Originally presented as the author's Thesis (Ph. D.)--University of Michigan, 1928. / Includes bibliographical references and index.

Thesis (Tesi di laurea)--Basile, 1944. / Vita. Includes bibliographical references (p. 193-196).

Thesis (Ph. D.)--University of Iowa, 1920. / Published also in Iowa economic history series. "Notes and references": p. 383-430.

Thesis (M.B.A.)--University of Hong Kong, 1986.

The core of this thesis has involved an examination of the efficiency of the Egyptian stock market (ESM) with a specific focus on the price performance of the privatised initial public offerings (PIPOs). Recent structural changes in the Egyptian economy during the 1990s permit testing hypotheses about how these changes have affected the behaviour of ESM, in general, and PIPOs in particular. An analytical review of prior studies is provided in Chapter Two. Two documented anomalies of IPOs price performance, i.e. short-run underpricing and long-run overpricing, are revealed. Some researchers attribute these findings to the trading system of the developed capital markets. Our study refutes this explanation because we also find these anomalies in the ESM, although it is a market without an investment-banker (specialist) system. Accordingly, five empirical chapters are constructed to investigate the ESM. Before examining the price performance of PIPOs in the ESM, two chapters are assigned to examine the whole market at the domestic and international levels, as a preliminary exploration. From the domestic point of view, Chapter Four deals with questions of normality, volatility, randomness, and the efficiency of the ESM. Several basic tests were employed for testing normality. All indicated that none of the indices has a normally distributed return. Then, the Autoregressive Conditional Heteroscedastic model (ARCH) proposed by Robert Engle (1982) and the Generalized ARCH model (GARCR) of Bollerslev (1986) are employed to describe the process of stock returns. The findings show that the variance of returns is time-varying in the GARCH context. Also, the integratedness of the volatility of asset returns is analyzed using the IGARCH model. The results indicate that the volatility of stock returns is integrated. To test the stationarity of the ESM returns, unit root tests of Dickey and Fuller (1979) and the variance-ratio test of Lo and MacKinlay (1988) were implemented. The results support the notion that there is a relatively significant stationary component in past returns that can be used to predict future returns; therefore, returns do not follow pure random walks. Since the random walk hypothesis is not equivalent to market efficiency, we conduct the test of efficiency by using unit root and cointegration techniques, which are recently developed techniques in the time series literature. It is found that disaggregate stock price indices of the ESM are cointegrated which is interpreted as a violation of the concept of static efficiency introduced by MacDonald and Power (1993). Then, Chapter Five is assigned to test the internationalization of the ESM among eighteen emerging international stock markets. The Engle-Granger two-step methodology and the Johansen's multivariate cointegration tests were performed on these prices. The findings show that the eighteen emerging markets are cointegrated, indicating Granger-Causality in levels and these are suggesting of inefficiency. However, for the Middle Eastern and Mediterranean Rim markets groups, the results reveal an absence of any clear evidence of cointegration among them. Then, to measure the price performance of PIPOs, we use both the market-adjusted and risk-adjusted models. In the risk-adjusted model, both the general CAPM and the Returns Across Time and Securities (RATS) model were employed. Chapter Six illustrates that the Egyptian PIPOs are underpriced with average initial returns of 15.03 % and the observed distribution is heavily skewed and has a median of 13 %. Chapter Seven shows that insignificant positive excess market returns exist, on average, between the close in the first day of listing and the close in the fourth week of trading. It is suggested that these early positive excess market returns in the aftermarket may result from speculative bubbles which burst in subsequent trading in the aftermarket period giving rise to negative excess market returns. Also , the results indicate that the mean beta declines after-listing and varies around the market beta of unity. The mean beta in the Egyptian PIPOs market thus appear to behave nearly in a similar manner to the risk behaviour in other markets. Finally, Chapter Eight investigates the efficiency of the Egyptian PIPOs in the aftermarket. The results supported both the weak-form and semistrong-form of the Efficient Market Hypothesis of the PIPOs in the ESM.

This dissertation contains three essays which look at the role of price competition in banking. The method of investigation is a theoretical one. The first two essays examine the relative efficiency of relationship banking and price banking. The third essay discusses the determination of bank interest margin. Conventional wisdom suggests that increased interbank competition should improve social welfare and thus price banking should dominate relationship banking. Essay one shows that the opposite result may occur when the product market is imperfect and the lending instruments are loan commitments. Under relationship banking both banks and borrowers have bargaining power. The borrowers have substantial bargaining power when the costs of switching banks are small. In this case, it pays the banks to charge interest rates below the competitive rates in order to keep their customers. The interest losses are compensated for by higher commitment fees paid upfront by the borrowers. Since interest costs are lower under relationship banking than under price banking, borrowers produce more and output price declines. Social welfare thus unambiguously increases. Essay two goes on to examine the relative efficiency of relationship banking and price banking under the asset substitution problem. The bank-customer relationship is assumed to provide a credible commitment for a borrower to refrain from transacting with other banks. The outcome under relation-ship banking is second-best since underinvestment results in solving the asset substitution problem. The multilateral credit transactions permitted by price banking impose negative externalities to existing loans by inducing the borrower to substitute riskier project. More underinvestment is needed to resolve the dual incentive problem and equilibrium results in reduced welfare for borrowers. Essay three tackles the determination of bank interest mar-gins using a simple production-based model of risk-neutral banks which face (i) loan default risk, (ii) interest rate risk, (iii) capital regulation, and (iv) deposit insurance. The optimal bank interest margin is shown to be increasing with the variability of the short-term money market rate, but decreasing with either a stiffer capital requirement or an increase in the flat-rate deposit insurance premium.

The thesis focuses on two issues that have arisen during the development of equity capital markets in transition economies. First, it has typically been observed that the divestiture of state assets in Russia has not been implemented comprehensively. Following an introductory chapter, the second chapter develops a model to explain this observation in an environment where the objective of the state is to maximize revenues from the sale of its shares on the equity capital markets. If the state has private information about the future macroeconomic environment or about potential improvements of the firms' qualities due to improved corporate governance it can signal its private information to investors. This can be achieved by choosing a percentage of the state's shareholdings to be held back from the immediate sales. A second issue which has typically slowed down the development of capital equity markets in transition economies has been the violation of shareholder rights. Governments have often not guaranteed such rights. However, management might have incentives to introduce shareholder rights voluntarily. The third chapter develops a simple static framework to think about the issue of shareholder rights and tests some of its predictions. The chapter presents evidence from a sample of the 140 largest Russian joint stock companies. Only a minority of firms in this sample do honour shareholder rights and the chapter analyzes which firms are more likely to do that. It turns out that large firms are more likely to introduce shareholder rights, possibly because the expected value of stealing profits is smaller. Furthermore, there is some evidence that large outside blockholders, as well as the state in its role as shareholder, are able to press for shareholder rights. The fourth chapter develops a dynamic model for the introduction of shareholder rights where the firm's ownership is endogenised. The chapter shows that in the short nm, management might be willing to introduce shareholder rights in case it has received a sufficiently large portion of the firm's voting shares in the privatization process. In the long term, more firms will introduce such rights, but only after they have stolen a sufficient part of the firms profits to build up a large equity stake.

The aim of this study is to find a suitable approach to model econometrically exchange-rate dynamics. In the first chapter, I examine the empirical properties of four exchange rates. The data used are daily, weekly, monthly and quarterly exchange rates of the German mark, the British pound, the Swiss franc, and the Japanese yen against the U.S. dollar from July 1974 to December 1987.1 study the moment properties and time-series properties of these exchange rates and find in daily and weekly data leptokurtosis and heteroskedasticity. On the other hand, the hypotheses of no serial correlation, of a constant mean of zero, and of a symmetric distribution cannot be rejected. The fact that the daily and weekly data are not strictly equi-distant does not have a strong impact on these empirical regularities. In chapter 2, static distributional models (mixture of distributions, compound Poisson process, Student distribution, and stable Paretian distributions) are estimated. Chi-squared goodness-of-fit tests reject these models. Direct inferential evidence against stable distributions is found by estimating the characteristic exponent by FFT and by estimating the exponent of regularly varying tails. In chapter 3, dynamic models of heteroskedasticity (ARCH and Markov-switching models) are introduced. Quite satisfactory results are obtained for the EGARCH model and the Markov-switching model whereas the ARCH, GARCH and GARCH-t models are in conflict with stationarity conditions for the variance. Chapter 4 compares the static and dynamic models with respect to goodness-of-fit and forecasting performance. With respect to goodness-of-fit criteria, the dynamic models appear to be superior to the static models. Furthermore, the dynamic models outperform a naive model of constant variance with respect to unbiasedness but not with respect to precision. Chapter 5 studies the option-price implications of the static and dynamic models. The spot-rate effects of static models are rather small and they disappear, as expected, under temporal aggregation. GARCH and EGARCH models, on the other hand, imply higher option prices compared to Black-Scholes option prices along the whole spectrum of moneyness. Only the Markov-switching model is compatible with observed smile effects.

The objective of this thesis is to identify economic and regulatory issues which affected the development of the West German capital market and the financing behaviour of public limited companies during the early post war period. Following the introductory chapter, the thesis summarises literature on the relevance of capital structure in imperfect markets and discusses findings on the relationship between financial development and economic growth in consideration the historical circumstances of the early post war period. Chapter three provides a detailed account of the West German currency reform which looks beyond the conversion of monetary assets as it incorporates the accompanying conversion of company balance sheets. An analysis of the conversion of balance sheets shows that companies emerged from the reform with significantly reduced leverage. This finding provides an unconventional interpretation of the observed financing behaviour of West German companies during the early post war period. Chapter four discusses how public policy measures affected the development of the West German capital market during the immediate post currency reform period. It is argued that the policy of partial price controls coincided with a restriction of the capital market in providing funds to private and uncontrolled sectors as public authorities introduced measures which favoured funding in public and price controlled sectors. After having outlined the economic environment of the immediate post war period, the thesis analyses the financing behaviour of a sample of 79 non financial public limited companies between 1952 and 1965. The thesis argues that exceptional circumstances created by the war and the following policy decisions affected companies' financing behaviour. It shows that companies entered the post war period with severely altered capital structures and suggests that internally generated funds and bank loans featured no more prominently during the early post war years than during the following decades.

This dissertation looks into the interplay of financial and insurance markets that is created by securitization of insurance related risks. It comprises four chapters on both the common ground and different nature of actuarial and financial risk valuation. The first chapter investigates the market for catastrophe insurance derivatives that has been established at the Chicago Board of Trade in 1992. Modeling the underlying index as a compound Poisson process the set of financial derivative prices that exclude arbitrage opportunities is characterized by the market prices of frequency and jump size risk. Fourier analysis leads to a representation of price processes that separates the underlying stochastic structure from the contract's payoff and allows derivation of the inverse Fourier transform of price processes in closed form. In a market with a representative investor, market prices of frequency and jump size risk are uniquely determined by the agent's coefficient of absolute risk aversion which consequently fixes the price process on the basis of excluding arbitrage strategies. The second chapter analyzes a model for a price index of insurance stocks that is based on the Cramer-Lundberg model used in classical risk theory. It is shown that price processes of basic securities and derivatives can be expressed in terms of the market prices of risk. This parameterization leads to formulae in closed form for the inverse Fourier transform of prices and the conditional probability distribution. Financial spreads are examined in more detail as their structure resembles the characteristics of stop loss reinsurance treaties. The equivalence between a representative agent approach and the Esscher transform is shown and the financial price process that is robust to these two selection criteria is determined. Finally, the analysis is generalized to allow for risk processes that are perturbed by diffusion. In the third chapter an integrated market is introduced containing both insurance and financial contracts. The calculation of insurance premia and financial derivative prices is presented assuming the absence of arbitrage opportunities. It is shown that in contrast to financial contracts, there exist infinitely many market prices of risk that lead to the same premium process. Thereafter a link between financial and actuarial prices is established based on the requirement that financial prices should be consistent with actuarial valuation. This connection is investigated in more detail under certain premium calculation principles. The starting point of the final chapter is the Fourier technique developed in Chapters 1 and 2. It is the aim of this chapter to generalize the analysis to underlying Levy processes. Expressions for the conditional moments and probabilities based on these processes are derived and their inverse Fourier transforms are obtained in closed form. The representation of conditional moments and probabilities separates the stochastic structure from the deterministic dependence on the underlying Levy processes.