Yes / We study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 4756 blue chip firms from 50 international equity markets for 13 years, we show through tests of variants of the augmented-CAPM, that a two factor CAPM augmented with a factor mimicking portfolio based on our new investor protection metric yields the highest explanatory power, especially for markets that exhibit true variation in ownership types.

Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-06-12T14:43:29Z No. of bitstreams: 1 LilianSantosMarquesSeverinoDissertacao2016.pdf: 852227 bytes, checksum: a6811612b93a51167387d223e191b16c (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-06-12T14:43:48Z (GMT) No. of bitstreams: 1 LilianSantosMarquesSeverinoDissertacao2016.pdf: 852227 bytes, checksum: a6811612b93a51167387d223e191b16c (MD5) / Made available in DSpace on 2017-06-12T14:43:48Z (GMT). No. of bitstreams: 1 LilianSantosMarquesSeverinoDissertacao2016.pdf: 852227 bytes, checksum: a6811612b93a51167387d223e191b16c (MD5) Previous issue date: 2016-12-16 / This study aims to analyze the behavior of the real estate market in the Brazilian cities of S??o Paulo and Rio de Janeiro from 2008 to 2016 as seen through the analysis of monthly pricing data for both sales and rental markets, apparent consumption, stock of properties, and market return (IBOVESPA). Two models were estimated, the first, the CAPM, aimed at analyzing how return from investment in housing in both cities compared to the market return (IBOVESPA). The second model, the CCAPM was modified to suit the presence of preference for ownership of property. This study concludes that regarding the change-over of the return rates in Rio de Janeiro and S??o Paulo, investment in the housing market in both cities is negatively affected by the change-over of the return in investments on the whole stock market. Moreover, when we include the consumption in the pricing model, there is an intertemporal discount factor for consumption of roughly 0,98 per month for both cities, which confirms that Brazilian real estate buyers are more impatient than their American counterparts, and that the percentage of their income spent on consumption and investment in housing varies from one city to another. / O presente trabalho trata do comportamento do mercado imobili??rio nas cidades de S??o Paulo e Rio de Janeiro no per??odo de 2008 a 2016, analisando dados mensais de pre??os de venda e de aluguel de im??veis, consumo aparente, estoque de im??veis e taxa de retorno de mercado (IBOVESPA). Foram estimados dois modelos, o primeiro, o CAPM, visou analisar o comportamento do retorno do investimento imobili??rio das duas localidades em rela????o ao retorno de mercado e o segundo modelo, o CCAPM modificado para exist??ncia de prefer??ncias pela propriedade de im??veis. O estudo conclui, em rela????o ??s taxas de retorno, que a varia????o do investimento no mercado imobili??rio, tanto no Rio de Janeiro quanto em S??o Paulo, ?? afetada de forma negativa pela varia????o do retorno de mercado. Al??m disso, quando inclui o consumo no modelo de precifica????o, observa-se um fator de desconto intertemporal do consumo em torno de 0,98 ao m??s para as duas cidades, confirmando que o consumidor brasileiro ?? mais impaciente que o americano, e que os percentuais da sua renda destinada ao consumo e ao investimento imobili??rio diferem de uma cidade para a outra.

This study employs widely excepted asset pricing models to test their explanatory power in the context of Istanbul Stock Exchange listed companies between 1990 and 2010. The risk factors, beta, size, book-to-market equity, and momentum are used to form portfolios and their factor loadings are estimated. The results of this study are mostly in line with the previous academic research, and some unique attributes of the return generation mechanism of Istanbul Stock Exchange are reported.

Die Wahl risikoadäquater Kapitalkosten ist Voraussetzung für eine Investitionsentscheidung im Interesse der Investoren. In der Energiewirtschaft wird die Ermittlung der Eigenkapitalkosten mit Hilfe des Capital Asset Pricing Models (CAPM) infolge fehlender Kapitalmarktdaten für Investitionen in regenerative Energien sowie durch die Existenz neuer Marktakteure mit eingeschränkter Risikostreuung allerdings mehr und mehr erschwert. Der vorliegende Beitrag beschreibt ein Forschungsvorhaben zur Entwicklung eines modellbasierten Ansatzes, der die veränderten Bedingungen durch den Wandel in der Energiewirtschaft aufgreifen und damit verbundene Problemfelder lösen soll.

A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jordanian stock market. The study was informed by the modern portfolio theory and specifically by the single-factor CAPM developed by Sharpe, Lintner, and Mossin. The research questions for the study examined the factors that may explain the variation in the expected rate of return on stocks in the Jordanian stock market and the relationship between the expected rate of return and factors of market return, company size, financial leverage, and operating leverage. A causal-comparative quantitative research design was employed to achieve the purpose of the study by testing the listed companies on the Amman stock exchange (ASE) for the period from 2000 to 2015. Data were collected from the ASE database and analyzed using the multiple regression model and t test. The results revealed that market return, company size, and financial leverage are not predictors of the expected rate of return while operating leverage is a predictor. The results of this study may contribute to positive social change by changing the way the individual investors and mutual funds managers select their investing portfolios which can lead to better resource distribution in the economy.

Die vorliegende kumulative Dissertationsschrift beschäftigt sich mit theoretischen Fragestellungen der Finanzwissenschaft im Bereich des Asset Pricing und im Detail der Unternehmensbewertung. Dabei wird sowohl auf Problemstellungen der akademischen und praxisnahen Forschung eingegangen. Der erste Artikel beschäftigt sich mit der Fragestellung welche Implikationen die Annahme einer arithmetischen Brownschen Bewegung auf bestimmte Aspekte der Unternehmensbewertung hat. Es folgen drei Artikel die sich auf unterschiedlicher Weise mit der Zinsschrankenregelung auseinandersetzen. Die darauf folgenden zwei Artikel behandeln hauptsächlich die Modellierung von Insolvenz im Rahmen der Unternehmensbewertung bei Annahme verschiedener Finanzierungspolitiken. Der achte Artikel geht näher auf die Thematik der empirischen Bestätigung bestimmter Kapitalstrukturtheorien ein. Die Dissertation schließt mit einem Artikel zu wichtigen Parametern für die Unternehmensbewertung.

Die Wahl risikoadäquater Kapitalkosten ist Voraussetzung für eine Investitionsentscheidung im Interesse der Investoren. In der Energiewirtschaft wird die Ermittlung der Eigenkapitalkosten mit Hilfe des Capital Asset Pricing Models (CAPM) infolge fehlender Kapitalmarktdaten für Investitionen in regenerative Energien sowie durch die Existenz neuer Marktakteure mit eingeschränkter Risikostreuung allerdings mehr und mehr erschwert. Der vorliegende Beitrag beschreibt ein Forschungsvorhaben zur Entwicklung eines modellbasierten Ansatzes, der die veränderten Bedingungen durch den Wandel in der Energiewirtschaft aufgreifen und damit verbundene Problemfelder lösen soll.

Consumption-based asset pricing models (CCAPMs) connect asset returns with consumption growth. The poor empirical performance of early consumption models has led to the development of a number of more sophisticated models. Nevertheless, most models focus on the US markets, and very few CCAPMs have been examined in the Australian context. Given the importance of CCAPMs, the purpose of this thesis is to examine the connections between asset returns in the Australian market and consumption variables. The thesis also extends the analysis to examine CCAPMs in an international setting. There are four essays in this thesis. The first essay undertakes a thorough investigation of the empirical support for consumption-based asset pricing models in the context of several major Australian asset classes. Using the generalised method of moments (GMM) econometric approach, my study begins with the classic CCAPM originally tested by Hansen and Singleton (1982, 1983). The empirical analysis is then extended to test more-recent specifications of the CCAPM, including the habit-formation models of Abel (1990) and Campbell and Cochrane (2000), and the time nonseparable model of Epstein and Zin (1991). For each of the models examined, the results provide cautious support for the CCAPM especially in relation to equity returns. Size-sorted portfolios (in particular, portfolios of small stocks) and fixed-income returns cause the CCAPM restriction to be rejected. It also presents results that raise questions over the benefits from extensions of the classic CCAPM, such as habit-persistence and recursive utility models. The second essay studies the empirical performance of a linearised version of the classic CCAPM in the Australian market. The studies of Faff and Oliver (1998) and Faff (1998) are extended by employing more recent data and examining 25 size/BM portfolios as well as industry portfolios. It is found that by using the lagged portfolio returns, the linearised CCAPM for both industry portfolios and 25 size/BM portfolios is generally not rejected. The third essay empirically examines conditional CCAPMs where the conditioning variables are consumption factors such as the consumption-wealth ratio proposed by Lettau and Ludvigson (2001a, 2001b), the surplus consumption ratio (Campbell and Cochrane, 1999), and the labour income to consumption ratio (Santos and Veronesi, 2006). Here long-horizon return predictability tests are conducted using these factors and cross-sectional tests on whether these factors are priced using both 25 Size/BM portfolios and industry portfolios. Utilising the Fama-MacBeth (1973) procedure, it is found that conditional models perform better than unconditional models. However, these conditional models do not outperform the Fama-French three-factor model. The fourth essay tests the world CCAPMs. Using data for 17 countries, the following are tested: the classic world CCAPM under the assumption of complete international markets integration, the heterogeneous world CCAPM under the framework of Constantinides and Duffie (1996) and the world habit models. The finding here is that a large risk aversion is needed to resolve the equity premium puzzle for the classic world CCAPM; however, adding a cross-country consumption dispersion factor into the model significantly lowers the coefficients of consumption risk aversion. Unconditional linear factor models are also studied where it is found that the world consumption growth and the dispersion of the cross-sectional consumption growth provide some explanatory basis for the variation in the cross section of excess stock returns. More sophisticated consumption models perform better than the classic world CCAPM. This thesis makes a worthwhile contribution to the research literature on CCAPMs in Australia which up to now has been limited. It performs out-of-sample tests of major CCAPMs utilising several Australian asset classes. It not only provides some insights into the return predictability of the aggregate market index in Australia, but also presents some evidence of the explanation of the cross section of stock returns using consumption variables. Further, this thesis adds to the understanding of the

Zugl.: Oestrich-Winkel, Europ. Business School, Diss., 2009.

Frankfurt (Main), University, Diss., 2007.