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Řízení zásob výrobního podnikuKoudelková, Kateřina January 2011 (has links)
No description available.
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Essays on the Turkish stock marketKaragöl, Rafi January 2016 (has links)
This PhD dissertation research primarily aims to empirically investigate three major, yet distinct and stand alone, financial topics using data from Turkey. These are (i) analysis of effects of financial statements on stock returns and their conditional volatility using an event study methodology; (ii) analysis of relationship between credit rating and firm-specific characteristics in a cross-section framework; and (iii) analysis of credit ratings and stock market performance using both firm-specific characteristics and selected macroeconomic variables in a panel data framework. My contribution remains as a pioneering effort to analyse these issues at least in the context of Turkey. The first empirical work, based on event study methodology employing a modified asymmetric time-varying volatility model, concludes that there are significant return and volatility effects stemming from announcement of audited semi-annual financial statements. This conclusion is also valid for the pre-announcements and postannouncement dates. It should be noted that event study methodology is a test of the informational efficiency subject to the joint hypothesis problem. My results can be considered as evidence against the informational efficiency of the Turkish stock market. The second area of research is on the relationships between corporate credit ratings and firm-specific characteristics. This investigation is based on a cross-sectional regression analysis. It concluded that size, sector, systemic risk and volatility are important factors on credit ratings and stock returns. The third empirical work employs panel data methodology to analyse the relationship between corporate credit rating and stock market performance indicators. It is found that both firm-specific characteristics and macroeconomic variables have significant effects on stock returns.
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Market timing on the Johannesburg Stock Exchange using exchange rates fluctuationsTerblanche, R.C. 17 March 2010 (has links)
Market timing on the Johannesburg Stock Exchange has been the subject of numerous researches in South Africa, using different market conditions. This research aims to explore the effectiveness of a strategy of market-timing against a buy and hold strategy, at a reasonable level of market timing ability Seven equally weighted share portfolios were created from 56 different companies listed on the Johannesburg Stock Exchange. These companies’ share movements have a positive or negative correlation to the exchange rate movements. From the seven portfolios, three equally weighted group portfolios were created; one portfolio was containing shares with a positive exposure to exchange rate changes and a second portfolio was containing shares with a negative exposure. The research is exploratory in nature and observed that, the levels of predictive ability reported for Proposition 2 is generally higher than the findings presented in Proposition 1. This is ascribed to the higher index used to determine the various levels of return. The levels of predictive ability are consistent with results of other market timing studies, using different market conditions. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted
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The characteristics and performance of concept stocks on the Johannesburg Securities ExchangeBryant, Gary 23 April 2010 (has links)
The backdrop to this study is derived from an international paper which analysed the characteristics and performance of concept stocks across different North American stock exchanges. The empirical findings indicated that concept stocks underperform the market as well as control stocks. Concept stocks were also found to exhibit abnormally high levels of research and development spending. This study replicates the North American research in the South African setting by analysing the characteristics and performance of concept stocks on the Johannesburg Securities Exchange. The method used analyses a number of the characteristics of the stocks based on financial indices. Their performance is measured using the buy-and-hold abnormal returns method. The results indicated that the concept stocks outperformed their control stocks on certain accounting characteristics, but underperformed on others. The returns generated by the concept stocks significantly underperformed the control stocks, but only in Years 3, 4 and 5. The concept stocks are therefore only accurately valued over the long term. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted
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Evaluating the need for developing new customer service safety stock models in a long lead-time chemical supply chainSnyders, Louis 12 May 2010 (has links)
Safety stock models have been developed for traditionally short lead-time supply chains. With globalisation, long lead-time complex supply chains have become the norm for multi-national organisations. Customers have evolved and are expecting better supply reliability at lower costs. The research investigates the need for developing new safety stock models that adapt to the changing global supply chains and customer needs and can optimally absorb supply and demand variability. The new safety stock models should ensure promised customer service levels. Sasol Solvents, a chemical commodity company, was used as the basis for the research. The organisation has global distribution hubs in four regions with unique location based constraints. The sales and supply chain personnel in these regions participated in the research. It was found that the current safety stock models exclude applicable variables that are needed to determine the optimal safety stock levels in a long lead-time supply chain. This exclusion causes sub-optimal safety stocks, which result in lower customer service levels. New safety stock models should therefore be developed that contain these variables identified and should be adaptable to the evolving changes in customer preferences and supply chain configurations. The new models should ensure the optimisation of profitability for global organisations. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted
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A two-period model of signaling with ownership retentionCourteau, Lucie 11 1900 (has links)
This dissertation is an extension of Leland and Pyle's (1977) signaling model. It introduces the
length of the retention period to which the entrepreneur commits in the prospectus as a signal
of firm value, in addition to the retention level.
The analysis uses concepts of game theory to examine a two-period model where an entrepreneur
seeks to issue shares on the market and invest in a productive project that generates
outcomes which are publicly announced at the end of the next two periods. The entrepreneur
can retain some of her firm's shares and trade them later on the secondary market, after
information has been released about the outcomes.
The length of the retention period is found to be a signaling mechanism that complements
ownership retention. Depending on the information structure of the firm, a longer retention
period may reduce or increase the retention level necessary for separation.
The model also shows that there are realistic situations in which entrepreneurs prefer to
retain a portion of their firm's shares for longer than the minimum retention period imposed
by regulations, and others in which she prefers the shortest period possible. The optimal
combination of under-diversification and commitment is shown to depend on the information
structure and the probability distribution of outcomes of the firm.
The empirical implications of the model are tested on the set of firms that made an initial
public offering in 1981. Although the results of the tests are generally consistent with the
predictions of the model, they are not strong enough to reject the null hypotheses. / Arts, Faculty of / Vancouver School of Economics / Graduate
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An investigation of some technical methods of stock market forecastingPhelps, John Livingstone January 1960 (has links)
The object of this dissertation is to investigate
some of the more recent concepts and methods of technical
forecasting of market trends, business cycles and individual
security cycles and to indicate the sources from which such
data may be obtained.
This investigation indicates that technical forecasting
is a useful technique for the security analyst
which may be used to advantage. No attempt has been made to
prove that technical methods of forecasting are infallible
or that these methods may be considered superior to individual
security analysis but rather that they should be used
by security analysts in conjunction with other techniques.
The problem is divided into three phases. The first
phase, presented in Chapters I to IX, discusses technical
market trend forecasting and the results are compared with
actual market performances for 1959. The second phase,
Chapters X and XI, considers the shortcomings of the earnings
and valuation approaches of security analysis and contains
a discussion of business cycle forecasting. The
third phase, Chapters XII and XIII, illustrates a modified
technical method of evaluating common stocks. / Business, Sauder School of / Graduate
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Appraisal of methods used for timing investment decisions in the stock marketRousseau, Alfred Sim January 1968 (has links)
The main purpose of this study was to test the worth of using methods
of timing investment decisions in the stock market. The writer investigated
the use of economic and technical indicators in forecasting the most
advantageous times for investing and disinvesting in the stock market.
Recognition was given to the importance of fundamental analysis in the
choice of stocks, and the "balance of the appraisal was devoted to the timing
decision, or, "when to "buy?". A null hypothesis was formed to provide the
basis for a test on the timing decision. The hypothesis was tested by the
use of a model, consisting of economic and technical indicators, and
criteria that are developed for the performance of the model.
The statistical method in this appraisal comprises of the formation
of indexes for forecasting the investment decisions. Some of the leading
economic indicators that were developed by the National Bureau of Economic
Research, and the Index of Consumer Sentiment of the University of Michigan
were formed into a diffusion index, which was tested for the purpose of
assigning a weight to its performance. A group of eight currently used
technical indicators were then individually tested for their effectiveness
in a market forecast. Of these, six were found suitable, and were then
incorporated into a composite index. The composite index was then tested
for the purpose of assigning a weight to its performance. On the basis of
their weighting, the diffusion index and the composite index were then
incorporated into the model. By means of tests, suitable criteria were developed for the performance of the model. The model was then used to test
the null hypothesis that was formed for this appraisal.
The results indicated that there was a significant difference between
a buy and hold investment decision, and one that was timed to the
indications of the chosen economic and technical indicators. / Business, Sauder School of / Finance, Division of / Graduate
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A re-examination of stock-market riskGardiner, Daniel Francis January 1972 (has links)
The purpose of the research undertaken in this thesis is twofold: a) to test the relationship between a security analyst's perception of risk based upon financial statement data and overall market return and b) to determine the relationship between the practitioners concept of risk and risk as outlined in the literature. The main data sources for the thesis were the Financial Post computer tape from which "accounting" measures of risk were derived and stock exchange price quotations from which "economic" or "traditional" risk measures were determined. "Accounting" measures of risk considered included the coefficient of variation, standard deviation and mean-absolute deviation of the earnings stream variables, net operating income, net income and net income plus depreciation. The "traditional" or "economic" measures computed were the standard deviation of return and the beta coefficient or volatility index. Arguments were then presented for the relevance of each measure in describing stock market risk.
To determine any relationship among various risk measures, a correlation and sectoral analysis was undertaken. The correlation analysis indicated a significant relationship existed among certain "accounting" and "economic" risk measures and in general, this relationship was supported by the sectoral analyses.
To indicate the relationship among the risk measures and overall return, a graphical analysis was undertaken. Mixed results were obtained in this analysis, with certain measures of risk displaying a more significant risk/return relationship than did others.
Thus, it appears that there does exist some degree of association between "accounting" and "traditional" measures of risk as indicated by the analyses undertaken in this thesis. What the literature is measuring as risk could possibly then be a reflection of what the security analyst views as stock market risk. However, there may be other factors which play an important role in the practitioners formation of risk estimates, factors which are, as of yet, non-quantifiable. / Business, Sauder School of / Graduate
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The relationship between selected market indices and individual securities using Sharpe's beta coefficientChen, James C. L. January 1971 (has links)
This study attempts to determine the usefulness of Sharpe's Beta Coefficient in explaining the relationship between selected indices and individual securities. Basically, this involved doing a correlation-regression analysis on the returns of randomly selected securities against those of specific market indices. The returns for both variables were calculated traditionally, that is, by taking the price differential between the closing price at the end of the previous and present quarter and adding the quarterly dividend (where applicable) and dividing the total by the initial price. This was performed for six test periods.
Generally, the tests yielded negative results. The amount of explained variation in individual security returns by the Beta Coefficient is negligible. This study concludes by providing some explanations and suggesting modifications. / Business, Sauder School of / Graduate
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