In today's society there is an increasing globalization. This may create a challenge for publicly- owned firms to make its stocks more attractive in the market for the investors all around the world. One method firms could use to attract new investors is through engagement in Corporate Social Responsibility (CSR) activities; which has in the recent years received a lot of notable attention. On the occasion that there exist different types of CSR activities it would be beneficial for firms to receive broader knowledge about the different impacts that the different activities have on a firm's stock price. Therefore, the purpose of this thesis is to contribute to the literature by investigating if different types of CSR activities have different degree of impact on a firm’s stock price; and if so, which type of activity that would be more preferable for firms to undertake in order to increase their stock price. The effect of a firm’s engagement in CSR activities was studied by the use of an event study. The event study was centered on a firm’s announcements of CSR activities of type environmental, ethical and philanthropic. All the firms considered in the study are American firms and they were all listed on the New York stock exchange (NYSE). The time period used in the study were the years between 2006 and 2016. However, the year of 2008 was excluded because of the financial crisis. To measure whether CSR has an effect on a firm’s stock price a t-test was conducted based on the cumulative average abnormal return (CAAR). A sign test was also performed based on the number of positive CAR’s in the estimation window compared to those in the event window. The cumulative abnormal return (CAR) was also considered in order to draw further conclusions. The study found that a firm’s engagement in CSR did overall, have a positive effect on a firm’s stock price. Further, by studying the results from the various activities; the results show that a firm’s engagement in environmental and ethical CSR activities also have a positive effect on the stock price. Meanwhile, it appeared that philanthropic CSR had no impact on the stock price. To answer the question of which type of CSR activities that is the most beneficial for a firm to engage in if they intend to increase its stock price is to invest in environmental CSR activities.

published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

本研究共分五章，各章內容摘述如下： 第一章： 本章是研究導論，敘述本研究之動機、目的、範圍、方法、及限制。本研究之動機有二，一篇分析我國股價行為(Behavior)的特性，二為探討重要事件對股價波動影響的大小和方向，基於上述動機，希望能達成下列四個目的：(1)分析我國近年來股價波動的型態，(2)研究股價對重要事件的反應，(3)檢討內容分析法在股價分析上的實用性，及(4)印證前人之研究成果。本研究以民國五十九年至六十二年，四年期間為時間範圍，所稱重要事件是指：(1)經「聯合報」第一版以六欄三行以上頭條標題報導，及(2)同版另有一則以上報導與其有關之事件。本研究採用內容分析法，將一百三十件重要事件分為十二類，並加以量度，以進行定量分析。在諸多影響股價之因素中，本研究尚無法將其他因素對股價之影響加以隔離，此為本研究之最大限制。 第二章： 本章分析重要事件之特性，敘述重要事件分類及度量之方法，重要事件發生之特性及其意義。在五十九年至六十二年間，符合重要事件定義之新聞標題共一百三十則。依本研究之分類準則將其分為十二類，並將每則標題對我國整體利益之影響，按極好、好、稍好、中、稍壞、壞、極壞等七個等級加以度量，分別以+3，+2，+1，0，-1，-2，-3代表。重要事件之發生不具季節性，但各類重要事件有集中於某年發生之傾向。在一星期各天中，亦有明顯傾向顯示星期一發生之次數較其他各天為少，可能與假期及時差有關。在一百三十則重要事件中，有50%之等級為0，3.1%之等級為+3，4.6%之等級為-3，而各類重要事件之等級有相當差異，有的類本身即具有極端性質。 第三章： 本章分析我國股價波動型態，敘述股價指數，及波動之意義與特性。本研究有關股價資料係根據台灣證券交易所所編製之發行量加權股價指數而來，並以前一交易天指數為基礎，計算每一交易天股價漲跌之幅度。在五十九年至六十二年1174個交易天中，股價上漲之交易天有656天，佔55.9%，下跌之交易天有514天，佔43.8%。在一年各月中，七、八、九三個月，股價下跌之交易天數多於上漲之天數。一星期中各天，股價漲跌次數無明顯差異。我國股價漲跌次數頻繁，其漲跌只能維持一51.7%，兩天者佔24.2%，六天以上者只佔2.5%。本研究以每日股價與前一交易天相較，漲跌2.2%以上者為重大波動，在1174個交易天中，有89天股價發生重大波動，佔總交易天7.6%。 第四章： 本章分析重要事件對股價影響，敘述重要事件發生後，股價波動情況，及各類重要事件對股價之影響，對於六十二年中，股價劇烈波動影響研究信度(Reliability)之可能性，亦於本章提出檢討。據研究分析顯示，重要事件發生後第一交易天，股價發生波動之機會大於一般交易天，股價發生重大波動之機會，其信賴度可達90%，而其波動之幅度及方向，與重要事件之性質間，存在中度正相關（相關係數+0.58）。重要事件發生後第二交易天，股價亦有較易發生重大波動之傾向，但其信賴度只達73%，且波動之幅度及方向，與重要事件之性質存在低度負相關。重要事件發生後第三交易天，股價波動之情況與一般交易天無明顯差異。在各類重要事件中，以「金融情勢變化」、「外國對華政策於我不利」、及「經濟情勢變化」三類，對我國股價之影響最為顯著，其餘各類，影響不甚顯著。在研究時間範圍內，各年重要事件發生次數及股價重大波動次數間，相關係數達0.92，故六十二年股價劇烈波動不致引起分析結果之重大偏差。 第五章： 本章是研究結論，分為三個部份：研究成果部份，敘述研究發現；前人研究之印證部份。比較我國與美國股價對重要事件反應之異同；研究過程部份，報告本研究應用內容分析法之困難。

The purpose of this study is to investigate the daily return behavior of underlying common stocks in the period surrounding the option expiration date. A second purpose is to determine the variables that may be causing the differential capital market effect across firms. The hypothesis of a negative return effect in the expiration week followed by a positive effect in the subsequent week is tested first. It is shown that this pattern should be expected due to the enhanced opportunity for and profitability of position unwinding, arbitrage and manipulation activity as the expiration date approached. The study period covers 32 expiration periods from 1978 through 1981 and involves a sample of 138 underlying stocks. The study employs the market model for generating abnormal returns on a daily basis. The results support the hypothesis and in particular show that the most significant negative return behavior occurs on Thursday and Friday of the expiration week. The second phase of the study correlates, via a cross-sectional multiple regression model, the suggested expiration induced events of position unwinding, arbitrage and manipulation activities with the return behavior of the underlying stocks. It is hypothesized that those common stocks which exhibit the greatest negative returns in the expiration week are those stocks and related call options that are most heavily involved in position unwinding, arbitrage and manipulation activities. Trading volume in both the underlying stock and the options is suggested as a surrogate for these three activities. Therefore, volume is negatively related to underlying stock returns. Two additional explanatory variables of the expiration week returns are included in the regression model. A negative relationship is hypothesized if options are dually listed and a positive relationship if puts are traded. The results of the tests generally support these hypothesized functional relationships. The study concludes that, although significant abnormal returns and explanatory variables are found, the magnitudes are probably not large enough to profitably exploit after paying transaction and search costs. As puts trading appears to offset the market inefficiencies caused by call option trading, the concern of regulators that options trading unduly affects stock prices seems unwarranted.

This work attempts to make a breakthrough in the empirical research of market inefficiency by introducing a new approach, the value frontier method, to estimate the magnitude of stock bubbles, which has been an interesting topic that has attracted a lot of research attention in the past. The theoretical framework stems from the basic argument of Blanchard & Watson’s (1982) rational expectation of asset value that should be equal to the fundamental value of the stock, and the argument of Scheinkman & Xiong (2003) and Hong, Scheinkman & Xiong (2006) that bubbles are formed by heterogeneous beliefs which can be refined as the optimism effect and the resale option effect. The applications of the value frontier methodology are demonstrated in this work at the market level and the firm level respectively. The estimated bubbles at the market level enable us to analyse bubble changes over time among 37 countries across the world, which helps further examine the relationship between economic factors (e.g. inflation) and bubbles. Firm-level bubbles are estimated in two developed markets, the US and the UK, as well as one emerging market, China. We found that the market-average bubble is less volatile than industry-level bubbles. This finding provides a compelling explanation to the failure of many existing studies in testing the existence of bubbles at the whole market level. In addition, the significant decreasing trend of Chinese bubbles and their co-moving tendency with the UK and the US markets offer us evidence in support of our argument that even in an immature market, investors can improve their investment perceptions towards rationality by learning not only from previous experience but also from other opened markets. Furthermore, following the arguments of “sustainable bubbles” from Binswanger (1999) and Scheinkman & Xiong (2003), we reinforce their claims at the end that a market with bubbles can also be labelled efficient; in particular, it has three forms of efficiency. First, a market without bubbles is completely efficient from the perspective of investors’ responsiveness to given information; secondly, a market with “sustainable bubbles” (bubbles that co-move with the economy), which results from rational responses to economic conditions, is in the strong form of information-responsive efficiency; thirdly, a market with “non-sustainable bubbles”, i.e. the bubble changes are not linked closely with economic foundations, is in the weak form of information-responsive efficiency.

A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, Johannesburg, In partial fulfilment of the requirements for the degree of Master of Management (Finance and Investment Management), 2016 / The relationship between real economic activity and stock market performance is one that has been extensively researched throughout many decades, across many economies. Many issues and debates have stemmed involving this relationship, with the major ones including those of the significance of the relationship, nature of the relationship as well as causality and direction of causality within the relationship. This research paper examines this relationship within the South African context, comparing the pre and post 2008 global financial crisis periods. Results both in support of and contrary to theory were found as real economic activity had an immediate postitive response to shocks imposed on the stock index, whilst the stock index had an immediate negative response to shocks imposed on real economic activity. Through the use of granger causality testing, no causality was found in either direction. Furthermore, no major differences were noted between the pre and post crisis periods. / GR2018

Dissertation submitted in partial fulfillment of the requirements for the degree of Masters of Management in Finance and Investments (MMFI) in the Graduate School of Business Administration University of the Witwatersrand 2017. / The Western Cape Fishing industry has been a subject of discussion in numerous papers, in which the thrust has been to seek ways of sustaining the significantly fluctuating business. Common risk factors have been identified and strategies for managing the fishing business in turbulent periods have been proposed over the years. A closer examination of previous literature as well as empirical evidence indicate that the business has less to do to control or minimize the impact of most of its external factors, which include the Government imposed Total Allowable Catch (TAC) limit, the variability in natural marine populations, environmental factors and fuel price oscillations. In the interest of curbing the variability component which is borne by the internal factors, this study brings on board a quantitative dimension to the evaluation of the four commonly cited internal factors, namely; Earnings Per Share (EPS), Margin of Safety (MOS), Free Cash-Flow (FCF) and the Net-Worth (NW) on volatility of the fishing business. The performance of five large JSE-listed fishing firms: Brimstone, Oceana, Premier Fishing, Sea Harvest and Irvin & Johnson, is investigated with the view of modelling and forecasting their volatilities. Initially, the comparison of volatility forecasts from symmetric and asymmetric GARCH-family models is employed. The results of competing models are tested using cross-validation of mean error measures and the Superior Predictive Ability (SPA) and Model Confidence Set (MCS) tests. Later, a Vector Autoregressive (VAR) model is applied to assess the impact of the four commonly cited internal factors on volatility. The research analysis results reveal a generally high volatility of the Western Cape fishing sector stocks. When univariate GARCH models are applied, the asymmetric GARCH-family models (EGARCH and GJR), with fat tails, appear dominant in the sets of competing models for all stocks, which highlights evidence of the leverage effect in the sector. However, GARCH (1,1), outperformed its counterparts in modelling and forecasting Irvin & Johnson (AVI) and Oceana (OCE) stocks. In the VAR modelling process, the Granger-causality tests indicate limited causal-relationship between EPS, MOS, FCF and the company Net-worth with the companies’ volatility measures. The variance decomposition of the 10-year ahead forecast of volatility indicates that volatility lag, free cash flow and networth have the largest contribution on volatility in the long-run, followed by margin of safety. In view of the above observations, the research discusses recommendations to the Western Cape fishing business to improve business returns and sustainability. / MT2017

This write-up is submitted in partial fulfilment of the Master of Management Degree in Finance and Investments Degree. / Growth in commodity exporting economies, such as South Africa, is highly dependent on the revenue generated from exports. It is thus evident that as commodity prices fluctuate, income and the balance of payments will be accordingly impacted. This is further exacerbated by strong dependence on the imports of certain commodities. Oil is one such commodity on whose imports South Africa is highly dependent. Although natural gas is also imported, it is in lower quantities and is as such expected to impact South Africa to a lower extent. Coal, on the other hand, is among the main commodity exports and was expected to have an impact on (and be impacted by) South African macroeconomic fundamentals. In this study, we use a VECM and MGARCH model to test the interaction between South African macroeconomic variables and these three commodities. Our VECM findings indicate that oil and exchange rates are inflationary. This implies that an increase in oil prices and/or exchange rates (indicating a depreciation of the Rand against the U.S. Dollar) results in an increase in inflation. Inflation, on the other hand, propagates higher coal prices and to a lesser extent, higher interest rates. We account the latter to South Africa’s inflation targeting regime and the former to demand and supply dynamics which occur at RBCT as production costs increase (short-term coal export contracts and spot market sales). Natural gas is found to have weak impacts on interest rates and exchange rates. Our MGARCH model shows that only the innovations in natural gas and oil prices spillover into interest rates and exchange rate. There is no direct spillover captured. However, there is strong direct spillover from oil to inflation. Lastly, interest rates are found to have a strong direct volatility spillover to both oil and natural gas. We attribute this to the exchange rate impact that interest rates have and is supported by the exchange rate impact on commodity price volatility. We conclude that an in-depth understanding of triggers is pertinent for monetary and fiscal policy decisions in South Africa. Although the South African economy is relatively diversified compared to other developing countries, commodity price fluctuations do have a significant impact on economic performance. / MT2017

Thesis (M.Com.(Finance)--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2016. / This study sets out to investigate whether the Taylor Rule provides better the forecasts of the future short-term interest rates than the yield curve in the South African market. For the Taylor Rule we use OLS and use the open-market forward-looking Taylor Rule to forecast interest rates. For the yield curve, simple linear interpolation is used to derive forecast. We find that in the short term, forecasted one-month ahead interest rates closely track the actuals interest rates for both models. At longer horizons, there are larger deviations of forecasts from the actual. The RMSE analyses support the Taylor Rule as a superior forecasting model in all forecasting horizons. / MT2017

Sustainability performance of a firm is gaining equal importance as the economic performance in today’s world. Sustainability scores or ESG ratings have successfully emerged to be popular sustainability performance measurements for firms across the globe. Therefore, many studies have been done focusing on relating the firms’ sustainability performance with the financial performance from different aspects in different regions. Other studies have also looked at the relationship between sustainability performance/CSR/ESG and the risks related to the firms. But no study has been found that consider the relationship between ESG/CSR and more extreme stock price movements, i.e., so called stock price jumps, which is an important part of the total risk. To fill this knowledge gap, this study aims to investigate the relationship between firms ESG score, as well as how separate E, S and G scores, relate to stock price jumps.The Nordic countries are chosen as the research area as the four Nordic countries, Sweden, Finland, Denmark, and Norway are ranked among the top five countries in terms of ESG ratings for the last two years. Logically, the investors in these countries should be interested in the firms ESG score as well. Data source for this study is mainly the Thomson Reuters Eikon database. In total 105 companies listed in the Nordic Stock Exchanges have been selected as the sample within the time frame 2008-2017. The findings of this study indicate that, there is no statistically proven significant relationship between firms’ overall sustainability performance or the ESG score and the number of stock price jumps. However, some significantresults have been found at the country levelandforindividual E, S and G scores however. Therefore, individual environmental, social and governance scores have been recommended to be studied by investors before taking any investment decision if they want to reduce the probable stock price jump risk.