MCom (Research) , Faculty of Commerce, Law and Management, University of the Witwatersrand, 2007 / The purpose of this dissertation is to motivate, construct and test the suitability of the Fama and French (1993) three-factor model in pricing equities listed on the Johannesburg Stock Exchange. Before this can be achieved, however, the existence of the size and the value effects needs to be established, and their resistance to risk adjustment with traditional asset pricing models needs to be ascertained. Once, these two empirical facts are documented, the three-factor model is built and tested. Results of Fama and French (1992) can be replicated on the Johannesburg Stock Exchange in that a firm‟s size and its value-growth indicator have reliable power to forecast stock returns. However, the value effect and, in particular, the size effect, attenuate after market microstructure is controlled for. Both effects are found to be independent of one another and the book-to-market ratio is found to be the best value-growth indicator. The static CAPM and an APT variant cannot explain the size and the value effects. This result is robust to time-series and cross-sectional tests. The three factor model of Fama and French (1993), and its variant, are constructed. The models can capture a substantial amount of time-series variation in most assets. When applied to the size and book-to-market sorted portfolios, they are not rejected in the vast majority of asset pricing tests. In tests on ungrouped data, the three factor model can explain the value effect, but not the size effect. However, in cross-sectional tests that use the size and book-to-market sorted portfolios as well as industry portfolios, the pricing errors of the three factor model are not substantially different from the ones obtained from the static CAPM.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / This study provides an analysis of the effectiveness of the foreign currency hedging abilities afforded by the futures market. The focus is on the currencies of six emerging markets, namely; Brazil, India, Mexico, Russia, South Africa and Turkey. By examining emerging market currencies we can examine the effect that possible mispricing and lack of liquidity can have on hedging effectiveness. To this effect, this article uses the regression method, as allowed by the accounting standard FAS 133, to assess the effectiveness of futures contracts as a hedging mechanism for emerging market currencies. The methods follow previous studies such as Hill and Schneeweis (1982) which consider the length of the hedging horizon and time to expiration due to their effect on hedge effectiveness. Results indicate consistent hedge effectiveness in only South Africa and Turkey, with reasonable hedge effectiveness exhibited by Mexico and Russia. Sensible explanations are given for the extreme hedge ineffectiveness that can be seen in the Brazilian and Indian tests.

by Chan Ken, Albert Chan Wai Ming, Pun Chi Hoi. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1989. / Bibliography: leaves 83-85.

by Felix Yim Fuk-on, Desmond Woo Kwok-wai. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1989. / Bibliography: leaves 46-47.

Digitized by Kansas Correctional Industries

Digitized by Kansas Correctional Industries

Thesis. 1975. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / Vita. / Bibliography: leaves 191-198. / by Pentti J.K. Kouri. / Ph.D.

Thesis. 1980. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Includes bibliographies. / by Kenneth S. Rogoff. / Ph.D.

Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Economics, 1982. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY / Includes bibliographies. / by Graciela Laura Kaminsky. / Ph.D.

Thesis. 1977. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Vita. / Includes bibliographies. / Ph.D.