The objective of the thesis is to analyze the copper futures market in London Metal Exchange (LME) and to recommend appropriate hedging strategy in copper futures market to the Erdenet Mining Corporation in Mongolia. It uses daily official settlement copper prices of LME in the spot and 3 month futures markets from 2000-2014. Initially, we use cointegration test and ECM to investigate the copper market efficiency. Then OLS, ECM, GARCH, EGARCH and ECM-GARCH models are employed to compute different optimum hedge ratios. Finally, the hedge effectiveness is measured based on minimization of the value of AIC and SBIC. Our result indicate that copper futures market is inefficient. Hedge effectiveness comparison concludes that ECM model gives the best hedging performance. However, ECM-GARCH is accounted to be the best model for hedging strategy since it captures the time-varying conditional heteroscedasticity to ECM model. Powered by TCPDF (www.tcpdf.org)

5252 Abstract Collective investment and its legal regulation In the Czech Republic the collective investment has experienced a huge expansion in the last decade which was caused among others by renewing the trust in legal regulation which ensures the safety of investment to the investors. Because the topic is relatively difficult and undoubtedly interesting I chose it as a topic of my diploma thesis. This paper is divided into chapters and subchapters containing particular topics regarding the collective investment legislation but to maintain the overall logical structure of the issue. Before starting to write the diploma thesis I discussed the biggest problems of a practical application of the collective investment legal regulation with practising lawyers as this view from the academic preparation was missing. I found out from this short survey the most common problems connected with the collective investment legal regulation which I discussed in this diploma thesis. These include in particular the definition of public offering under the Collective Investment Act, the possibility to offer the services of closed-end foreign funds in the Czech Republic and the recently introduced legislation regarding standard and alternative funds. For this reason I researched the available literature including papers in...

Ph.D. / This thesis investigates the persistence of hedge fund managers’ skills, the optimality of strategies they use to outperform consistently the market during periods of boom and/or recession, and the market risk encountered thereby. We consider a data set of monthly investment strategy indices published by Hedge Fund Research group. The data set spans from January 1995 to June 2010. We divide this sample period into four overlapping sub- sample periods that contain different economic market trends. We define a skilled manager as a manager who can outperform the market consistently during two consecutive sub-sample periods. To investigate the presence of managerial skills among hedge fund managers we first distinguish between outperformance, selectivity and market timing skills. We thereafter employ three different econometric models: frequentist, Bayesian and fuzzy regression, in order to estimate outperformance, selectivity and market timing skills using both linear and quadratic CAPM. Persistence in performance is carried out in three different fashions: contingence table, chi-square test and cross-sectional auto-regression technique. The results obtained with the first two probabilistic methods (frequentist and Bayesian) show that fund managers have skills to outperform the market during the period of positive economic growth (i.e. between sub-sample period 1 and sub-sample period 3). This market outperformance is due to both selectivity skill (during sub-sample period 2 and sub-sample period 3), and market timing skill (during sub-sample period 1 and sub- sample period 2). These results contradict the EMH and suggest that the “market is not always efficient,” it is possible to make abnormal rate of returns.However, the results obtained with the uncertainty fuzzy credibility method show that dispite the presence of few fund managers who possess selectivity skills during bull market period (sub-sample period 2 and sub-sample period 3), and market timing skills during recovery period (sub-sample period 3 and sub-sample period 4); there is no evidence of overall market outperformance during the entire sample period. Therefore the fuzzy credibility results support the appeal of the EMH according to which no economic agent can make risk-adjusted abnormal rate of return. The difference in findings obtained with the probabilistic method (frequentist and Bayesian) and uncertainty method (fuzzy credibility theory) is primarily due to the way uncertainty is modelled in the hedge fund universe in particular and in financial markets in general. Probability differs fundamentally from uncertainty: probability assumes that the total number of states of economy is known, whereas uncertainty assumes that the total number of states of economy is unknown. Furthermore, probabilistic methods rely on the assumption that asset returns are normally distributed and that transaction costs are negligible.

In essay one, my primary objective is to see the sensitivity of foreign exchange rate risk on firm performance in US manufacturing industry and examine if the hedging help reduce the foreign exchange rate risk. I am particularly interested in manufacturing industry because of the nature of business operation of manufacturing firms. Manufacturing firms in US are not only exposed to foreign exchange fluctuation from sales and revenue but also are exposed to foreign exchange rate risk for procurement, placement and investment. I find that the firms with extreme foreign exchange rate risk exposure exhibit lower daily return and firms with very low foreign exchange rate risk exhibit higher daily return using the portfolio approach. I also find that the firms that hedge has lower foreign exchange rate exposure compared to firms that don’t hedge. The coefficient for hedge is negative and statistically significant. In essay two, I investigate the effect of executive compensation on exchange rate risk in US manufacturing industry. There is a large theoretical and empirical interest on executive compensation using agency framework that investigates the conflict of interest between shareholders and corporate executives. That interest has been largely aligned with the use of managerial performance dependent on observable measures of firm performance. Since US manufacturing firm is largely exposed to foreign exchange transactions by design, I investigate if the value of in-the-money unexercised vested executive stock option has any impact on foreign exchange rate exposure. I investigate if the value of in-the-money unexercised unvested executive stock option has any impact on executive stock option. Using pooled OLS, fixed effect panel data and random effect panel data, I find that in all 3 model value of in-the-money unexercised vested executive stock option has negative coefficient and is statistically significant. At the same time in all 3 models the value of in-the-money unexercised unvested executive stock option is positive and is statistically significant.

I would like to divide my diploma thesis into two parts: theoretical and practical. In the theoretical part, I will outlint the area of hedge accounting pursuant to IAS 39 and FAS 133, including distinction between cash flow hedge and fair value hedge. In the next chaper, I will deal with general characteristics of forwards, including their accounting aspects and their valuation methods. In the next chapter, I will deal with selected characteristics of options (e.g., time and intrinsic value of the option with the emphasis on the accounting differences between IFRS and US GAAP). In the next chapter, I will outlint the general aspects of vanilla and exotic options (e.g.. knock-in and knock-out barrier option and so called "range accruals"). An integral part of this chapter will be formed by the introduction to their valuation (Black-Scholesův model, Garman-Kohlhagenův model, binomic model, method Monte Carlo). In the nexch chapter, I will deal with the general characteristics of the foreign exchange risk and related accounting aspects. In the practical part, I will deal with particular examples of the foreign exchange hedge via forwards and options (including their valuation and accounting recognition pursuant to US GAAP and IFRS): a) Cash flow hedge through option tunnel, ie., by means of standard put and call option, b) Cash flow hedge through participating forward, ie. combination of put option and forward c) Cash flow hedge throug knock-in forward, ie. combination of knock-in barrier option and forward d) Cash flow hedge through KIKO forward, ie. combination of knock-in and knock-out opce and forward e) Hedge through "range accrual" option

Thesis submitted in 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 / The South African hedge fund industry is reported to have had R52 billion (USD 4.8 billion) assets under management at the end of December 2013. This compares to the global industry which is reported to have surpassed USD 2.6 trillion at the end of 2013. Due to the relative infancy of the local industry, little research exists to analyse the performance of South African hedge fund strategies. This study focuses on the performance of South African hedge fund strategies under different market regimes, taking into consideration market and economic factors specific to South Africa. The analysis shows that the hedge fund strategies offer a diversification benefit to more traditional asset classes, and the results of the study can be used to inform an investor’s allocation decision. The findings of the analysis are used as the basis of a portfolio construction framework for constructing a portfolio of hedge funds. The framework is predicated on the investor having a view on the forthcoming macro environment. The framework enables the investor to identify funds and strategies that have produced a stable alpha over a similar market regime for inclusion in the portfolio of funds. After identifying those funds and strategies most suited to the anticipated macro environment, the number of funds to be included in the portfolio is taken under consideration to determine the optimal number such that the performance and risk characteristics of the portfolio are not compromised. The analysis takes the higher moments of the distribution into account to cater for the non-normal nature of hedge fund distributions.

This dissertation investigates two fundamental questions related to how well exchange-traded funds that hold portfolios of fixed-income assets (bond ETFs) proxy for their underlying portfolios. The first question involves price/net-asset-value (NAV) mean-reversion asymmetries and the effectiveness of the arbitrage mechanism of bond ETFs. Methodologically, to answer the first question I focus on a time-series analysis. The second question involves the degree to which average returns of bond ETF shares respond to changes in factors that have been found to drive average returns of bond portfolios. To answer this question I shift the focus of the analysis to a cross-section asset pricing test. In other words, do bond ETF share prices track the value of their underlying assets, and are they priced by investors like bonds in the cross-section? The first essay concludes that bond ETF shares exhibit mean-reversion asymmetries when price and NAV diverge, along persistent small premiums. These premiums appear to reflect the added value that bond ETFs bring to the fixed-income asset market through smaller trading increments, greater liquidity, and the ability to buy on margin and sell short. The second essay concludes that market, bond-specific, and firm-specific risk factors can help to explain the variation in U.S. bond ETF average returns, but only size seems to be priced in the cross-section of expected returns. This is not surprising as the sample used in the asset pricing tests is limited to the period 2007-2010, which corresponds to the "great recession", and size has been interpreted in the asset pricing literature as a state variable that proxies for financial distress and is highly dependent on the phase of the real business cycle. / The two essays together suggest that bond ETFs can be used in trading strategies based on taking long and short positions in fixed-income assets, especially when trading in portfolios of fixed-income assets directly is not feasible. / by Charles W. Evans. / Thesis (Ph.D.)--Florida Atlantic University, 2011. / Includes bibliography. / Electronic reproduction. Boca Raton, Fla., 2011. Mode of access: World Wide Web.

No presente estudo é descrito e implementado um modelo para estimar a razão de hedge, que indica a proporção da posição em contratos futuros em relação à posição à vista, que um agente deve assumir para se proteger de oscilações desfavoráveis dos preços. A aplicação é feita para alguns produtos agropecuários que têm contratos negociados na Bolsa de Mercadorias & Futuros, quais sejam, o açúcar cristal, o algodão em pluma, o boi gordo e o café arábica. Com as operações de hedge, o agente pode estar buscando travar em algum instante futuro um valor a receber por cada unidade que esteja transacionando no mercado físico. Devido à existência de um comportamento aleatório no diferencial entre os preços dos mercados físico e de futuros, o valor a receber pela operação não pode ser fixado com exatidão, o que abre espaço para a discussão de modelos que minimizam a variância do retorno obtido com as operações de hedge. Os modelos de minimização da variância de uma carteira são expostos em um capítulo que também trata de modelos que maximizam a utilidade esperada do retorno da função de riqueza dos agentes. Assim, este trabalho faz uma revisão de alguns dos principais modelos de tomada de decisão de hedge, esclarecendo pressupostos e limitações desses. Para a estimação da regra de decisão derivada nos modelos teóricos são revistos os modelos de heterocedasticidade condicional e os modelos de correção de erro, que levam em consideração a relação de co-integração entre as variáveis. Os resultados obtidos com a implementação de tais modelos indicam que estratégias elaboradas com modelos econométricos mais simples, baseados em regressões simples ou múltiplas das séries, podem garantir bons resultados se comparados com modelos mais complexos, analisando algumas estatísticas relacionadas com a redução percentual da variância do retorno desses modelos em relação à estratégias ingênuas. Os modelos de heterocedasticidade condicional parecem não garantir uma melhora expressiva nas estratégias ajustadas diante de alguns custos de transação. Por fim, foi constatado que para períodos diferentes do vencimento dos contratos futuros a razão de hedge assume valores relativamente baixos, entre 20% e 35%, com exceção do café arábica que chegou à 65% / not available

Thesis advisor: Ronnie Sadka / In the first essay, In this paper, I examine how the connections between activist hedge funds and other institutional investors affect the activist campaigns. I identify a positive causal effect of long-term relationships with other investors on the short-run and long-run performance of activists' target companies. Overall, my results highlight that connections to other institutional investors benefit institutional asset managers. In the second essay, we show that firms in the same board-interlock networks tend to have similar corporate governance practices. We utilize a novel instrument based on staggered adoptions of universal demand laws across states to identify causal peer effects in firms' decisions to adopt various governance provisions. The impact of universal demand laws on the incentives faced by directors as they seek to maximize their career outcomes is a likely mechanism explaining these effects. In the third essay, I investigate whether hedge funds employ short sales to mask their exiting intention when they engage in shareholder activism. Using a hand-collected sample, I find that the probability of a spike in short interest before exit announcements is higher in firms targeted by activists who have a history of short interest increase in their previous targets. According to my findings, the hypothesis is that these hedge funds are more likely to use short sales since they are more concerned about locking their profit and not taking the risk of exit announcements. Overall, this paper provides new evidence of a possible exiting strategy: Silent Exiting via short selling. / Thesis (PhD) — Boston College, 2017. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

Thesis advisor: Vyacheslav Fos / In the first essay, I examine the role of cross-listings in the digital token marketplace ecosystem. Using a unique set of publicly available and hand-collected data from 3,625 tokens traded in 108 marketplaces, I find significant increases in price and trading activity around the date of a token’s first cross-listing. Tokens earn a 49% raw cumulative return in the two weeks around the cross-listing date. Global token-trading volume is almost 50 times higher after cross-listing. Using the uniquely heterogeneous characteristics of token marketplaces, I am able to identify specific value-creation channels. I provide the first evidence supporting value creation through network externalities proposed by recent token-valuation models. Consistent with equity cross-listing theory, I find higher returns for cross-listings that reduce market segmentation and improve information production. In the second essay, we analyze a dataset of 4,003 executed and planned ICOs, which raised a total of $12 billion in capital, nearly all since January 2017. We find evidence of significant ICO underpricing, with average returns of 179% from the ICO price to the first day’s opening market price, over a holding period that averages just 16 days. After trading begins, tokens continue to appreciate in price, generating average buy-and-hold abnormal returns of 48% in the first 30 trading days. We also study the determinants of ICO underpricing and relate cryptocurrency prices to Twitter followers and activity. In the third essay, I examine reputation building by activist hedge funds and document two new findings with regard to hostile activism. First, there is evidence of a permanent reputation effect to hostile activism. Activist hedge funds that have engaged in hostile tactics, receive on average a 3% higher CAR [-10,+10] on their subsequent non-hostile campaigns, compared to hedge funds that have never engaged in hostile tactics. This abnormal return is positively correlated with the level of hostile reputation of the campaigning hedge fund. Second, I find that activist hedge funds with more hostile reputation modify their non-hostile activism style to engage “hostile-like” targets and pursue “hostile-like” objectives, but withhold the use of hostile tactics. These findings imply that hedge funds are able to build reputation using their past engagement tactics and that market participants value such reputation as evidenced by the higher announcement return observed in their targets. / Thesis (PhD) — Boston College, 2019. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.