket database. Purposive sampling was applied to select an initial sample of 44 transactions. Based on the exclusion of confounding events a final sample of 29 transactions was tested. Given the small sample size, and that confounding events were determined not to have a material impact on the cross border transactions, comparative analysis was performed using the initial sample of 44 transactions. Different lenses were applied for testing financial performance by using three performance measures. These included abnormal share price returns; key financial performance ratios and industry adjusted operating cash flow return on assets. Various short-term event windows were analysed for each of these measures. Parametric tests including t-tests for unequal variance and paired t-tests were applied in the research. Given the small sample size non-parametric testing in the form of Wilcoxon Signed Rank Sum tests was also applied. In addition, bootstrapping was applied to the cumulative average abnormal returns. This research concluded that both the short-term share price and operating financial performance of acquiring companies listed on the Johannesburg Stock Exchange does not improve significantly in the short-term post the cross border merger or acquisition transaction. / Dissertation (MBA)--University of Pretoria, 2013. / lmgibs2014 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted

>Magister Scientiae - MSc / Motivated by the growing attraction of the mutual fund industries across the world, this research seeks to explore the economic benefits contributed by the South African equity unit trust managers over the period from 1 January 2002 to 2 September 2012. The performance is examined over two sub-periods and the overall examination period, where the first sub-period captures the performance of the unit trusts before the 2007/2008 global financial crisis and the second sub-period captures the devastation in performance of the unit trusts after the crisis. Active fund managers are usually presumed to possess superior abilities in asset allocation, security selection and market timing that assist them to consistently generate abnormal returns on a risk-adjusted basis. This research attempts to test this claim by making a distinction in performance attribution between returns generated as a result of managerial skills and those generated as a result of random chance. The study emerges by first examining the risk-adjusted performance of the South African unit trust managers against the performance of a broad market index proxied by FTSE/JSE All Share Index (ALSI). Six different risk-adjusted performance measures are employed for this purpose. Regardless of the different applications of risk parameters employed by each performance measure, the results reveal that on average, most of the South African unit trust managers do not outperform the market on a consistent basis. The majority of the unit trust managers show good performance during the first sub-period, with subsequent inferiority in performance during the second sub-period. The study further examines the performance of the South African unit trust managers relative to the pre-specified sector benchmarks constructed by following a set of performance attribution techniques proposed by Yu (2008) and Hsieh (2010). The objective of this test is to determine whether the equity unit trust managers are able to create value through their security selection skill in addition to their asset allocation decisions. Consistent with international evidence, the results reveal that returns generated by South African unit trusts are driven mainly by asset allocation activities and stock picking of asset managers do not add significant value. In addition, test results also indicate that South African equity unit trust managers are not good at managing risk as the majority of the unit trusts exhibit higher standard deviation compared to their benchmarks. Furthermore, the study examines the economic value contribution of the South African equity unit trust managers through their market timing activities. In particular, the study attempts to determine whether or not unit trust managers possess the ability to correctly anticipate future market movements. To achieve this, two market timing performance models developed by Treynor-Mazuy (1966) and Henrikson-Merton (1981) are employed. The results reveal that, regardless of the changes in market conditions, South African equity unit trust mangers delivered significantly inferior timing performance in both sub-periods and the overall examination periods that actually destroyed fund values. The paper concludes by stating that investors are better off by investing in cost-effective passive investment vehicles such as exchange traded funds (ETF's).

This dissertation consists of two essays dealing with two selected aspects of the investment decision process faced by individuals and corporations. In the first essay, I develop a model of a multiple-stage patent race between two rival firms to study the impact of technological competition on value and return dynamics of Research and Development (R&D) ventures. The model describes a firm's capital budgeting decision process in the presence of technical uncertainty, market uncertainty and preemption. I characterize the equilibrium of the race and derive optimal investment strategies. Analysis of the equilibrium firm value shows that the premium accruing to the technology "leader" is larger than the loss accruing to the technology "lagger" and that the marginal effect of success/failure is increasing in the uncertainty of cash flows. Risk premia demanded by an ownership claim to competing R&D ventures (i) increase when a rival pulls ahead in the race and (ii) are lower when rivals are "closer" to each other in the development process. Compared to the case where rival firms merge, R&D competition reduces the industry value and lowers the expected completion time for a project. The erosion in value, due to preemption, is higher when firms are "neck-and-neck" and in early stages of development. Numerical simulations show that, in later stages of development, risk premia demanded by the perfectly collusive market are generally lower than risk premia demanded by a portfolio of competing firms. The opposite is true in early stages of development, which suggests that R&D competition may actually lower the cost of early stage financing. In the second essay, I solve a portfolio allocation problem for an individual who can select between two risky assets and a riskless asset in the presence of capital gains taxes. I treat capital gains taxes as a form of endogenous transaction costs. Using this analogy, I characterize the trading strategy for the two assets, and study the effect of taxes on optimal portfolio diversification. The optimal strategy contains a "no trade" region and a dynamic tax-timing option. I find that the diversification costs due to capital gains taxes are substantial and the value of the tax deferral option is decreasing in the correlation among assets and in the volatility of the risky assets. By comparing the solution of the multiple asset portfolio problem to the one of an investor who can trade only in a mutual fund I am able to measure the value of the flexibility option of the multi-asset case as well as the cost of mutual fund turnover. Finally, I show that imposing a wash-sale constraint generates discontinuous portfolio rebalancing strategies. / Business, Sauder School of / Finance, Division of / Graduate

This dissertation describes two theories of risky choice based on a normatively axiomatized partial order. The first theory is an atemporal alternative to von Neumann and Morgenstern's Expected Utility Theory that accommodates the status quo bias, violations of Independence and preference reversals. The second theory is an extension of the Inter-temporal von Neumann-Morgenstern theory of Kreps and Porteus (1978) that features a normatively deduced preference for flexibility. A substantial part of the thesis is devoted to examining equilibrium implications of the inter-temporal theory. In particular, a multi-agent multi-period Bayesian rational expectations equilibrium is shown to exist under certain conditions. Implications to asset pricing are then investigated with an explicit parameterization of the model. / Business, Sauder School of / Finance, Division of / Graduate

Limitations of Capital Asset Pricing Model (CAPM) continue to present inconsistent empirical results despite its rm mathematical foundations provided in recent studies. In this thesis, we examine how estimation errors of the CAPM could be minimized using the cross-validation technique, a concept that is widely applied in machine learning (CV-CAPM). We apply our approach to test the assumption of CAPM as a well-diversified portfolio model with data from S&P500 and Dow Jones Industrial Average (DJIA). Our results from the CV-CAPM validate that both S&P500 and DJIA are well-diversified market indices with statistically insignificant variation in unsystematic risks during and after the 2007 financial crisis. Furthermore, the CV-CAPM provides the smallest root mean square errors and mean absolute deviations compared to the traditional CAPM.

Med hjälp av årlig prisstatistik avseende försäljningar av skogsfastigheter (1995-2020) bedömer studien skogliga investeringars marknadsrisk samt estimerar dess diskonteringsränta. Analysen sker inom de teoretiska ramverken Capital Asset Pricing Theory (CAPM) samt Arbitrage Pricing Theory (APT). Utöver korrelation med marknaden analyseras ett antal riskfaktorer så som inflation, förändringar i bostadspriser, BNP samt förändringar i virkespriser. CAPM beräknas för olika löptider där den riskfria räntan matchas mot investeringens tidshorisont. Resultatet ligger i linje med tidigare forskning och visar att skogliga investeringar har en låg marknadsrisk och troligen kan ge ett skydd mot inflation. Val av korrekt löptid för den riskfria räntan har betydande effekt på den estimerade diskonteringsräntan.