The standard Black-Scholes model is under the assumption of geometric Brownian motion, and the log-returns for Black-Scholes model are independent and Gaussian. However, most of the recent literature on the statistical properties of the log-returns makes this hypothesis not always consistent. One of the ongoing research topics is to nd a better nancial pricing model instead of the Black-Scholes model. In the present work, we concentrate on two typical 1-D option pricing models under the general exponential L evy processes, namely the nite moment log-stable (FMLS) model and the the Carr-Geman-Madan-Yor-eta (CGMYe) model, and we also propose a multivariate CGMYe model. Both the frameworks, and the numerical estimations and simulations are studied in this thesis. In the future work, we shall continue to study the fractional partial di erential equations (FPDEs) of the nancial models, and seek for the e cient numerical algorithms of the American pricing problems. Keywords: fractional partial di erential equation; option pricing models; exponential L evy process; approximate solution.

M.Com. (Finance and Investment Management) / The latest financial crisis that began in 2007 in the USA and spread to Europe, Africa and other continents has highlighted the importance of liquidity and its role in financial markets. One of the most commonly accepted mathematical models used in financial markets is the Black and Scholes option pricing model (BSM model). The assumptions in the BSM model have again been questioned during the current crisis and, in particular, the assumption of an unending risk-free supply of liquidity. This report reviews this assumption in the South African financial markets with local market participants. These views are polled through the use of a questionnaire to gauge these participants' views on liquidity using proxies or factors that impact overall liquidity. The results showed significantly different perspectives depending on the role of the participant as either market maker or price taker. The overall liquidity proxies used showed that local market participants believe these proxies impact liquidity. The view that liquidity is an unending commodity and thus priced as riskless was disputed by local market participants. The practical significance of the research problem in the local context should provide local participants with some insight into local perceptions on liquidity that may provide some practical tools when pricing or trading instruments in the local market.

Materiality is a pervasive accounting concept that has defied a precise quantitative definition. The Capital Asset Pricing Model (CAPM) approach to materiality provides a means for determining the limits that bound materiality. Also, the approach makes it possible to locate the point estimate within these limits based on certain assumptions. / Master of Science

No description available.

The purpose of this research is to examine the significance of a market factor, an industry factor, a company factor and a growth factor in explaining security returns. A secondary objective is to determine if interim financial statements--the balance sheet and the income statement--provide useful information in developing the return model. Market-related and industry-related systematic risks are constructed as surrogate measurements for the market and industry factors. The company factor is composed of one accounting return measure (profitability) and five accounting risk measures (accounting beta, operating leverage, financial leverage, dividend covariability, and cash flow beta). These variables are included as individual regressors in the return model. Also, a company index (the first principal component) is constructed and tested for its significance in the four-factor return model. The compound growth rate in total assets measures the growth of individual companies. Quarterly accounting information is used to measure these company and growth variables, and their significance provides evidence supporting the usefulness of interim financial statements. A multiple regression analysis is employed to develop the return model. In addition to the market factor, an industry factor, components of the company factor (dividend covariability and profitability), and a growth factor are found to contribute significantly to estimation of the return model. The use of a company index in lieu of individual company variables, however, is not recommended for· developing the return model. Additionally, results indicate that the market model provides the best surrogate measure of the market factor, and Line of Business information is recommended for classifying companies into industry groups. Major limitations of the study are (i) a self-selection bias of companies for the sample; (ii) measurement errors in interim financial statement data due to accounting allocations; (iii) seasonality of quarterly accounting information; (iv) use of average regression statistics in determining the best return model; (v) a limited number of regression models examined; and (vi) multicollinearity. These may limit the generalizability of the findings beyond the sample data and the interpretation of relationship between security return and its potential determinants. / Ph. D.

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration

A research report submitted to the School of Economic and Business Sciences, Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment (50%) of the requirements for degree of Master of Commerce in Finance. Date of submission: April 2016 / International studies have widely documented the long-run underperformance of firms conducting secondary equity offerings (SEOs), a phenomenon commonly referred to as the ‘new issues puzzle’. Understanding the market’s reaction to SEOs is vital for managers who are commonly tasked with deciding on how to finance their firm’s operations. This study investigates the short-run and long-run performance of firms conducting SEOs on the Johannesburg Stock Exchange (JSE) over the period of 1998 to 2015, by exploring both rational and behavioural models in predicting SEO behaviour. Event-study analysis reveals that the market generally reacts negatively to the announcement of SEOs with a statistically significant average two-day cumulative abnormal return of -2.6%. Using a buy-and-hold abnormal return approach, as well as factor regression analysis to study the long-run share performance of issuing firms, there is no evidence that issuing firms significantly underperform relative to non-issuing firms over a five-year period when testing for abnormal share return performance with the Capital Asset Pricing Model. Furthermore, issuing firms exhibit no consistent signs of operating underperformance in comparison to non-issuing firms over a fiveyear period. Finally, in evidence contradicting the market timing theory, investor sentiment appears to bear no consistently significant influence on either a firm’s decision to issue equity, or on the short-run and long-run performance of SEOs. Overall, the results imply that the longrun performance of SEOs conducted in South Africa is best described by rational explanations centred on the risk-return framework. There is no consistent evidence of any ‘new issues puzzle’ on the JSE. / MT2017