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M.Com. (Economics) / Please refer to full text to view abstract

M.Comm. (Econometrics) / Please refer to full text to view abstract

In this study the prediction capabilities of Artificial Neural Networks and typical econometric methods are compared. This is done in the domains of Finance and Economics. Initially, the Neural Networks are shown to outperform traditional econometric models in forecasting nonlinear behaviour. The comparison is extended to indicate that the accuracy of share price forecasting is not necessarily improved when applying Neural Networks rather than traditional time series analysis. Finally, Neural Networks are used to forecast the South African inflation rates, and its performance is compared to that of vector error correcting models, which apparently outperform Artificial Neural Networks. / Prof. D.J. Marais

Thesis submitted in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investments in the Faculty of Commerce, Law and Management Wits Business School at the University of the Witwatersrand February 2017 / For developed economies, it has been shown that the slope of the yield curve is a good indicator of the future path of real output and inflation. This paper investigates the predictive abilities of the yield curve slope for domestic growth and inflation in emerging market economies. Given the sovereign risk premia in these economies, it also assesses whether adding the sovereign risk spread to the yield curve spread improves the predictive content of the yield curve. It finds that the yield curve can predict real output at both the short and long forecasting horizons in emerging economies, the extent of which differs across countries. It also finds that the predictive performance for inflation is weaker than that of output growth, especially in the shorter forecasting horizons, and that the sovereign risk spread has additional predictive content for growth and inflation. This suggests that market participants and monetary policy makers in these economies should supplement their forecasting models with information contained in the yield curve to forecast domestic growth and inflation. / MT2017

Essay I: Governance surrounding dividend initiation. According to the free cash flow hypothesis, managers prefer to invest surplus cash, even in value reducing projects, rather than release it to shareholders. Yet, previous studies of dividend payout conclude that managers pay more in dividends when they are entrenched, supporting the substitute model... The results indicate that initiating firms have stronger shareholder rights, in contrast with much of the prior research on continuous divident payout. Firms with lower entrenchment index are more likely to initiate dividends... Essay II: Earnings management surrounding dividend initiation. Prior research tests earnings management surrounding changes in dividend payout and researchers conclude that the earnings management is a means of amplifying the dividend signal to the market. However, dividend initiation is a unique event. If initiation represents signaling, similar to a dividend increase, then management will manage earnings upward. If, on the other hand, divident initiation is better explained by the free cash flow hypothesis, then initiation may be entered into with caution or reluctance by management. / by Deborah Drummond Smith. / Thesis (Ph.D.)--Florida Atlantic University, 2012. / Includes bibliography. / Mode of access: World Wide Web. / System requirements: Adobe Reader.

Existing literature reports a puzzle about the forward foreign exchange rate premium over the spot foreign exchange rate. The premium is often negatively correlated with subsequent changes in the spot rate, which is considered to defy economic intuition and possibly violate market efficiency. Rational explanations include non-stationary risk premia and econometric misspecifications, and the puzzle as a guide to profitable trading. Actually, the puzzle consists of three aspects of anomalies: volatility, persistence, and unbiasedness. The puzzle has not yet solved fully thus far. / In the latter part of the thesis, we try to explore the behavioral aspects of the investors in the foreign currency markets (spot and forward markets). We discuss asset prices in an economy where investors derive direct utility from their consumption and adjust their utility based on the concept of habit formation and "catching up with Joneses", therefore explaining thus far the formidable unbiasedness anomaly to a certain extent. Simulation results exhibit properties similar to what has been observed in historical data. / This thesis suggests firstly that there may be no real puzzle. A simple model fits the data. Starting from examining the relations between the excess return of speculation in foreign currency forward markets and the change rates of the return rate on equity (stock) portfolio and the change rate of futures price on stock index as well as foreign currencies where the stock markets and futures market are active, publicly traded, and highly transparent markets, the source of the risk premia in the future change in spot rate has been analyzed in detail. We believe that the panel data analysis is in place for the puzzle based on its nature. In this thesis we find that the future change in spot foreign exchange rate correlate with both forward premium and especially the change rate in stock index or the change rate of futures settlement price on the stock index or on the currencies, which implies that the investors compare and employ the profitable opportunities across financial markets not just act in only one market such as just foreign exchange forward market, thus maximizing the utility or efficiency of their funds. In addition, the change rate of futures price has rather impacts on the excess return of speculation in forward currency markets, thus establishing the relation between OTC markets and publicly traded markets of foreign exchange. / Tan Yue. / "January 2007." / Adviser: Jia He. / Source: Dissertation Abstracts International, Volume: 68-09, Section: A, page: 4006. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract in English and Chinese. / School code: 1307.

by Chan Siu-tack and Suen Wai-sang. / Bibliography: leaves 132-134 / Thesis (M.B.A.)--Chinese University of Hong Kong, 1986

by Hou Ka Chun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 89-95). / Abstracts in English and Chinese. / LIST OF TABLES --- p.vii / LIST OF ILLUSTRATIONS --- p.viii / CHAPTER / Chapter I --- INTRODUCTION --- p.1 / Chapter II --- REVIEW OF THE LITERATURE --- p.6 / Monetary Models / Nominal Exchange Rate Prediction / Nonparametric Estimation Techniques / Chapter III --- METHODOLOGY --- p.17 / Unit-Root Tests / Zivot-Andrews Test / Error Correction Model / Autoregressive Distributed Lag (ARDL) Approach to Cointegration / Local Polynomial Fitting / Chapter IV --- DATA --- p.36 / Chapter V --- PARAMETRIC MODELING --- p.39 / Estimation Procedure / Empirical Findings / Japan / Germany / Britain / Chapter VI --- NONPARAMETRIC MODELING --- p.50 / Estimation Procedure / Empirical Findings / Chapter VII --- CONCLUSION --- p.54 / TABLES --- p.56 / ILLUSTRATIONS --- p.77 / BIBLIOGRAPHY --- p.89