Recent economic crises coupled with corporate scandals have plunged the world into the greatest financial predicament it has faced in almost a century. Deregulation has empowered business leaders and their subsequent unethical behaviour has undermined the very foundations of the world’s financial and business infrastructure. It is perplexing that corporate social responsibility (CSR) spend is the first area of business to suffer cutbacks during challenging times – especially since it is often the lack of ethic that has led to such crises in the first place. The cosmic exploration of CSR over the past 50 years has left academics and business leaders with a lack of causal evidence as to the value of behaving in a socially responsible manner. This research tests the theory that CSR can have strategic implications and is pivotal for organisational sustainability. The research uses four constructs of corporate strategy that could be related to CSR, namely: centrality, specificity, proactivity and voluntarism. The research has found that CSR can in be aligned with corporate strategy and assist firms in reaching their long-term goals. It has also found the term “strategic CSR” to be relevant in organisations. The paper proposes a framework that organisations can use to approach CSR in a strategic manner and to create value from CSR. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

A model of a fishery with an uncertain fish stock is proposed to compare alternative management systems with individual transferable quotas (ITQs). Assumptions of the model include: (1) the fish stock fluctuates randomly year by year; (2) in-season stock depletion is small; (3) the total allowable catch (TAC) set by the quota authorities has a definite relation with the fish stock level; (4) the true value of the stock level is revealed only at the middle of each season, when the authorities revise the TAC; (5) fishers form rational expectations on future quota prices. The principal results are: (a) If fishers are risk-neutral, the share quota (SQ) system and the quantity quota (QQ) system generate the same amount of fishery rent, although the division of the rent between fishers and the authorities under one system is different from the other. If the TAC is proportional to the stock level, the more price-inelastic the demand for fish is, the more likely it is that fishers are better off under the QQ system at the expense of the authorities. (b) A quota tax and a harvest tax that collect the same amount of revenue for the authorities result in the same division of the fishery rent among heterogeneous fishers. The quota tax and the profit tax differ in this respect. Which fishers will prefer a quota tax over a profit tax will depend on fishers' shares of the initial quota endowment and in total inframarginal profits afterward. (c) If fishers are risk-averse, the SQ system and the QQ system are not equivalent in their allocative efficiency. An example shows that the SQ system is potentially better than the QQ system when fishers prefer the latter and the authorities prefer the former. This conclusion has to be modified if risk-neutral traders participate in the quota market / Arts, Faculty of / Vancouver School of Economics / Graduate

This PhD dissertation research primarily aims to empirically investigate into two financial topics using annual and monthly data sets of market-capitalization based size portfolio returns from the US stock market for the period 1925 to 2012. Using size-based portfolio returns is a pioneering effort for both topics. The first empirical research using annual data is on short and long horizon stock return predictability using three widely selected ratios in terms of price-output, price-earnings and price-dividend. Using univariate and multivariate predictive regressions for horizons from one year to fifteen years for the full sample and three different sub-samples for comparison reasons with the previous research using aggregate stock market data, it is reported that both short and long horizon return predictability exists albeit with different predictive ability for different horizons. Among the three selected ratios, overall the price-output ratio is empirically favoured as a superior predictor of stock returns. The empirical findings refer to that this is robust across the three sub-samples investigated. It is empirically shown that size significantly matters in terms of return predictability. The second empirical research using monthly data is on the analysis of impact of macroeconomic volatility in terms of inflation and industrial production growth on asymmetric time-varying volatility of stock returns. Using a two-stage econometric methodology, first, based on estimation of asymmetric conditional volatilities of stock returns and macroeconomic variables, and then employing a vector autoregression methodology; it is reported that volatility of size-based portfolio returns are, in general, not significantly dependent on macroeconomic volatility. It is also shown that stock return volatility is more responsive to its own previous shocks as shown by the variance decomposition. It is also found that size does not matter in this specific case.

This paper assesses the impact of earnings quality on market responses to annual earnings announcements. Earnings quality is measured by the ratio of earnings to funds from operations. The difference in the association between forecast errors and excess returns across the high/low quality earnings subsamples is found to be statistically significant; there is a greater market response to earnings announcements of high-quality firms than to low-quality firms. Hence, earnings quality as measured by the ratio of earnings to funds from operations, is found to have pricing implications. The results are robust across two regression models: OLS on returns ordered in announcement time and SUR/GLS on returns ordered in calendar time. / Business, Sauder School of / Graduate

A stock market speculation scheme proposed by Sidney S. Alexander was tested and was found to be more profitable than would be predicted on the assumption that stock prices perform a random walk with a Gaussian distribution and linear trend. The difference between empirical and theoretical gains was found to be statistically significant. By means of an F-ratio, it was demonstrated that the statistical estimate of the variance of the population of price fluctuations tends to increase as the size of sample is increased. This is consistent with the assumption that the population actually has an infinite variance, but is not consistent with the behavior which would be predicted by any variety of Gaussian random walk. The sophisticated quantity theory of money was found to be unable to account for any non-random movements in stock market price indices. / Business, Sauder School of / Graduate

It is widely accepted that the primary objective or goal of a firm is to maximise the value of its shareholders' equity. An increase in wealth increases the satisfaction of any financial market participant, or in this case, of any shareholder. In management's attempts and decision-making to increase shareholder value, they continuously influence, directly or indirectly, those variables that affect shareholder wealth. In order to increase shareholder wealth in the most efficient way, it becomes necessary to quantify the effect that each of these relevant variables has on shareholder wealth. If the value created from the assets under the control of management is to be improved, the answer lies partly in determining the real drivers of value and focusing management attention on these. The objective and value of this study lies in the fact that a meaningful mathematical relationship between these variables and shareholder value is developed. In the literature part of this study, the main emphasis fell on drawing a distinction between the accounting-based and the economic-based models of determining shareholder value. It has been demonstrated that the economic-based models, and Economic value added (EVA) in particular, have distinct advantages in determining value created (or destroyed) by the management of a company. Whilst EVA is the best internal measure of shareholder value creation. Market value added (MVA) is the external method of determining shareholder's wealth. After the variables that can determine shareholder value as represented by the EVA of a company had been identified, the research methodology, including the statistical techniques as well as the boundaries of the sample used, were set out. The results of the empirical analyses were reported and compared with the theoretical principles. The correlation between MVA and (discounted) EVA was the highest of all the variables and was at its most positive when inflation adjustments to the data had been made. Slightly lower positive correlations were also obtained from more traditional measures such as return on assets (ROA), return on equity (ROE), earnings per share (EPS) and dividends per share (DPS). Once it has been determined that EVA is arguably the best indicator of value that has been created or destroyed by management, it is necessary to analyze EVA in terms of its variables or components. If one turns to the stepwise regression analyses done with EVA as dependent variable with a number of independent variables, various income statement ratios provided the best explanation (as represented by r2 ). No meaningful results were obtained from a number of balance sheet ratios. Using these results as a basis, recommendations to management on managing and creating shareholder wealth in the most efficient way is made. Practising valuemaximization is not easy, but EVA and its variables can be the answer. AFRIKAANS : Dit is 'n algemeen aanvaarde beginsel dat die primere doelwit van 'n onderneming die maksimering van aandeelhouers welvaart is. 'n Verhoging in welvaart lei tot verhoogde nutsbevrediging van enige deelnemer in finansiele markte, in die geval die aandeelhouers van 'n onderneming. In bestuur se pogings en besluitnemingsaksies om aandeelhouers welvaart te verhoog, word die veranderlikes wat aandeelhouers welvaart bepaal, voortdurend beïnvloed. Om aandeelhouers welvaart op die mees doelmatige wyse te verhoog, is dit nodig om te kwantifiseer welke effek elkeen van hierdie veranderlikes op aandeelhouers welvaart uitoefen. lndien die waardetoevoeging van die kapitaal onder beheer van bestuur verbeter moet word, le deel van die oplossing in die bepaling van daardie veranderlikes wat aandeelhouers welvaart bepaal, en om gevolglik bestuur se fokus op daardie veranderlikes te vestig. Die doelwit van hierdie studie is dus om 'n kwantifiseerbare verwantskap tussen hierdie veranderlikes en aandeelhouers welvaart te ontwikkel. In die literatuur gedeelte van hierdie studie val die klem op die onderskeid wat getref word tussen die rekeningkundige metodes om aandeelhouers welvaart te bepaal, in teenstelling met die sogenaamde ekonomiese gebaseerde metodes. Daar word getoon dat die ekonomiese gebaseerde metodes, en in die besonder ekonomiese waarde toevoeging (in Engels, "Economic value added" , of "EVA"), besondere voordele het bo enige ander metode om die waarde wat bestuur toegevoeg (of vernietig) het, te bepaal. Terwyl EVA as interne maatstaf van aandeelhouers welvaart dien, is markwaarde toevoeging (in Engels "Market value added" of "MVA") die eksterne of markgedrewe metode om waarde te bepaal. Nadat die veranderlikes wat aandeelhouers welvaart soos verteenwoordig deur EVA bepaal is, is die navorsings metodologie, insluitend die statistiese tegnieke wat gebruik is sowel as die bepaling van die steekproef, behandel. Die resultate van die empiriese analise is bespreek en vergelyk met die teoretiese beginsels. Die korrelasie tussen MVA en (verdiskonteerde) EVA was die hoogste en was selfs grater wanneer inflasie aanpassings aan die data gemaak was. Laer positiewe korrelasies is gevind tussen MVA en die meer tradisionele maatstawwe ter bepaling van aandeelhouers welvaart soos opbrengs op totale bates, opbrengs op aandeelhouers fondse, verdienste per aandeel en dividend per aandeel. Nadat daar bewys is dat EVA die beste aanwyser is van waarde wat deur bestuur geskep of vernietig is, is dit nodig om EVA te analiseer in terme van sy veranderlikes of komponente. lndien EVA as afhanklike veranderlike en 'n aantal onafhanklike veranderlikes by wyse van 'n stapsgewyse regressie analise ontleed word, is dit verskeie inkomste staat verhoudingsgetalle wat die beste verduideliking (soos verteenwoordig deur r2) van aandeelhouerswelvaart gee. Geen betekenisvolle resultate kon van verskeie balansstaat verhoudingsgetalle verkry word nie. Met hierdie resultate as basis word verskeie aanbevelings aan bestuur gemaak oor die bestuur en toevoeging van waarde vir aandeelhouers op die mees doelmatige wyse. Die beoefening van waardemaksimering is nie maklik nie, maar EVA en sy veranderlikes kan die taak vergemaklik. Copyright / Thesis (DBA)--University of Pretoria, 2012. / Business Management / unrestricted

This study examines the impact of reducing tick size and, in particular decimalization on stock splits. Based on previous studies, this study examines hypotheses in the following three areas: first, market reaction around stock split announcement and ex-dates, second, the effect of tick size on liquidity after stock split ex-dates, and third, the effect of tick size on return volatility after stock split ex-dates. The impact of tick size on market reaction around split announcement and ex-dates is measured by abnormal returns and buy and hold abnormal returns (BHARs). Also, this study investigates the long term impact of decimalization on market reaction for small, medium, and large firms for the three different tick size periods. The effect of tick size on liquidity after stock split ex-dates is measured by turnover, relative bid ask spread, and market maker count. The effect of tick size on return volatility around stock split announcement and ex-dates is measured by return standard deviation. Also, this study investigates the long term impact of decimalization on volatility after split ex-dates for small, medium, and large firms for three different tick size periods.

Traditional portfolio theory suggests that, in equilibrium, only the market risk is priced in the cross-section of expected stock returns. However, if the market is not perfect and investors are constantly changing investing behaviors based on their perceptions about future market outlook, then non-traditional risk factors could potentially provide significant power of describing the expected stock returns. This dissertation has two essays on the pricing of volatility, in which the market is not assumed to be frictionless or perfect. Essay 1 focuses on the pricing of individual volatility in penny stocks. Empirical results show that individual volatility plays an important role in describing the average cross-sectional returns of penny stocks. Resorting to the rolling portfolio approach, evidences indicate that portfolios consisting of penny stocks with high individual volatilities, on average, earned much higher returns than portfolios consisting of penny stocks with low individual volatilities. This effect is statistically significant when multiple factors are controlled simultaneously. Essay 2 focuses on the pricing of the market volatility among individual stocks. Following the rolling portfolio method, Essay 2 constructs portfolios that consist of individual stocks with various market volatility exposures. Traditional risk factors such as market beta, size, book-to-market, and momentum are controlled respectively to obtain more detailed analyses. Empirical results yield a negative pricing of the market volatility and it is more prominent in stocks that have high market beta, small size, and high book-to-market.

The purpose of this thesis is to design a storage system in a machine engineering company with the expected expansion of production volume. The first part describes the theoretical analysis of the processed issue. This is followed by an analysis of the production system and the current situation in the company. The main part consists of determining the amount of inventory, storage location, storage equipment selection and layout design. The part of proposal is also cutting department. Based on the evaluation of selected criteria, more useful version was chosen. The final part is devoted to the economic evaluation of its realization.

Extensive empirical evidence shows that passively managed index-tracking mutual funds and exchange-traded funds (ETFs) outperform actively managed portfolios. On the other hand, there are abundant findings that stocks admitted to an index outperform those deleted from the index. This study tests an issue that has been largely ignored in academic studies but is highly related to the above two seemingly disparate areas of researches. The paper examines the long-term performance of non-index individual stocks and stock portfolios relative to the index. The study proposes that the inclusion and maintenance criteria for index component stocks are long-term performance indicators. Therefore, an index can be regarded as a passively managed and highly diversified portfolio of expected outperformers. Using a complete set of H-shares listed on HKEx for the period 2001 to 2017, the study finds that 44.25% (55.75%) of individual stocks have positive alphas (negative alphas) relative to the index. The average alpha for the family of all non-index stock is negative but statistically insignificant, i.e., 77 positive alphas and 97 negative alphas. Most alphas are statistically insignificant, but only 5 are positive, and 2 are negative at 5% significance level. From the risk and return perspective, the index dominates two-third of the non-index H-shares. Regression analyses show that H-index outperforms non-index H-shares in general and the market capitalization and turnover ratio play an important role in determining the long-term performance of H-shares, which are the major factors for the admission and maintenance criteria of H-index. The findings strongly support our conjecture that the index admission and maintenance criteria are the quality assurance of individual constituent stocks of an index. The paper provides incremental evidence on the widely documented result that index trackers outperform actively managed portfolios. Nevertheless, the study extends the recent literature on the long-term performance of stocks that are admitted to (or excluded from) an index. The findings of the study have significant implications for securities markets participants, including index providers and ETF issuers