This dissertation presents three different closely related topics on the value of eco-friendliness in the financial market. The first essay attempts to estimate hedonic stock price model to find a contemporaneous relationship between stock return and firms’ environmental performance and recover the value of investor’s willingness to pay of eco-friendliness. This study follows stock and environmental performances of the 500 largest US firms from 2009 to 2012. The firms’ environmental data come from the Newsweek Green Ranking, both aggregate measures: green ranking (GR) and green score (GS), and disaggregate measures: environmental impact score (EIS), green policy and performance score (GPS), reputation survey score (RSS), and environmental disclosure score (EDS). The results show a non-linear relationship between environmental variables and stock return, i.e. upside down bowl shape or increasing in decreasing rate. That means for low green ranking firms the marginal effect is positive while for high green ranking firms the marginal effect is negative. The investor’s willingness to pay (WTP) for a greener stock for firms in the lowest 25 green ranking, on average, is 0.0096% higher stock price. The second essays attempt to determine if a firm’s environmental performance affects future systematic risk. Systematic risk measures an individual stock’s volatility relative to the market price. This study also uses the Newsweek Green Ranking’s environmental variables. The results show significant evidence of a non-linear relationship between green variables and systematic (market) risk, but the shape is not unanimous for all environmental variables. The shape of the relationship for green ranking (GR), for example, is U-shape. This means that for the firms in the bottom rank, improving rank will lower systematic (market) risk, and for the firms in the top rank improving rank will increase systematic (market) risk. On average the marginal effect for the firms in the bottom and top 25 firms are -0.2% and 0.09% respectively. The third essay is the effect of a firm’s environmental performances on a firm’s idiosyncratic risk. Idiosyncratic risk measures an individual stock’s volatility independent from the market price. This study also uses the Newsweek Green Ranking’s environmental variables. The results show significant non-linear relationships between environmental variables and idiosyncratic risk, even though there is no unanimous shape among the environmental variables. In the case of green ranking, for example, it has U-shape; for the firms in the bottom rank, improving green ranking will lower idiosyncratic risk and for firm in the top green ranking, improving green ranking will increase idiosyncratic risk. On average the marginal effect for firm in bottom and top 25 firms are -0.4% and 0.2% respectively.

Submitted by Stefano Toto (stefanototo92@gmail.com) on 2015-03-24T18:06:58Z No. of bitstreams: 1 FInal version Stefano Toto .pdf: 2666174 bytes, checksum: a92ae5ee1fd88876c05d33145bf36d74 (MD5) / Approved for entry into archive by Luana Rodrigues (luana.rodrigues@fgv.br) on 2015-03-30T13:27:41Z (GMT) No. of bitstreams: 1 FInal version Stefano Toto .pdf: 2666174 bytes, checksum: a92ae5ee1fd88876c05d33145bf36d74 (MD5) / Made available in DSpace on 2015-03-30T13:36:05Z (GMT). No. of bitstreams: 1 FInal version Stefano Toto .pdf: 2666174 bytes, checksum: a92ae5ee1fd88876c05d33145bf36d74 (MD5) Previous issue date: 2015-02-27 / This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor model thus to better replicate the systematic risk of a market. The new simulations reveal some new aspects of emerging markets’ expected returns: the unpredictability of the emerging markets’ returns with the global factor does not depend on the year of emergence and that the unsystematic risk explains the returns of emerging markets for a much larger period of time. The results also reveal the high impact of Exchange rate, Commodities index and of the Global factor in emerging markets’ expected return.

Submitted by Hubertus Schlögl (tassilo.schloegl@web.de) on 2018-02-01T16:37:02Z No. of bitstreams: 1 Macroeconomic Indicators and Systematic Risk - Is there a difference between Emerging and Developed Markets? Hubertus Tassilo Schlögl 338933 - EESP.pdf: 877788 bytes, checksum: 2e7cfedabad96e3c0375688472e9cb5e (MD5) / Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2018-02-01T17:55:54Z (GMT) No. of bitstreams: 1 Macroeconomic Indicators and Systematic Risk - Is there a difference between Emerging and Developed Markets? Hubertus Tassilo Schlögl 338933 - EESP.pdf: 877788 bytes, checksum: 2e7cfedabad96e3c0375688472e9cb5e (MD5) / Made available in DSpace on 2018-02-02T11:15:26Z (GMT). No. of bitstreams: 1 Macroeconomic Indicators and Systematic Risk - Is there a difference between Emerging and Developed Markets? Hubertus Tassilo Schlögl 338933 - EESP.pdf: 877788 bytes, checksum: 2e7cfedabad96e3c0375688472e9cb5e (MD5) Previous issue date: 2018-01-16 / This explorative study is about the influencing effects of US macroeconomic announcements on changes in systematic risk with the focus on the difference between emerging and developed markets. Seven different US macroeconomic indicators have been examined and used to estimate betas as a proxy for the systematic risk around the announcement dates. In the period from 1996 until 2017, betas have been estimated over a three-month pre- and post window, resulting in 27 announcements per US macroeconomic indicator. The study also tries to provide insights of the consequences for portfolio managers, based on patterns of changes in betas and their relationship with changes in Sharpe ratios. The study results reveal that betas change consistently over the sample period, however, to a small magnitude. Also, the changes in mean Sharpe ratios around these announcement dates have not been found as statistical significant. However, the study results indicate that there is a positive relationship between changes in Sharpe ratios and changes in betas for developed countries as the Pearson correlation coefficient illustrates. / O seguinte estudo analisa a influência das publicações de dados macroeconómicos nas variações do risco sistemático, salientando os diferentes efeitos sobre os mercados emergentes e os países desenvolvidos. Foram examinados sete diferentes indicadores macroeconómicos dos EUA, sendo estes utilizados para determinar uma estimativa dos valores do risco sistémico perto das datas das publicações macroeconómicos dos EUA. No período entre 1996 e 2017, os betas foram estimados sobre um intervalo de tempo de três meses antes e depois de cada publicação, resultando em 27 publicações por cada indicador do EUA. Nesta análise também se tenta explicar as consequências destes efeitos para os gestores de carteiras, baseando-se em padrões de variações dos betas e a sua relação com as variações dos Sharpe Ratios. Os resultados desta análise evidenciam que os betas variam consistentemente ao longo do período da amostra, ainda que numa baixa magnitude. Além disso, as variações no valor médio dos Sharpe Ratios nas datas próximas aos relativos anúncios económicos não são estatisticamente significativas. Contudo, os resultados desta análise indicam que existe uma relação positiva entre variações dos Sharpe Ratios e variações nos betas dos países desenvolvidos, como o coeficiente de correlação de Pearson demonstra.

企業透明度高低對投資者與企業都有一定影響，對於透明度高企業，投資者比較不會因為資訊不對稱而遭受損失，且能夠有效監督管理者可能有的自利行為；而企業若是透明度較高，也能夠降低在市場募集資金的成本，因此本研究試圖找出對公司透明度能有一定反映程度的指標，藉此作為評價企業透明度參考依據，進一步對研究企業透明度與資金成本的關係有所助益；此外，以我國市場為研究對象，找出會影響本研究找出透明度衡量指標因素，探討可能影響我國企業透明度因素。 本研究以系統風險和一般股價評估模式推論認為系統風險應該對於企業透明度有一定解釋能力，因此本研究以系統風險做為透明度衡量指標，並探討可能影響其因素，可能影響因素則包括研究發展費用比率、公司規模、外資法人持股比率、營業費用比例以及家族企業等因素；由於過去文獻指出系統風險會受營運槓桿與財務槓桿影響，因此本研究將其做為控制變數，此外，股權集中度或許會影響股價的波動，進而影響系統風險，因此本研究也將此做為控制變數。 本研究採用迴歸分析方法研究，研究結果指出，研究發展費用比率以及家族企業對系統風險也就是公司透明度會有所影響，與預期相同，而營業費用比率則無相關，至於外資法人持股比率和公司規模則與預期方向相反，綜觀其原因或許是因為外資在台灣可能以短線進出為主，而規模較大公司又是外資青睞對象而使此兩個指標與預期相反。

此研究主要研究壽險業的系統性風險與違約風險之評價，基於投資組合的波動度去建立隨機過程模型。特別是那些隱含無法被多角化的財務風險、系統性風險，透過研究，使用Heston(1993)模型去描述標的資產的隨機波動程度比以往使用Black-Scholes(1973)模型描述股價的波動變化更能反映實際的風險狀況，並透過CIR過程來表示瞬間的波動程度。在這個模型之中，把過去以平賭測度決定違約選擇權的方法延伸。此外透過探討違約價值之敏感度，根據不同的情境測試對於壽險公司負債的影響。最後透過數值的結果與敏感度分析隨機波動模型與確定性的模型之差異。 當資本準備增加時，資產與負債比提高，因負債仍固定承諾予保戶之利率增長，而資產因應系統性風險的發生而減損仍能支付負債，致使違約風險降低，進而使得評價時點的違約金額降低。當系統風險發生時，風險值上升，違約價值為右偏分布，代表在極端條件下有可能有極大的損失；反之，當整個金融體系經濟情勢良好，公司擁有足夠的經濟資本時，風險值下降，滿足VaR75與CTE65的法規限制，此時公司的清償能力足以反映系統性風險。 / This paper considers the problem of valuating the default option of the life insurers that are subject to systematic financial risk in the sense that the volatility of the investment portfolio is modeled through stochastic processes. In particular, this implies that the financial risk cannot be eliminated through diversifying the asset portfolio. In our work, Heston (1993) model is employed in describing the evolution of the volatility of an underlying asset, while the instantaneous variance is a CIR process. Within this model, we study a general set of equivalent martingale measures, and determine the default option by applying these measures. In addition, we investigate the sensitivity of the default values given regulatory forbearance for the life insurance liabilities considered. Numerical examples are included, and the use of the stochastic volatility model is compared with deterministic models. As reserve of capital is increasing, asset-liability ratio is also increasing. The liability grew up with promised interest rate, and it could be covered by the asset when the systematic risk events happened. Therefore, the default risk was decreasing, that caused the default value decreasing. When the systematic risk events happened, the value of risk was increasing, and the default value was positive skew distribution. That means the maximum loss will be coming in the extreme case. On the other hand, when prosperity economy occurred, the value of risk was decreasing, which in compliance with the law of VaR75&CTE65 rules, and the insurance company had enough capital to face the systematic risk events.

Σε αυτήν την έρευνα, κατασκευάσαμε την διορθωμένη για κίνδυνο κατάταξη αποδόσεων για την περίπτωση των ελληνικών μετοχικών αμοιβαίων κεφαλαίων. Η διορθωμένη για κίνδυνο απόδοση μετρά τη ποσότητα του κινδύνου και εκφράζεται γενικά ως αριθμός ή κατάταξη. Οι διορθωμένες για κίνδυνο αποδόσεις εφαρμόζονται σε μεμονωμένα αξιόγραφα, επενδυτικά κεφάλαια και σε χαρτοφυλάκια. Η εμμονή ορίζεται ως ένα φαινόμενο όπου η σχετική (κατάταξη) απόδοση τείνει να επαναλαμβάνεται σε διαδοχικά χρονικά διαστήματα. Εφαρμόσαμε διάφορα τεστ προκειμένου να αξιολογηθεί η παρουσία ή όχι της εμμονής. Τα εμπειρικά αποτελέσματα μας έδειξαν ότι η εμμονή γίνεται πιο αδύναμη σε μακροπρόθεσμο χρονικό ορίζοντα. / In this research we constructed the ranking of the risk adjusted returns in the case of the Greek equity mutual funds market. Risk adjusted returns is a concept that refines an investment's return by measuring how much risk is involved in producing that return, which is generally expressed as a number or rating. Risk-adjusted returns are applied to individual securities and investment funds and portfolios. Persistence is defined as a phenomenon where relative (ranked) performance tends to repeat across successive time intervals. We apply various tests in order to assess the presence or not of persistence. Our analysis documents that persistence becomes weaker as the investment horizon is increased.

Submitted by Luiz Felipe Poli Guanais (fguanais@hotmail.com) on 2014-12-04T21:20:32Z No. of bitstreams: 1 Dissertação - Luiz Felipe Poli Guanais.pdf: 620638 bytes, checksum: 02d37cff8a2c05c0d78f721b513a6b18 (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Luiz, bom dia. Seu trabalho não está de acordo com as regras. Por gentileza entrar em contato no telefone 3799-7892. on 2014-12-05T11:28:59Z (GMT) / Submitted by Luiz Felipe Poli Guanais (fguanais@hotmail.com) on 2014-12-08T18:14:11Z No. of bitstreams: 1 Dissertação - Luiz Felipe Poli Guanais.pdf: 938612 bytes, checksum: 5e47fb061492e1f2070ebe6b698fa28f (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-12-08T19:02:27Z (GMT) No. of bitstreams: 1 Dissertação - Luiz Felipe Poli Guanais.pdf: 938612 bytes, checksum: 5e47fb061492e1f2070ebe6b698fa28f (MD5) / Made available in DSpace on 2014-12-08T19:03:48Z (GMT). No. of bitstreams: 1 Dissertação - Luiz Felipe Poli Guanais.pdf: 938612 bytes, checksum: 5e47fb061492e1f2070ebe6b698fa28f (MD5) Previous issue date: 2014-11-25 / O objetivo do presente trabalho foi, face ao grau de integração da economia brasileira, testar o poder explicativo do Modelo Goldman Sachs sobre os retornos esperados por um investidor estrangeiro no mercado nacional, ao longo do período 2004-2013. Em um primeiro momento, foi testado o grau de integração da economia brasileira para o período 2004-2013, buscando entender o contexto em que o Modelo Goldman Sachs foi empregado. Posteriormente, para o teste do modelo, calcularam-se os betas dos fatores de risco dos ativos analisados (risco de mercado e risco país) e procedeu-se à regressão com dados em painel dos retornos esperados sobre os betas desses ativos. Verificou-se que o risco país não se mostrou estatisticamente significante para a explicação dos retornos esperados, o que indica que é adicionado de maneira ad hoc pelos praticantes de mercado para o cálculo do custo de capital próprio de acordo com o Modelo Goldman Sachs. Assim, embora haja evidências de uma relação positiva e significante entre risco sistemático e retorno, os resultados para o risco país demonstram que o Modelo Goldman Sachs não se mostrou satisfatório para a explicação dos retornos esperados no mercado brasileiro ao longo dos últimos dez anos. / Considering the degree of integration of the Brazilian economy, this paper seeks to test the explanatory power of the Goldman Sachs Model for the expected returns by a foreign investor in the Brazilian market during the past ten years (2004-2013). It begins by testing the degree of integration of the Brazilian economy during this period, in an attempt to better understand the context in which the model has been used. In sequence, the risk factor betas (market risk and country risk) of the sample stocks were estimated and a panel regression of expected stock returns on these betas was performed. It was found that country risk is not a statistically significant explanation of expected returns, indicating that it has been added in an ad hoc fashion by market practitioners to cost of equity calculations. Thus, although there is evidence of a positive and significant relationship between systematic risk and return, the results for country risk demonstrate that the Goldman Sachs Model was not a satisfactory explanation of expected returns in the Brazilian market in the past ten years.

Submitted by glenda rossetti (glenda.rossetti@hotmail.com) on 2017-02-14T21:47:23Z No. of bitstreams: 1 Dissertação_GR_VF.docx: 838594 bytes, checksum: 74fa4382a60e547afda6b97112754b86 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Glenda, boa noite Para que possamos aceitar seu trabalho, por gentileza, deixe o seu nome em letras maiúsculas. Em seguida, submeter novamente. O trabalho deve estar em PDF. Att on 2017-02-14T22:36:30Z (GMT) / Submitted by glenda rossetti (glenda.rossetti@hotmail.com) on 2017-02-14T22:42:30Z No. of bitstreams: 1 Dissertação_GR_VF.docx: 838594 bytes, checksum: 74fa4382a60e547afda6b97112754b86 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Glenda, Por gentileza, na capa, contra capa seu nome deve estar em letras maiúsculas. Salvar o arquivo em PDF para submete-lo novamente. Att on 2017-02-14T23:00:11Z (GMT) / Submitted by glenda rossetti (glenda.rossetti@hotmail.com) on 2017-02-14T23:06:00Z No. of bitstreams: 1 Tese.pdf: 1154738 bytes, checksum: 1f5b61ad6de4e5cc8e13490446a2f782 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2017-02-14T23:12:23Z (GMT) No. of bitstreams: 1 Tese.pdf: 1154738 bytes, checksum: 1f5b61ad6de4e5cc8e13490446a2f782 (MD5) / Made available in DSpace on 2017-02-15T15:09:04Z (GMT). No. of bitstreams: 1 Tese.pdf: 1154738 bytes, checksum: 1f5b61ad6de4e5cc8e13490446a2f782 (MD5) Previous issue date: 2017-01-19 / This paper has two objectives: verify whether systematic risk is different across countries by comparing risk return ratio of market portfolios and equally weighted portfolios (1/N) to verify their efficiency and the levels of diversification across countries by showing risk behavior increasing diversification. Monthly dollars returns were selected from the forty (40) largest shares of fourteen (14) capital markets indexes of the major developed and emerging economies during the period from June 30, 2011 to May 31, 2016 to construct equally weighted portfolios (1/N) and compare them to market portfolios. Based on the assuming of Modern Portfolio Theory (MPT), the empirical tests have shown evidence that systemic risks are different between the capital markets of the main developed and emerging economies, that market portfolios are not efficient and despite of this, the number of shares required to achieve a certain level of diversification is similar across countries. The results found are in agreement with the literature researched both internationally and nationally. / Este trabalho tem dois objetivos: verificar se o risco sistemático é diferente entre países comparando a relação risco retorno dos portfólios de mercado com portfólios igualmente ponderados (1/N) para verificar sua eficiência e se os níveis de diversificação entre os países mostrando o comportamento do risco com o aumento da diversificação. Foram selecionados retornos mensais em dólares das quarenta (40) maiores ações de catorze (14) índices de mercados de capitais das principais economias desenvolvidas e emergentes no período de 30 de Junho de 2011 á 31 de Maio de 2016 para construir portfólios igualmente ponderados (1/N) e compará-los aos portfólios de mercado. Partindo dos pressupostos da Teoria Moderna do Portfólio (MPT) os ensaios empíricos realizados neste trabalho revelaram evidências de que os riscos sistêmicos são diferentes entre os mercados de capitais das principais economias desenvolvidas e emergentes, que os portfólios de mercados não são eficientes e apesar disso, o número de ações necessárias para adquirir certo nível de diversificação é semelhante entre os países. Os resultados encontrados estão de acordo com a literatura pesquisada tanto internacionalmente quanto nacionalmente.

Made available in DSpace on 2010-04-20T20:14:41Z (GMT). No. of bitstreams: 1 61070100624.pdf: 139346 bytes, checksum: b7db5e3a50a7aa43241c708ea8aacd14 (MD5) Previous issue date: 2009-06-23T00:00:00Z / As teorias sobre risco sistemático iniciadas em 1932 com Knight sempre buscaram determinar variáveis que pudessem explicar e determinar o nível de risco sistemático de um sistema financeiro. Neste sentido, este estudo propôs-se a investigar as variáveis que possam determinar o nível de risco sistemático de um país, utilizando um modelo de mercado para estimação de betas e regressões com dados em painel sobre uma base de dados de janeiro de 1997 a setembro de 2008 para 40 países. Utilizou-se como variáveis, o PIB, inflação, câmbio, taxa real de juros e concentração de mercado. Verificou-se que o modelo apresenta indícios que as variáveis utilizadas podem ser consideradas como determinantes do risco sistemático e ainda, que o nível de concentração de um mercado acionário pode determinar o nível de risco sistemático de um país. / The theories about systematic risk initiated in 1932 with Knight always sought to determine variables that could explain and determine the level of systematic risk of a financial system. In this sense, this study proposes to investigate the variables that may determine the level of systematic risk of a country, using a market model to estimate the betas and regressions with panel data in a database on January 1997 to September 2008 for 40 countries. As variables, were used GDP, inflation, exchange rate, real interest rate and market concentration. It was verified that the model shows evidence that the variables used can be considered as determinants of systematic risk and that the concentration level of a stock market may determine the level of systematic risk of a country.

Les fonds d'investissement islamiques et conventionnels se retrouvent dans la mesure où ils ont la même finalité. En revanche, à la différence des fonds conventionnels, les fonds islamiques se doivent d'investir conformément à un ensemble de règles de sélection. Cette thèse s'intéresse à élaborer un cadre d'analyse théorique et empirique permettant d'expliquer les frais de gestion, ainsi que la performance et le risque des fonds d'investissement. Ainsi, ce travail commence par élaborer une analyse théorique autour des contrats de partage des pertes et des profits (venture contracts) confrontés aux problèmes d'asymétrie d'information. Un modèle théorique, en présence de problème de sélection adverse entre le gérant et l'apporteur de fonds, montre que les degrés d'aversion au risque respectifs du gérant et de l'investisseur ont un impact sur la négociation des frais de gestion indexés sur la performance périodique du fonds (carried interest). Les conclusions de ce modèle nous incitent à expliquer empiriquement le choix des partenaires du fonds concernant les clauses de rémunération, la performance et le risque des fonds d'investissement. Pour ce faire, nous élaborons une base de données unique qui comporte un échantillon international de fonds islamiques et conventionnels regroupés par société de gestion. En distinguant les fonds islamiques des fonds conventionnels, le cadre légal, les conditions politiques et économiques expliquent leurs frais, leurs performances et leurs risques. / Islamic and conventional investment funds have the same purpose. However, unlike conventional funds, Islamic funds offer different investment contracts and have to invest in accordance with a set of selection rules. This dissertation focuses on developing theoretical and empirical analysis framework to explain the fixed and performance fees, the performance and the risk of investment funds. Thus, we begin by developing a theoretical analysis about profit and loss-Sharing contracts (venture capital) that face agency problems. Based on this theoretical framework, a theoretical model, in the presence of adverse selection problem between the fund manager and the investor, shows that the risk aversions of the fund manager and the investor have respectively an impact on the periodic performance fees (carried interest) during the bargaining stage. The conclusions of this model lead us to empirically explain the terms of compensation and profit-Sharing, the performance and the risk of funds. To achieve our objective, we create a unique database that has an international sample of Islamic and conventional funds grouped by management company. By distinguishing between Islamic and conventional funds, the legal, political and economic conditions explain their fees, performance and risk.