Este estudo trata de decisões de investimento em capital produtivo no âmbito de empresas algodoeiras, empresas cujo processo produtivo é a preparação do algodão em estado bruto para a indústria têxtil, assim como a limpeza de sementes para a indústria de refinamento de óleo vegetal. Havendo passado por uma crise estrutural em seu ambiente de competição, a cotonicultura brasileira, voltou a se destacar mundialmente na primeira década dos anos 2000 com um produto de alto padrão de qualidade e marcado por elevados níveis de exportação. Entretanto, esse movimento não vem sendo homogêneo em todo o País. Tendo em vista esse fenômeno, este trabalho teve como objetivo identificar e discutir características referentes às decisões de investimento de capital por parte de um grupo não aleatório de gestores de empresas algodoeiras. Partindo-se de uma abordagem qualitativa e exploratória sobre os dados levantados, aplicou-se a análise de conversação, uma forma de análise de conteúdo. Esse método permitiu identificar particularidades de cada unidade investigada, possibilitando a realização de inferências quanto a razões, causas ou comportamentos com base em respostas extraídas de questionários abertos. Os resultados dessa pesquisa apontam para um enfoque gerencial menos voltado à tentativa de assegurar posições futuras para a empresa, e sim para a tentativa de se garantir resultados operacionais satisfatórios no curto prazo. Assim, a gestão das empresas pesquisadas parece estar mais suscetível às incertezas do ambiente em que atuam, já que não há uma visualização mais ampla acerca das possibilidades que investimentos possam trazer à empresa. A ênfase gerencial em dados que tratam do ônus financeiro na decisão de investimento pode explicar em parte o perfil mais adaptativo do planejamento evidenciado na maior parte dessas empresas, isto é, os gastos relativos às operações podem estar regendo o comportamento quanto ao gerenciamento de ativos, estando mais presentes na mente dos gestores do que as possibilidades de ganhos a partir de novos investimentos. Há a presença latente de aspectos comportamentais nas decisões de investimento por parte dos gestores entrevistados. A principal limitação dessa pesquisa é representada pela conveniência na seleção das empresas pesquisadas assim como seu reduzido número, de modo que não se torna possível a generalização dos resultados ao universo investigado. Em futuros trabalhos, recomenda-se abordar variáveis que representam riscos ou incertezas para o empresário ou gestor no setor. Especula-se que, os métodos reconhecidos no âmbito da gestão de riscos podem contribuir positivamente para uma melhor tomada de decisão, abrindo caminho para maior utilização de técnicas mais sofisticadas de orçamento de capital por parte dos gestores. / This thesis investigates capital equipment analysis and investment projects in cotton gins, raw cotton and oil seed processing units. The Brazilian cotton industry passed through a crisis in competitiveness during the 1980s and 1990s, however, more recently, it has regained international reputation with a high quality product reaching high export levels as well. Considering that this movement has been witnessed only in specific regions or states, other than traditional growing areas, this study seeks to identify and discuss capital investment decision characteristics of a chosen group of managers of cotton gins. A qualitative and exploratory approach toward the data was applied with the use of the conversation analysis method, a type of content analysis. This method permitted not only the identification of particularities of each business unit under investigation but also inferences concerning reasons, causes and behaviors based on answers extracted from open questionnaires. The results of this research reveal a managerial focus toward an attempt of guaranteeing satisfactory operational results on the short run instead of purposeful actions aligned with desirable future positions for the businesses. In this way the businesses investigated seem to be more susceptible to environmental uncertainties in which they operate, once there isnt a broader visualization of the possibilities that investments may bring to them. The emphatic managerial consideration of financial burden in the investment decision might explain in part the more adaptive characteristic of the planning task shown in most of the businesses under research. Thus, operational costs may be influencing managerial behavior in capital equipment assessment, being more present in the mind of managers than the possibilities of gain from new investments. There is a strong presence of behavioral aspects in investment decision-making by the managers interviewed. A main limitation of this research has to do with the convenience in the selection of the businesses investigated, as well as the non representative sample of a major universe of cotton gin units. In later works, it may be considered an investigation of the risk and uncertainty variables from managers or entrepreneurs perspective. It is hypothesized that some of the well known methods of risk management might positively contribute to the capital equipment assessment, allowing a more intense use of capital budgeting techniques by managers and entrepreneurs.

Zugl.: Wiesbaden, Ebs European Business School, Diss.

A experimentação e testes com o uso de protótipos físicos ou simulação em computadores é uma prática utilizada para o desenvolvimento de diversos produtos industriais. As indústrias aeronáutica, automobilística, mecânica, naval, petrolífera e microeletrônica, entre outras, há muito empregam uma ou ambas as técnicas citadas. No entanto, inexistem referências ou estudos sobre a aplicação prática e conceitual desse assunto dentro do ambiente bancário mundial. O propósito desta pesquisa é descrever e interpretar os modos de experimentação empregados atualmente para a formação de fundos de investimento no mercado financeiro brasileiro e propor novos procedimentos para o seu desenvolvimento em analogia ao processo industrial. A metodologia proposta foi demonstrada com a utilização de dados reais levantados durante quatro anos no mercado financeiro para o desenvolvimento de um fundo aberto referenciado DI fictício simulados com o auxílio de técnicas de Dinâmica de Sistemas e de Inteligência Artificial. Os resultados reforçam as possibilidades de analogia entre o desenvolvimento de produtos industriais tangíveis e serviços intangíveis, quebrando paradigmas e propondo novos conceitos sob uma ótica renovadora para o desenvolvimento de produtos financeiros. O problema de otimização apresentado representa um novo campo de aplicação para o uso integrado de Dinâmica de Sistemas com algoritmos inteligentes, sendo que os algoritmos genéticos provaram ser uma ferramenta de suporte à decisão adequada para um ambiente competitivo e globalizado. / Experimentation and tests using physical prototypes or computer simulation are practices used in the development of various industrial products. The aeronautical, automobile, mechanical, naval, petroleum and micro-electronics industries have been using one or both of the mentioned techniques for a very long time. However, this issue has not been studied in detail in the banking area. The aim of this research is to describe and interpret the experimentation modes currently used in the Brazilian financial market in order to propose new procedures to develop investment funds akin to the industrial process. The proposed methodology was tested using 4 years of real data of the Brazilian financial market in order to develop a fictional investment fund based on Dynamic Systems and Artificial Intelligence (genetic algorithms) simulation principles. The results strengthen the possible analogy between the development of tangible industrial products and intangible services and propose new concepts according to an innovative development methodology for financial products. The related optimization problem represents a new field of application for Dynamic Systems combined with intelligent algorithms and, particularly, the Genetic Algorithms (GA) based model provided an efficient decision-making tool to be used in a competitive and globalized environment.

Este estudo trata de decisões de investimento em capital produtivo no âmbito de empresas algodoeiras, empresas cujo processo produtivo é a preparação do algodão em estado bruto para a indústria têxtil, assim como a limpeza de sementes para a indústria de refinamento de óleo vegetal. Havendo passado por uma crise estrutural em seu ambiente de competição, a cotonicultura brasileira, voltou a se destacar mundialmente na primeira década dos anos 2000 com um produto de alto padrão de qualidade e marcado por elevados níveis de exportação. Entretanto, esse movimento não vem sendo homogêneo em todo o País. Tendo em vista esse fenômeno, este trabalho teve como objetivo identificar e discutir características referentes às decisões de investimento de capital por parte de um grupo não aleatório de gestores de empresas algodoeiras. Partindo-se de uma abordagem qualitativa e exploratória sobre os dados levantados, aplicou-se a análise de conversação, uma forma de análise de conteúdo. Esse método permitiu identificar particularidades de cada unidade investigada, possibilitando a realização de inferências quanto a razões, causas ou comportamentos com base em respostas extraídas de questionários abertos. Os resultados dessa pesquisa apontam para um enfoque gerencial menos voltado à tentativa de assegurar posições futuras para a empresa, e sim para a tentativa de se garantir resultados operacionais satisfatórios no curto prazo. Assim, a gestão das empresas pesquisadas parece estar mais suscetível às incertezas do ambiente em que atuam, já que não há uma visualização mais ampla acerca das possibilidades que investimentos possam trazer à empresa. A ênfase gerencial em dados que tratam do ônus financeiro na decisão de investimento pode explicar em parte o perfil mais adaptativo do planejamento evidenciado na maior parte dessas empresas, isto é, os gastos relativos às operações podem estar regendo o comportamento quanto ao gerenciamento de ativos, estando mais presentes na mente dos gestores do que as possibilidades de ganhos a partir de novos investimentos. Há a presença latente de aspectos comportamentais nas decisões de investimento por parte dos gestores entrevistados. A principal limitação dessa pesquisa é representada pela conveniência na seleção das empresas pesquisadas assim como seu reduzido número, de modo que não se torna possível a generalização dos resultados ao universo investigado. Em futuros trabalhos, recomenda-se abordar variáveis que representam riscos ou incertezas para o empresário ou gestor no setor. Especula-se que, os métodos reconhecidos no âmbito da gestão de riscos podem contribuir positivamente para uma melhor tomada de decisão, abrindo caminho para maior utilização de técnicas mais sofisticadas de orçamento de capital por parte dos gestores. / This thesis investigates capital equipment analysis and investment projects in cotton gins, raw cotton and oil seed processing units. The Brazilian cotton industry passed through a crisis in competitiveness during the 1980s and 1990s, however, more recently, it has regained international reputation with a high quality product reaching high export levels as well. Considering that this movement has been witnessed only in specific regions or states, other than traditional growing areas, this study seeks to identify and discuss capital investment decision characteristics of a chosen group of managers of cotton gins. A qualitative and exploratory approach toward the data was applied with the use of the conversation analysis method, a type of content analysis. This method permitted not only the identification of particularities of each business unit under investigation but also inferences concerning reasons, causes and behaviors based on answers extracted from open questionnaires. The results of this research reveal a managerial focus toward an attempt of guaranteeing satisfactory operational results on the short run instead of purposeful actions aligned with desirable future positions for the businesses. In this way the businesses investigated seem to be more susceptible to environmental uncertainties in which they operate, once there isnt a broader visualization of the possibilities that investments may bring to them. The emphatic managerial consideration of financial burden in the investment decision might explain in part the more adaptive characteristic of the planning task shown in most of the businesses under research. Thus, operational costs may be influencing managerial behavior in capital equipment assessment, being more present in the mind of managers than the possibilities of gain from new investments. There is a strong presence of behavioral aspects in investment decision-making by the managers interviewed. A main limitation of this research has to do with the convenience in the selection of the businesses investigated, as well as the non representative sample of a major universe of cotton gin units. In later works, it may be considered an investigation of the risk and uncertainty variables from managers or entrepreneurs perspective. It is hypothesized that some of the well known methods of risk management might positively contribute to the capital equipment assessment, allowing a more intense use of capital budgeting techniques by managers and entrepreneurs.

Background:  A growing momentum around the potential of impact investing to contribute to development in both environmental and social sustainability has challenged the way business is operating, offering solutions for both the people and planet. Previous studies have claimed that trade-offs between purpose and profit are inevitable in order to successfully achieve sustainability goals, which requires practitioners in the financial discipline to invent new investment approaches to manage dual outcomes. Here, it becomes evident to move beyond trade-offs to avoid that one goal outperforms the other, considered as a vital question to address towards a new investment paradigm.  Purpose:  This study aims to explore the nexus between social impact and financial return, and thus understand the different factors that enable managers in the impact investing industry to successfully manage the trade-offs between pursuing dual values.     Method:  An interpretivist approach is followed throughout the study with an exploratory nature that is used to analyze two company cases. In total, two participants were interviewed through qualitative and semi-structured questions; two managers in the impact investing field.   Conclusion:  The findings reveal the interconnection of impact measurement, values and impact management. The authors have derived a model that graphically represents the Impact-Return Nexus Model (IRNM) which enhances the impact awareness and long-term value creation. The result of this study shows how the synergy between social impact and financial return will improve the performance on both sides. Accordingly, the cases present that a nuanced impact-approach tends to scale both impact and profits.

In the United States, faith-based and other small credit unions are vanishing at the rate of nearly a credit union each workday. The purpose of this causal-comparative study was to provide managers of faith-based credit unions with information about differences in financial performance and risk tolerance between faith-based and non-faith-based credit unions in order to improve their investment strategy and long-term sustainability. The study included a comparison of ratios measuring the financial performance and risk tolerance of randomly selected faith-based credit unions in the United States with the corresponding ratios of non-faith-based credit unions of similar size and location from 2003 to 2012. The data were collected from the National Credit Union Association, the U.S. government regulator of federally insured credit unions. The data analysis involved t tests and one-way ANOVAs to determine the differences in mean ratios of financial performance and risk tolerance between faith-based and non-faith-based credit unions. The findings demonstrated mixed support for the theoretical framework based on the Protestant ethic theory, which holds that certain traits associated with religion (e.g., thrift and debt avoidance) might influence financial performance and risk tolerance. The findings revealed significant differences between faith-based and non-faith-based credit unions in capital adequacy, liquidity risk, and credit risk, but not in profitability and interest rate risk. The implications for social change include the potential to strengthen the risk management and investment strategies for faith-based credit unions, thereby helping to ensure the continuation of vital financial services valued by members and their communities.

Magistro baigiamajame darbe pristatomas naujas kapitalo paskirstymo akcijų rinkoje modelis. Modelio teoriniam pagrindui naudojama modernioji portfelio teorija ir statistiniai prognozavimo metodai. Modelio praktinis panaudojimas pavaizduojamas Europos rinkų pavyzdžiu – peržiūrimi Nasdaq OMX internetiniame portale esantys 647 Europos akcijų pelningumo duomenys. Iš šių akcijų išrenkamos 7-ios, kurių pelningumas per paskutinius septynis metus buvo didžiausias. Atrinktos pelningiausių Europos firmų akcijos yra magistro baigiamojo darbo objektas. Darbo tikslas – išanalizavus ARIMA ir moderniosios portfelio teorijos kapitalo paskirstymo modelius suformuoti optimalų investicijų portfelį iš pelningiausių Europos akcijų, bei patikrinti hipotezę, kad taikant matematinius prognozavimo ir kapitalo paskirstymo modelius galima suformuoti portfelį, kurio pelningumo premijos ir rizikos santykis bus geresnis, nei palyginamųjų rinkų indeksų. Atsižvelgiant į darbo tikslą ir suformuotus uždavinius, pirmiausiai išrenkamos pelningiausios Europos akcijos ir trumpai apibūdinama išrinktų firmų veikla. Pristatomas kuriamo modelio teorinis pagrindas: supažindinama su ARIMA modelio koncepcija ir metodika, paaiškinama kapitalo paskirstymo atsižvelgiant į pelningumo ir rizikos santykį logika. Teorinis-loginis modelio formavimas pritaikomas praktiniame lygmenyje DNORD, MIC SDB, MOLS, ALFA, UIE, EKTA B, LEL akcijoms (santrumpų reikšmes galite rasti darbo pradžioje). Suformuoto investicijų portfelio... [toliau žr. visą tekstą] / In this concluding paper of master degree there is a new capital allocation in stock market model invented. The main principles of the modern portfolio theory and statistical forecasting are used as the theoretical basis of the model. The practical significance of the model is presented by using an example from the European markets – there are 647 European stock market shares analyzed. Seven shares that have the highest profitability over the last 7 years are selected as the components of the new portfolio. These shares are considered as the object of the research. The main goal of the research is to analyze ARIMA statistical forecasting and basic models of the modern portfolio theory and form an optimal investment portfolio consisting of the most profitable shares from the European market. The relevance of the research is verified by testing a hypothesis that mathematical models of forecasting and capital allocation can be applied to form a portfolio which would perform better than main indexes of the global markets in respect of the balance between profitability premium and risk. The process of the research is constructed as follows: selecting the most profitable shares from the European market, forming the theoretical background of the new model by introducing ARIMA forecasting and capital allocation principles, forming a new capital allocation and management model by combining ARIMA and H.Markowitz’s principles and practically using the new model for the selected (DNORD... [to full text]

Traditional economic theory postulates that people are rational. This implies that people make decisions to maximize their utility functions and to do this, that they have fully and correctly evaluated their preferences and limitations. Behavioral economics recognizes that this is not always true, that sometimes information is incomplete. This article is examines some of the effects of behavioral economics (which come largely from cognitive psychology) in decision-making by investors in the stock exchanges. / La teoría económica tradicional postula que las personas son racionales. Esto implica que las personas toman decisiones para maximizar sus funciones de utilidad, y que para hacer esto han evaluado de forma completa y correcta sus preferencias y limitaciones. La economía del comportamiento reconoce que esto no es siempre verdad; que a veces no existe suficiente información. En este artículo, examino algunos de los efectos de la economía del comportamiento (que vienen en gran parte de la psicología cognitiva) en la toma de decisiones por los inversionistas en las bolsas de valores.

To mitigate climate change, the transition to a low-carbon economy is imperative. Even though this transition poses unprecedented economic and social risks, academic research regarding the impacts of such risks on the financial sector is limited. This thesis develops an integrated analytical framework to quantify the transition risks of equity portfolios. The aim is to improve the scientific understanding of transition risk modelling and to enable a forward-looking risk analysis in investment management. Transition risks are analyzed with a scenario-based approach. Three transition scenarios that stretch until 2025 and 2030 are constructed. For each scenario, three risk variables are designed: a global carbon tax, a change in the share of renewables in electricity generation, and a change in fossil fuel production. A transition-adjusted dis-counted cash flow (TA-DCF) model is developed to estimate the financial impacts of those risks. Furthermore, a method to model company-specific transition capacity is applied. The findings of the study suggest limited total transition impacts on the portfolio level until 2030. The analysis of a diversified global equity index discovers losses of -2.95% of the total market value in the most ambitious transi-tion scenario. Transition risks become more apparent on the sector and individual company level. The thesis finds that three sectors, Energy, Utilities and Materials, are highly exposed to transition risks. In addition, the TA-DCF model enables the identification of companies that are expected to lose of most of their value due to transition risks as well as companies that leverage the emerging opportunities. The developed framework can be applied in portfolio management and portfolio construction to incorporate tran-sition risks into decision-making processes in financial risk management. Several use cases, i.e. the development of a low transition risk benchmark, are discussed.

Thesis (MComm)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: Do firms that have low dependence on physical assets as well as high profitability outperform companies with the opposite characteristics in the market? Despite the lack of empirical research, conventional wisdom would suggest that they should. Conceptually, investors should prefer profitable companies to less profitable companies, and lower capital-intensive to high capital-intensity firms. Using a large sample of global stocks over the period from 1988 to 2010, the effect of using capital intensity and return on capital employed (ROCE) as filters for portfolio inclusion was investigated. A quantitative research approach was followed in this study. This involved dividing the sample into five subsets, or quintiles, according to the specific metric (for example capital intensity). The total return of an equally weighted portfolio was then measured for each quintile for the subsequent 12 months. The portfolio was rebalanced annually and the subsequent 12-month return recorded. Because enhanced performance on new capital investments may take longer than 12 months to be reflected in share prices, quintile performance was also measured over five-year holding periods. The empirical findings of this study reveal that there was no discernible pattern of outperformance by low capital-intensive quintiles using annual rebalancing. However, the lowest capital-intensive firms had the highest average returns using five-year holding periods. The highest ROCE firms performed best with annual rebalancing and with five-year holding periods. Combining both capital intensity and ROCE, a portfolio focused on low capital intensity and high profitability produced a compound annual growth rate that is 9.18 percentage points higher than a portfolio focused on the highest capital intensity and the lowest ROCE. Over five-year holding periods there is a distinct outperformance by low capital-intensive firms with high operational profitability. These results indicate that allocation of investment capital to capital-intensive companies with low operational profitability seems likely to impair long-term returns, and there may be value in a focus on low capital-intensity firms that are able to generate high returns on capital employed. / AFRIKAANSE OPSOMMING: Sal maatskappye met lae afhanklikheid van fisiese bates, asook hoë winsgewendheid, maatskappye met die teenoorgestelde eienskappe uitpresteer in die mark? Ten spyte van ‘n gebrek aan empiriese navorsing, sal konvensionele wysheid voorstel dat dit so moet wees. Beleggers behoort winsgewende maatskappye bo minder winsgewende maatskappye te verkies, en laer kapitaalintensiewe bo hoë kapitaalintensiewe maatskappye. Die gebruik van kapitaalintensiteit en opbrengs op kapitaal aangewend (OOKA) in die beleggingsbesluit word ondersoek deur gebruik te maak van ‘n groot steekproef globale aandele oor die tydperk 1988 tot 2010. 'n Kwantitatiewe navorsingsbenadering was gevolg in die studie. Dit het die verdeling van die steekproef in vyf onderafdelings, of kwintiele, volgens die spesifieke maatstawwe (byvoorbeeld kapitaal-intensiteit) behels. Die totale opbrengs van 'n gelyk-geweegde portefeulje is vervolgens gemeet vir elke kwintiel vir die daaropvolgende 12 maande. Die portefeulje is jaarliks herbalanseer en die daaropvolgende 12 maande se opbrengs is aangeteken. Omdat verbeterde prestasie op nuwe kapitaalbeleggings langer kan neem as 12 maande om in aandeelpryse weerspieël te word, is kwintiel prestasie ook oor vyf jaar hou periodes gemeet. Die bevindinge van hierdie studie dui daarop dat daar geen beduidende verbetering in prestasie onder laer kapitaalitensiewe kwintiele oor een jaar houperiodes was nie. Die laagste kapitaalintensiewe maatskappye het egter oor ‘n hou periode van vyf jaar die hoogste gemiddelde opbrengs gelewer. Die hoogste OOKA maatskappye het die beste gevaar met jaarlikse herbalansering en met 'n houperiode van vyf jaar. 'n Portefeulje gefokus op lae kapitaalintensiteit en hoë winsgewendheid het 'n saamgestelde jaarlikse groeikoers gelewer wat 9,18 persentasiepunte hoër was as 'n portefeulje gefokus op die hoogste kapitaalintensiteit en die laagste OOKA. Oor houperiodes van vyf jaar was daar duidelike uitprestering deur lae kapitaalintensiewe ondernemings met hoë operasionele winsgewendheid. Hierdie resultate dui daarop dat die toekenning van beleggingskapitaal aan kapitaalintensiewe maatskappye met lae operasionele winsgewendheid waarskynlik langtermynopbrengste benadeel en dat 'n fokus op lae kapitaalintensiteit maatskappye, wat in staat is om 'n hoë opbrengs op kapitaal te genereer, moontlik meer lonend kan wees.