abstract: Celiac Disease (CD) is now widespread as one in 133 people are currently diagnosed, while there were only one in 150 in 2006. Much of the research concerning CD is still in the early stages, as formal epidemiological studies are relatively recent. CD is aggravated by the consumption of gluten, which is found mainly in wheat, rye, oats, and barley. Not surprisingly, the rising prevalence of CD has created a significant business opportunity for food manufacturers in developing products that are tailored to CD sufferers. While the entire Gluten-Free (GF) industry has been experiencing double digit growth rates, the expansion in available snack foods has outstripped all others. Observation of GF snack food prices suggests that food manufacturers are responding to high retail prices associated with GF foods. However, GF foods are often also advertised with other attributes that generally sell for a premium over conventional foods. Therefore, whether the high retail price for GF snack foods can be attributed specifically to the GF attribute is an empirical question. The objective of this research is to determine whether there is a retail-price premium for GF snack foods and, if there is, to estimate its magnitude. A hedonic pricing model is used to answer this question. Specifically, a hedonic pricing model was applied to a unique dataset of snack food products in order to estimate the marginal value for the GF attribute, while controlling for a number of other important attributes. Results show that the GF attribute is both economically and statistically significant, implying a premium of nearly $1.86 above gluten-containing products. Production costs for smaller manufacturers can be two to three times higher for GF foods relative to non-GF foods, but this still implies an excess premium of over $0.50 (assuming 40% margins). However, high premiums may not last as large retailers are utilizing their influence over suppliers to keep retail margins low. Therefore, the primary implication of the research is that the rapid growth in recent years can easily be explained on economic grounds for large agribusinesses, as this implies a major profit opportunity. / Dissertation/Thesis / M.S. Agribusiness 2010

The standard Black-Scholes model is under the assumption of geometric Brownian motion, and the log-returns for Black-Scholes model are independent and Gaussian. However, most of the recent literature on the statistical properties of the log-returns makes this hypothesis not always consistent. One of the ongoing research topics is to nd a better nancial pricing model instead of the Black-Scholes model. In the present work, we concentrate on two typical 1-D option pricing models under the general exponential L evy processes, namely the nite moment log-stable (FMLS) model and the the Carr-Geman-Madan-Yor-eta (CGMYe) model, and we also propose a multivariate CGMYe model. Both the frameworks, and the numerical estimations and simulations are studied in this thesis. In the future work, we shall continue to study the fractional partial di erential equations (FPDEs) of the nancial models, and seek for the e cient numerical algorithms of the American pricing problems. Keywords: fractional partial di erential equation; option pricing models; exponential L evy process; approximate solution.

The capital asset pricing model (CAPM) has for half a century been considered a pillar of modern finance in describing the relationship that is deemed to exist between the risk of owning an asset and the expected future returns from that asset. The model has however been subject to criticisms and attacks in the literature and some doubt remains about the validity and successful application of the model. This research builds on previous empirical testing of the CAPM with a specific focus on the cost of equity of companies listed on the Johannesburg Stock Exchange. The approach of this research was to use market values, as indicated by the share price of a listed company and discounted free cash-flow valuations to determine both an estimated and implied cost of equity. The aim was to test the validity of the CAPM empirically and potentially find an accurate, implied cost of equity for the South African equity market, by comparing the different rates and looking for statistical correlation between them. While no correlation could be found, this study did provide evidence that the cost of equity and the market risk premium in South Africa is potentially higher than previously thought. / Dissertation (MBA)--University of Pretoria, 2013. / ccgibs2014 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted

M.Com. (Finance and Investment Management) / The latest financial crisis that began in 2007 in the USA and spread to Europe, Africa and other continents has highlighted the importance of liquidity and its role in financial markets. One of the most commonly accepted mathematical models used in financial markets is the Black and Scholes option pricing model (BSM model). The assumptions in the BSM model have again been questioned during the current crisis and, in particular, the assumption of an unending risk-free supply of liquidity. This report reviews this assumption in the South African financial markets with local market participants. These views are polled through the use of a questionnaire to gauge these participants' views on liquidity using proxies or factors that impact overall liquidity. The results showed significantly different perspectives depending on the role of the participant as either market maker or price taker. The overall liquidity proxies used showed that local market participants believe these proxies impact liquidity. The view that liquidity is an unending commodity and thus priced as riskless was disputed by local market participants. The practical significance of the research problem in the local context should provide local participants with some insight into local perceptions on liquidity that may provide some practical tools when pricing or trading instruments in the local market.

M.Comm. (Financial Management) / Since the late 1990s South African companies have started to dual list their shares in different countries, mainly to source capital from larger and more developed economies. In addition to this the level of participation by foreigners in the buying and selling of South African shares has increased. This leads to the question: should a local or a global CAPM (capital asset pricing model) be used to value shares that are traded in integrated global capital markets? This study focuses on dual-listed South African shares as these shares are most likely to be traded by investors globally. This study replicated aspects of earlier studies conducted in the Unites States of America and the United Kingdom, which are developed economies. By applying the same principles within a South African context, valuable insights might be derived relating to companies from developing economies. The main purpose of this study is to investigate the impact of using a global CAPM instead of a local CAPM to determine the cost of equity of South African companies. To this end, a sample of 26 dual-listed South African companies was selected using non-probability judgement sampling. Descriptive research was undertaken using quantitative analysis of secondary data. The cost of equity using the local and global CAPM was calculated for each of the selected dual-listed South African companies. The historical monthly returns of the dual-listed shares as well as each of the local and global risk factors during the period from 1 January 2005 to 31 December 2009 were used to calculate the local and global beta coefficients. The estimates of the local and global cost of equity were compared to ascertain whether there were significant differences for individual shares, as well as across different market sectors. While the results from similar previous studies on shares of developed countries by Koedijk and van Dijk (2004:474); Koedijk et al (2002:911); and Mishra and O‟Brien (2001:28) indicated insignificant differences between the local and global CAPM, this study indicated differences of 400 basis points and above for the sample of dual-listed South African companies. The findings in this study therefore suggest that the findings from studies conducted in developed economies cannot be generalised for companies in developing economies. In the South African market, shares across different sectors behave differently towards global risk factors; therefore this study highlighted the need for financial analysts to carefully consider using the global CAPM instead of the local CAPM when valuing shares that are traded in globally integrated capital markets. Using the incorrect cost of equity may result in incorrectly valuing a company as well as incorrect decision making.

Materiality is a pervasive accounting concept that has defied a precise quantitative definition. The Capital Asset Pricing Model (CAPM) approach to materiality provides a means for determining the limits that bound materiality. Also, the approach makes it possible to locate the point estimate within these limits based on certain assumptions. / Master of Science

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No / Several recent empirical tests of the Capital Asset Pricing Model have been based on the conditional relationship between betas and market returns. This paper shows that this method needs reconsideration. An adjusted version of this test is presented. It is then demonstrated that the adjusted technique has similar, or lower, power to the more easily implemented CAPM test of Fama and MacBeth (1973) if returns are normally distributed.

The purpose of this research is to examine the significance of a market factor, an industry factor, a company factor and a growth factor in explaining security returns. A secondary objective is to determine if interim financial statements--the balance sheet and the income statement--provide useful information in developing the return model. Market-related and industry-related systematic risks are constructed as surrogate measurements for the market and industry factors. The company factor is composed of one accounting return measure (profitability) and five accounting risk measures (accounting beta, operating leverage, financial leverage, dividend covariability, and cash flow beta). These variables are included as individual regressors in the return model. Also, a company index (the first principal component) is constructed and tested for its significance in the four-factor return model. The compound growth rate in total assets measures the growth of individual companies. Quarterly accounting information is used to measure these company and growth variables, and their significance provides evidence supporting the usefulness of interim financial statements. A multiple regression analysis is employed to develop the return model. In addition to the market factor, an industry factor, components of the company factor (dividend covariability and profitability), and a growth factor are found to contribute significantly to estimation of the return model. The use of a company index in lieu of individual company variables, however, is not recommended for· developing the return model. Additionally, results indicate that the market model provides the best surrogate measure of the market factor, and Line of Business information is recommended for classifying companies into industry groups. Major limitations of the study are (i) a self-selection bias of companies for the sample; (ii) measurement errors in interim financial statement data due to accounting allocations; (iii) seasonality of quarterly accounting information; (iv) use of average regression statistics in determining the best return model; (v) a limited number of regression models examined; and (vi) multicollinearity. These may limit the generalizability of the findings beyond the sample data and the interpretation of relationship between security return and its potential determinants. / Ph. D.