Submitted by Julien Midoux (julien.midoux@sciencespo.fr) on 2017-12-22T07:51:46Z No. of bitstreams: 1 Julien MIDOUX_Master Thesis.pdf: 1907108 bytes, checksum: 8ea9374a4ae0967cec2ae29f516b08e8 (MD5) / Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2017-12-22T10:07:12Z (GMT) No. of bitstreams: 1 Julien MIDOUX_Master Thesis.pdf: 1907108 bytes, checksum: 8ea9374a4ae0967cec2ae29f516b08e8 (MD5) / Made available in DSpace on 2017-12-22T12:10:46Z (GMT). No. of bitstreams: 1 Julien MIDOUX_Master Thesis.pdf: 1907108 bytes, checksum: 8ea9374a4ae0967cec2ae29f516b08e8 (MD5) Previous issue date: 2017-11-21 / This research aims to study private equity impact investments based on a comparative analysis of different private equity funds practices. In particular, it examines how the requirements of impact investing are encompassed in private equity investment processes. First, a literature review was conducted to better define impact investing and assess the complementarity of private equity with impact investing. Secondly, a qualitative study was pursued based on a panel of interviews. Interviewees are investment professionals working for private equity firms with interests in impact investing. The analysis of the interviews indicates a certain commonality of the investment methods between the funds paneled whether they are pure player private equity impact investors or traditional private equity firms investing for impact. Beyond the proximity between investment strategies, the research also shows a strong focus on in-house impact targeting and measurement, with little resort to external tools. Such flexibility negatively affects the readability of impact performance from a market perspective. The research concludes impact investing still has to go through a standardization process to gain global recognition as a private equity segment. / Esta pesquisa tem como objetivo de estudar os investimentos de impacto de private equity com a base de uma análise comparativa de diferentes práticas de fundos de private equity. Em particular, examina como os requisitos de investimento de impacto estão abrangidos nos processos de investimento em private equity. Em primeiro lugar, uma revisão da literatura foi feita para melhor definir o investimento de impacto e avaliar a complementaridade do private equity com os investimentos de impacto. Em segundo lugar, um estudo qualitativo foi realizado com base de um painel de entrevistas. Os entrevistados são profissionais de investimento que trabalham para empresas de private equity com interesses em investimentos de impacto. A análise das entrevistas indica uma certa semelhança dos métodos de investimento entre os fundos estudados que eles sejam unicamente investidos em impacto o que sejam fundos de private equity que fazem investimentos de impacto além de investimentos tradicionais. Além da proximidade entre as estratégias de investimento, a pesquisa também mostra um forte foco em processos de segmentação e de medida do impacto internos, com pouco recurso para ferramentas externas. Essa flexibilidade afeta negativamente a legibilidade da realização do impacto por parte do mercado. A pesquisa conclui que os investimentos em impacto ainda precisam passar por um processo de padronização para obter reconhecimento global como um segmento de private equity.

This thesis examines the performance of portfolios sorted by gross-profit-to-asset (GPA) as a quality investing on the Swedish stock exchange. It constructs long-only portfolios and long-short portfolios sorted by GPA, book-to-market (B/P) and earnings-per-price (E/P). Thus, the thesis includes quality and value investing. The thesis compares separately the constructed long-only and long-short portfolios among each other. The long-only strategies are additionally compared to the market index. The study further examines a combined portfolio, sorting for GPA and B/P in order to test Novy-Marx’s findings. He reports, that the average return improves, while the standard deviation remains at the same level for a combined portfolio sorting for GPA and B/P. This requires a negative correlation. The comparison is based on different portfolio measurements as i.e. s.d. The asset pricing models CAPM and 5-Factor Model are applied. In addition, actual returns, excessive return over the risk-free rate and over the market index as a benchmark are assessed for the portfolio. The analysis is conducted for the time period 1994-2013 and separately for downturns, considering 2000-2003, 2007-2009 and 2010. The results show a great applicability of the gross-profitability ratio on the Swedish market. This quality strategy convinces not only during normal times with the portfolios GPA-h (long-only) and GPA-hl (long-short) but also in stressed times. GPA-h reports positive (abnormal) returns GPA-h during downturns. The long-only and long-short portfolios based on GPA outperform the market in both time periods. GPA-sorted portfolios perform in general better and the two value strategies during normal times and downturns, based on the annual average return. Examining the two value strategies EP-sorted portfolios are superior over BP-sorted portfolios. EP-portfolios achieve better performance during downturns, regarding Jensen’s alpha. It can be derived, that EP is countercyclical. The combined portfolio generates high return and has a high standard deviation. The assessed statement of Novy-Marx cannot be confirmed for the Swedish stock market. It has to be stated that we detected positive correlation instead of negative correlation. It can be derived, that GPA ratio is applicable on the Swedish market, considering the assumptions and limitations of this study. EP-based portfolios show a good performance during downturns. BP- based portfolios do not perform well on the sweidish market in the assessed time frame. The combined portfolio GPABP-hh does increase returns with constant standard deviation, referred to BP-h. Our findings show, that both value strategies do not outperform the market index. The EP-based value portfolios outperform BP-based portfolios. EP-h performs better during downturns considering Jensen’s alpha.

The Cost of Feeling Good attempts to quantify the optimum portfolio returns of Socially Responsible Investment Funds and Dual-Purpose Portfolios. In order to meet the demands of investors who want to create a social impact and generate financial returns, investors can choose two methods. For the purpose of this study, the social returns were quantified and the financial returns were quantified using net present value. In every scenario, the socially responsible investment decision generated higher financial returns. Because of the immediate loss to an investor after choosing the DPP strategy, financially, the SRI fund appears to be the better approach for a financially driver investor. In terms of social returns, the DPP has a more clear impact on society. Measured as the charitable contribution given on an $1,000 investment, the socially responsible fund contributes far less to society on a per investor basis. Therefore, if an investor is interested in generating higher social returns and wants to be selective in terms of their charitable donation, they should choose the DPP model. In terms of tax brackets, investors in higher tax brackets have to generate higher financial returns on socially responsible investments in order to match the returns of a DPP. This is also true with investors who invest less in charity. Therefore, the investors that are in the highest tax bracket and contribute little to charity will need to generate far higher SRI returns according to the constructed theory. This finding is important to the growing millennial trend in sustainable investing.

Companies play an important role in the process of sustainable development, and thus investors have increased their focus on companies' sustainability-related activities. These activities are often measured through ESG scores, which mostly are based on biased documents reported by the companies themselves. A company can be considered ESG-compliant when looking at the ESG scores, but its underlying sustainability profile is not entirely investigated. Thus, there is a lack of transparency in ESG scores as well as in the process of evaluating companies' sustainability performance. Therefore, this thesis aims to explore the possibilities of incorporating automatic text analysis, specifically sentiment analysis, to analyze news articles. In that way, a broader part of a company's sustainability profile is covered, and potential controversies or other involvements could be detected. To investigate whether sentiment analysis would be useful to increase the transparency an explorative approach was used. Specifically, companies' ESG scores and sentiment scores from news articles were analyzed and compared. A lower sentiment score would reasonably indicate a lower ESG score, and thus indicate transparency in the evaluation method. The study finds a mixed result of positive and negative sentiment scores for each company, within each industry. A lower sentiment score does not necessarily indicate a lower ESG score, and no clear correlation between the scores was found. Interestingly, the study also identifies previous studies which indicate a correlation between the sentiment scores from biased company documents and the ESG scores.The findings strengthen the problem of lack of transparency in ESG scores, and further conclude that sentiment analysis would be useful in the context of identifying negative and positive articles and thus increase the transparency. However, it is also concluded that sentiment analysis cannot ensure that the calculated sentiment score is of relevance to a specific company and its' sustainability-related activities. Therefore, it can only be used as a complementing tool in the evaluation of companies' sustainability performance. / Företag har en viktig roll i processen av hållbar utveckling, och därför har investerare riktat ett större fokus på företags hållbarhetsrelaterade aktiviteter. Dessa aktiviteter mäts ofta genom ESG-poäng, vilka för det mesta baseras på partiska dokument som rapporteras av företagen själva. Ett företag kan anses vara ESG-kompatibel när man tittar på deras ESG-poäng, men deras underliggande hållbarhetsprofil undersöks inte helt. Således finns det en brist på transparens i ESG-poäng och även i bedömningsprocessen av ett företags hållbarhetsarbete. Därför syftar den här forskningsuppsatsen till att undersöka möjligheterna med att använda automatisk textanalys, specifikt sentimentanalys, för att analysera nyhetsartiklar. På så sätt kan en större del av ett företags hållbarhetsprofil undersökas, och potentiella kontroverser eller annan inblandning kan upptäckas. För att undersöka om sentimentanalys är lämpligt för att öka transparensen användes en utforskande metod. Specifikt, så analyserades och jämfördes företags ESG-poäng och sentimentpoäng från nyhetsartiklar. Ett lägre sentimentpoäng borde rimligtvis indikera ett lägre ESG-poäng, och därigenom indikera på en transparens i bedömningsprocessen. Studien hittar ett blandat resultat med både positiva och negativa artiklar för varje företag inom varje industri. Ett lägre sentimentpoäng indikerar nödvändigtvis inte ett lägre ESG-poäng, och ingen korrelation mellan poängen hittades. Intressant nog, identifierar studien tidigare studier som har hittat en korrelation mellan sentimentpoäng från partiska dokument och ESG-poäng. Resultaten förstärker problemet med bristen på transparens i ESG-poäng, och kan vidare dra slutsatsen om att sentimentanalys är användbart i kontexten att identifiera positiva and negativa artiklar, och således öka transparensen. Dock dras också slutsatsen att sentimentanalys inte kan säkerställa att det beräknade sentimentpoänget är relaterat till det specifika företaget och dess hållbarhetsrelaterade aktiviteter. Därför kan det bara användas som ett kompletterande verktyg i bedömningsprocessen av företags hållbarhetsarbete.

Changes in economic, environmental and social conditions have exposed our society to many challenges such as hunger and poverty, epidemic diseases and dramatic climate changes. As business entities operating within the community, companies have the immense task of assisting the community to address these challenges. To carry out this task, companies use socially responsible investment (SRI) initiatives in the effort to give back to local communities. These initiatives focus on environmental, social and economic activities that seek to improve the wellbeing of the community at large. The theoretical explanations behind SRI strategies tend to stimulate discussions and contestations about the motive behind SRI initiatives and their relevance to the companies and the community concerned. Some theories purport that a company should have a sole social responsibility goal of creating wealth for its shareholders, while others consider SRI initiatives as a means of interaction between a company and its immediate community. Despite these different views, SRI theories concur that companies’ SRI initiatives can contribute to economic development. The study reported in this document used a combination of qualitative and quantitative research methods to analyse the effects of the SRI sector on micro- and macroeconomic development in South Africa. The key empirical objectives of the study were to: assess the effect of SRI initiatives on the financial performance of South African companies; determine the volatility of the SRI Index relative to the overall stock market; establish the interactions between various macroeconomic variables and the South African SRI sector; identify the involvement of the local community in designing SRI initiatives; determine local communities’ perceptions towards implementation of SRI initiatives; and assess how various socioeconomic and demographic characteristics of community members affect their perceptions towards SRI initiatives. Primary data were collected through interviews and quetiapine; while secondary data running from May 2004 to June 2014 was obtained from the JSE, McGregor BFA and SARB. The data include variables such as the share returns of companies in the SRI Index and various macroeconomic variables. The econometric models used to analyse the data included the Johansen co-integration test, vector error correction model (VECM), generalised autoregressive conditional heteroscedasticity (GARCH), autoregressive distributed lag (ARDL) model, Granger causality test, the event study methodology and binary logistic regression. Results of the event study methodology showed that an improvement in companies’ involvement in SRI initiatives is linked with positive returns; however, such positive returns were not statistically significant. On the contrary, a decline in a company’s involvement in SRI initiatives is associated with significant negative abnormal returns. Further analysis showed that the South African SRI index is not exposed to any unique volatility. The analysis on the relationship between the SRI Index (a proxy for the sector) and macroeconomic variables suggests that development of the South African SRI sector is linked with macroeconomic growth and stability. To analyse the effect of SRI initiatives at a microeconomic level, an SRI initiative of implemented by a specific company in Bophelong Township formed the basis of the analysis. Findings revealed that this initiative benefited less privileged community members through the creation of temporary employment and provision of skills that created opportunities for future employment. Households with low economic status, those headed by a female or unemployed head were the most satisfied with the SRI initiative compared to others beneficiaries of the SRI initiative. Thus, the SRI initiative positively impacted the relationship between the company and community members, while at the same time creating expectations for future initiatives within the community. This study concluded that SRI initiatives must be aligned with the needs of the community in order to contribute to both micro- and macroeconomic development. As much as companies are expected to implement socially responsible initiatives, community members should also be encouraged to meet these companies halfway through programmes such as volunteering. Findings of this study can assist policy makers and companies in aligning SRI initiatives with the needs of the community, improving the involvement of community members in SRI initiatives, developing strategies to reduce the costs associated with SRI initiatives and, hence, increasing the impact of SRI initiatives. / PhD (Economics)--North-West University, Vaal Triangle Campus, 2015.

Changes in economic, environmental and social conditions have exposed our society to many challenges such as hunger and poverty, epidemic diseases and dramatic climate changes. As business entities operating within the community, companies have the immense task of assisting the community to address these challenges. To carry out this task, companies use socially responsible investment (SRI) initiatives in the effort to give back to local communities. These initiatives focus on environmental, social and economic activities that seek to improve the wellbeing of the community at large. The theoretical explanations behind SRI strategies tend to stimulate discussions and contestations about the motive behind SRI initiatives and their relevance to the companies and the community concerned. Some theories purport that a company should have a sole social responsibility goal of creating wealth for its shareholders, while others consider SRI initiatives as a means of interaction between a company and its immediate community. Despite these different views, SRI theories concur that companies’ SRI initiatives can contribute to economic development. The study reported in this document used a combination of qualitative and quantitative research methods to analyse the effects of the SRI sector on micro- and macroeconomic development in South Africa. The key empirical objectives of the study were to: assess the effect of SRI initiatives on the financial performance of South African companies; determine the volatility of the SRI Index relative to the overall stock market; establish the interactions between various macroeconomic variables and the South African SRI sector; identify the involvement of the local community in designing SRI initiatives; determine local communities’ perceptions towards implementation of SRI initiatives; and assess how various socioeconomic and demographic characteristics of community members affect their perceptions towards SRI initiatives. Primary data were collected through interviews and quetiapine; while secondary data running from May 2004 to June 2014 was obtained from the JSE, McGregor BFA and SARB. The data include variables such as the share returns of companies in the SRI Index and various macroeconomic variables. The econometric models used to analyse the data included the Johansen co-integration test, vector error correction model (VECM), generalised autoregressive conditional heteroscedasticity (GARCH), autoregressive distributed lag (ARDL) model, Granger causality test, the event study methodology and binary logistic regression. Results of the event study methodology showed that an improvement in companies’ involvement in SRI initiatives is linked with positive returns; however, such positive returns were not statistically significant. On the contrary, a decline in a company’s involvement in SRI initiatives is associated with significant negative abnormal returns. Further analysis showed that the South African SRI index is not exposed to any unique volatility. The analysis on the relationship between the SRI Index (a proxy for the sector) and macroeconomic variables suggests that development of the South African SRI sector is linked with macroeconomic growth and stability. To analyse the effect of SRI initiatives at a microeconomic level, an SRI initiative of implemented by a specific company in Bophelong Township formed the basis of the analysis. Findings revealed that this initiative benefited less privileged community members through the creation of temporary employment and provision of skills that created opportunities for future employment. Households with low economic status, those headed by a female or unemployed head were the most satisfied with the SRI initiative compared to others beneficiaries of the SRI initiative. Thus, the SRI initiative positively impacted the relationship between the company and community members, while at the same time creating expectations for future initiatives within the community. This study concluded that SRI initiatives must be aligned with the needs of the community in order to contribute to both micro- and macroeconomic development. As much as companies are expected to implement socially responsible initiatives, community members should also be encouraged to meet these companies halfway through programmes such as volunteering. Findings of this study can assist policy makers and companies in aligning SRI initiatives with the needs of the community, improving the involvement of community members in SRI initiatives, developing strategies to reduce the costs associated with SRI initiatives and, hence, increasing the impact of SRI initiatives. / PhD (Economics)--North-West University, Vaal Triangle Campus, 2015.

This paper investigates whether the Dogs of the Dow (or “Dow Dogs”) investment strategy is applicable to the Swedish stock market during the period 1996-2015. The strategy uses dividend yield as a way to identify undervalued stocks. Likely explanations to the strategy’s performance are contrasted between the Overreaction Hypothesis from the field of behavioral finance and the Efficient Market Hypothesis (EMH) from financial economics. The paper follows the original method formed by John Slatter, but is however extended by adding adjustments for risk, transaction costs and taxes to reflect a more realistic market setting. Our empirical findings suggest that the Dow Dogs strategy barely beats the market by 0.02 Sharpe ratio unit points. The strategy’s performance may be rather unimpressive, but it is interesting to acknowledge that the portfolio performed best during the market’s worst downturns. To conclude, our results lack statistical significance and we cannot reject the null hypothesis of no abnormal returns.

During recent years many fund managers have merchandised their funds as accounting for “ethical”, “responsible” and “sustainable” criterions during the investment process (the generic term “ESG funds” will be used hereafter). These managers have used this as a marketing tool and claimed that this brings added value to their investors.  However, it has been very hard for investors to actually determine if the fund managers have been following these announced “ESG” criterions and strategies. In addition to this there have been a lot of discussions around whether or not funds that incorporate “ESG” criterions during their investment process sacrifice return in order to fulfill their obligations.   During March this year Morningstar launched the first independent rating that aims to evaluate how the underlying holdings in fund, i.e. companies in which the fund own shares, manage environmental, social and governance (ESG) matters. By analyzing the underlying holdings from the aspects mentioned above, Morningstar has been able to aggregate this information into a sustainability measure for funds. This new sustainability measure has been named Morningstar Sustainability Rating™, which is a rating for how sustainable a fund is.   This thesis address questions regarding how ESG funds, or rather funds that market themselves as ESG funds, tend to have different attributes compared to traditional funds in the Nordic countries Sweden, Denmark, Finland and Norway. The specific attributes that has been examined are relative fund flows, total returns, risk-adjusted ratings and sustainability ratings.   The results suggest that ESG funds do not show a difference in Sustainability Ratings compared to traditional funds. Furthermore, it could be verified that ESG funds in some cases generate higher relative fund flows compared to traditional funds. It has also been confirmed that these ESG funds actually outperforms traditional funds from a total return perspective.

Thesis (MBA)--University of Stellenbosch, 2010. / AFRIKAANSE OPSOMMING: Waarde- en groei-beleggingstrategieë dateer terug na Fama en French (1992) en Lakonishok, Shleifer en Vishny (1994). Bogenoemde studies is gebaseer op vroeë navorsing wat die fokus verskuif het om sodoende waardasieverhoudinge en maatskappygrootte te gebruik as toonaangewende verklarende maatstawwe vir aandele-opbrengste. Toenemende studies in hierdie beleggingsveld het die akademiese en beleggingsgemeenskap oortuig dat ’n waardegebaseerde beleggingstrategie, gemiddeld, ’n groeigebaseerde beleggingstrategie oortref. Waarde- en groei-eienskappe word algemeen aanvaar en deur fondsbestuurders en beleggers as onderskeidende beleggingstrategieë aangewend. Hierdie eiesoortige beleggingstrategieë is op die Suid-Afrikaanse mark vir die periode 1990 tot 2009 toegepas. Die beduidende veranderinge binne die ekonomiese klimaat en aandelemarkte was die oorhoofse rede vir die insluiting van die ekonomiese siklusse in die navorsing, spesifiek die opswaai- en afswaai-fases van die ekonomie. Die Sharpe-, Treynor- en Inligting–prestasiemaatstawwe vir waarde- en groei-portefeuljes is in hierdie studie vergelyk en geanaliseer. Normaalweg word prestasie-beoordeling nie begin met ’n gedetailleerde analise van die opbrengsverdelings om te bepaal watter prestasie-maatstaf meer voortreflik is nie. Die opbrengsdensiteit vir alle portefeuljes is bepaal om sodoende die opbrengsverspreidings en risikooorwegings beter te verstaan binne die onderskeie ekonomiese siklusse. Die bevindinge binne die Suid-Afrikaanse konteks was wel ooreenstemmend met voorafgaande navorsing dat waardegebaseerde investering groeigebaseerde investering oortref vir aandele met hoër waardasieverhoudinge teenoor aandele met laer waardasieverhoudinge. Die gemiddelde maandelikse prestasie van waarde-portefeuljes het ook groei-portefeuljes oortref in die ekonomiese opswaai-siklusse, wat ooreenstemmend is met soortgelyke navorsing wat in ander markte gedoen is. In die ekonomiese afswaai-siklus het groei-portefeuljes waarde-portefeuljes oortref, ooreenstemmend met die van die Amerikaanse mark. Die navorsing dui daarop dat waardegebaseerde investering voortreflik is oor die volle steekproefperiode, wat beteken dat beleggers wat waarde-beleggingstrategieë volg hoër opbrengste kan verwag in alle ekonomiese siklusse, maar die voordele sal groter wees in tye van ’n ekonomiese opswaai. Die wisselvalligheid van opbrengste binne die twee ekonomiese siklusse is sigbaar en beklemtoon die noodsaaklikheid om die ekonomiese siklus in beleggingstrategieë en -besluite in te sluit. Die ekonomiese siklus verbreed die dimensie tot die evaluasie van waardegebaseerde beleggingstrategie en dit is noodsaaklik dat dit ’n geïntegreerde deel vorm van die evaluasieproses. / ENGLISH ABSTRACT: Value and growth investment strategies can be traced back to Fama and French (1992) and Lakonishok, Shleifer and Vishny (1994). The studies built on earlier work done and lead to attention being shifted to valuation ratios and company size as leading explanatory indicators for stock returns. Based on the accumulated evidence from studies, the academic and investment community came to agree that value investment strategies, on average, outperform growth investment strategies. Value and growth, are widely recognised and used by money managers and investors as distinctive investment strategies. These style-specific investment strategies were tested on the South African market for the period 1990 to 2009. The significant changes within the economic conditions and securities markets motivated the research to include the business cycle – specifically, contraction and expansion of the economy – within the scope of this study. The Sharpe, Treynor and Information performance ratios, that were calculated for compiled value and growth portfolios, were compared and analysed. The performance evaluation is not normally initiated with a detailed analysis of the return distribution in order to determine which performance measure is superior. The return densities for all portfolios were calculated in order to gain a better understanding of return distributions and risk considerations within the different business cycles. The results indicated that, within the South African context, value investing did outperform growth investing as indicated by previous research that stocks with high valuation ratios tend to outperform stocks with low valuation ratios. The mean monthly performance of value portfolios also outperformed growth portfolios in the period of economic upswing, which is a similar result as that of other markets where this kind of research has been conducted. In the economic downturn period growth investing seems to be superior to value investing similar to that of the US market. The study indicates that the superior performance of value investing is robust for the whole sample period, meaning that investors will be better off investing in stocks with high valuation ratios for all economic conditions, but the benefits of value investing would be greater during periods of economic upswing. The volatility of returns within the two economic conditions is quite evident and highlights the importance of incorporating business cycles into investment strategies and decisions. The business cycle adds another dimension to value investing strategy evaluation and should be incorporated in the evaluation process.

Thesis (MBA)--Stellenbosch University, 2012. / The success of momentum investing has puzzled the investment society for quite some time. Numerous academics have released studies that proved the success of different momentum investing strategies, even after compensating for trading costs. According to the efficient market hypothesis investors can only realise additional returns by taking additional risks. But no real risk factors can be ascribed to momentum investing. This study investigated the success of momentum investing strategies on the Johannesburg Stock Exchange (JSE) during the period January 1997 to March 2012. Three strategies were tested, namely: return momentum, price relative to high price and the crossover ratio. These strategies were tested using different combinations of testing and holding periods and only the more liquid stocks trading on the JSE were used in the study. The study showed that the momentum investing strategies generated statically significant outperformance over the period. The momentum investing strategies were then dissected according to the three risk factors identified by the Fama and French (1992) three-factor model. None of the risk factors were able to explain the outperformance of the momentum strategies. The outperformance of the momentum strategies also showed remarkable resilience after being subjected to trading costs. The success of the three momentum investing strategies is in clear contravention of the efficient market hypothesis and adds to the growing body of evidence against the hypothesis.