<p><font face="F59" size="3"><font face="F59" size="3"> <p align="left">This study examines the relationship between stock returns and market segmentation. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly the analytic factor and cluster analysis techniques. Evidence supporting the use of multi-index models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s hypothesis on market segmentation on the JSE.</p> </font></font></p>

This study develops a dynamic importance sampling method (DIS) for numerical simulations of rare events. The DIS method is flexible, fast, and accurate. The most importance is that it is very easy to implement. It could be applied to any multifactor copula models, which conduct by arbitrary independent random variables. First, the key common factor (KCF) is determined by the maximum value among the coefficients of factor loadings. Second, searching the indicator by the order statistics and applying the truncated sampling techniques, the probability of large losses (PLL) and the expected excess loss above threshold (EELAT) can be estimated precisely. Except for the assumption that the factor loadings of KCF do not exit zero elements, we do not impose any restrictions on the composition of the portfolio. The DIS method developed in this study can therefore be applied to a very wide range of credit risk models. Comparison of the numerical experiment between the method of Glasserman, Kang and Shahabuddin (2008) and the DIS method developed in this study, under the multifactor Gaussian copula model and the high market impact condition (the factor loadings of marketwide factor of 0.8), both variance reduction ratio and efficient ratio of the DIS model are much better than that of Glasserman et al. (2008)¡¦s. And both results approximate when the factor loadings of marketwide factor decreases to the range of 0.5 to 0.25. However, the DIS method is superior to the method of Glasserman et al. (2008) in terms of the practicability. Numerical simulation results demonstrate that the DIS method is not only feasible to the general market conditions, but also particularly to the high market impact condition, especially in credit contagion or market collapse environments. It is also noted that the numerical results indicate that the DIS estimators exit bounded relative error.

A Multifactor model is used to explain asset return and risk and its explanatory power depends on common factors that the model uses. Researchers strive to find reasonable factors to enhance multifactor model¡¦s efficiency. However, there are still some unknown factors to be discovered. Miller (2006) presents a general concept and structure of hybrid factor model. The study follows the idea of Miller (2006) and aims to build a complete flow of constructing hybrid factor model that is based on fundamental factor model and statistical factor models. We also apply the hybrid factor model to the Taiwan stock market. We assume that a fundamental factor model is already developed and therefore this study focuses on building the second stage, statistical factor model. Principal Component Analysis is used to form statistical factor and spectral decomposition is used to prepare data for principal component analysis. Those methods are applied to stocks on the Taiwan Stock Exchange in the period of January 1, 2000 to December 31, 2009. This study presents a complete construction flow of hybrid factor models and further confirms that a hybrid factor model is able to find missing factors in a developing market such as Taiwan¡¦s stock market. The study also discovers that the missing factors might be market factor and extensive electronic industry factor.

Prevalence of childhood asthma in Taiwan has increased 9 times from 1.3% to 10-14% in the past 4 decades. Many studies worldwide have demonstrated that many genes in different chromosomes are implicated in childhood asthma in different ethnic populations. A growing body of evidence suggests that allergic sensitization could occur in perinatal stage and correlate to the development of childhood asthma. Epidemiological studies, however, indicate that prevalence of childhood asthma is much higher in developed countries than that in developing countries; and prevalence of childhood asthma in metropolitan area is higher than that in country sites. This suggests that certain genes can interact with the environmental factors in developed countries to promote the development of childhood atopic disorders. Interests are now increasing on what is (are) the real pathogenic gene-gene interaction(s) for childhood atopic disorders under influence of age, gender and environmental factors? In a large perinatal cohort study with 1,211 pregnant women and their offspring from the obstetrics and pediatrics of Kaohsiung Chang Gung Memorial Hospital, we analyzed 159 allergy candidate genes with 384 single nucleotide polymorphisms and showed that 14 genes over 22 somatic and X chromosomes risk to or protective from cord blood immunoglobulin E (CBIgE) elevation are different from those genes associated with IgE elevation in children under 1.5, 3 and 6 years of age (12, 15 and 12 genes, respectively). CX3CL1, IL13, PDGFRA and FGF1 polymorphisms were associated with elevated IgE at earlier ages (newborn, 1.5 and 3 years); HLA-DPA1, HLA-DQA1, CCR5 and IL5RA polymorphisms were associated with IgE production at 6 years of age. Further analysis by multifactor dimensionality reduction (MDR) developed from data reduction strategy, we found that there are interactions among innate immunity, adaptive immunity, and response and remodeling genes on IgE production begin in prenatal stage. For example, The gene-gene interaction among IL13, rs1800925, CYFIP2, rs767007 and PDE2A, rs755933 was significantly associated with IgE production at 3 years of age. This suggests that different genotypes of genes interact one another on the IgE production contributing to the development of allergic diseases. Since the concentration of IgE is an important indicator of atopic disorders and allergic sensitization, we believe after clarifying the natural course of the genomic profiles on IgE elevation, certain early predictor(s) and preventive regimens for allergic sensitization or atopic disorders may be made possible.

Title: Investigations on the real estate market, what are the main factors influencing the performance of the French Real Estate Investments Trusts? Problem: In 2003, the French government implemented a new tax-exempt structure in the real estate market. Like REITs in the United States, SIICs are listed French companies that aim to improve the performance of real estate stocks on Paris Stock Exchange. The problem consists of determining the performance of the SIICs’ portfolio, identifying the major influences of economic factors and capturing financial behaviour in asset portfolio management. Purpose: Recently, the subprime crisis has largely brought out uncertainty of financial actors in the real estate sector. In this context, we try to apprehend the performance of these specific SIICs investment vehicles related to financial, economic and managerial influences, by quantifying their stock performance in a five-year time frame. Methodology: A deductive approach guides our thesis to emphasize our research question. Our business strategy entails positivism and objectivism considerations and relies on a case analysis research design using the multifactor model. Besides, the data collection process is following a quantitative approach of twenty chosen French SIICs between 2003 and 2007. Result / Conclusion: Even if the multifactor model used by the authors may be viewed as unspecified, useful results can still be extracted and analysed. The hotel &amp; LDG sector slightly performs better than others depending on the strategy of investment and the state of economy. Long-term interest rate acts as the principal explanatory factor. Investors do not necessarily respond in favour of the general market confidence indicator.

<p><font face="F59" size="3"><font face="F59" size="3"> <p align="left">This study examines the relationship between stock returns and market segmentation. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly the analytic factor and cluster analysis techniques. Evidence supporting the use of multi-index models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s hypothesis on market segmentation on the JSE.</p> </font></font></p>

>Magister Scientiae - MSc / This study examines the relationship between stock returns and market segmentation. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly the analytic factor and cluster analysis techniques. Evidence supporting the use of multi-index models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s hypothesis on market segmentation on the JSE.

The primary aim of this study was to determine the relationship between the practice of transformational leadership and a high-performance culture.The study hypothesized a positive relationship between transformational leadership and a high-performance culture. It also examined the predictive value of transformational leadership behaviours to the different dimensions of a high-performance culture. The survey included a sample of 209 leaders fromvarious South African organisations. The Multifactor Leadership Questionnaire (MLQ5X Form 5X) was completed by these leaders and their subordinates. The High-performance Culture Questionnaire was completed by the subordinates only. Findings indicated positive correlations between transformational leadership and a highperformance culture. Furthermore, differences were found to exist in the predictive value of transformational leadership behaviours to the various dimensions of a high-performance culture. The theoretical and practical implications of these findings were discussed. / Dissertation (MCom)--University of Pretoria, 2016. / tm2016 / Human Resource Management / MCom / Unrestricted

Magister Commercii - MCom / Over the past four decades, size, value and momentum effects have been uncovered on stock markets, and several multifactor asset pricing models have been proposed to explain them. The associated premiums have been found to be time-varying and the explanations behind the effects are still debated. In South Africa, contradictory findings have been reported on the existence of those effects and the explanatory power of multifactor models. More important, the cyclicality of the effects and the risk/mispricing debate have been given little attention. In this regard, this study purports to establish the existence of size, value and momentum effects, investigate the explanatory power of the Fama-French three- and five-factor models (FF3F and FF5F respectively), and Carhart four-factor model (C4F), and examine the cyclicality and risk-based rationale of the style premiums on the Johannesburg Stock Exchange (JSE). Using a research sample comprised of common stocks included in the FTSE/JSE All Share Index (ALSI) for the period 1 January 2002 - 31 December 2018, the study subdivides the examination period into two business cycles, with each cycle including one upward phase and one downward phase

The purpose of the study was to investigate any relationship between an established group of senior military officers' leadership styles and their personal values as a predictor of future effective leadership. The study evaluated the relationship between Nelson's (1989) 80-item Personal Values Profile (PVP) and Bass and Avolio's (2004) full-range leadership model (MLQ 5X) as a means to predict effective leadership. The respondents to the surveys were a unique sample of convenience consisting of 1978 graduates of the United States Naval Academy who had spent 30 years as officers in either the U.S. Navy or U.S. Marine Corps. The results of the MLQ 5X indicated that the group of career military officers scored higher than Bass and Avolio's normative group in seven of the nine leadership styles and in all three of the leadership outcomes. The two leadership styles in which the career military officers scored lower than the normative group were in the passive-avoidant or non-leadership categories. This sample group scored higher than the normative group in every category of transactional leadership styles as well as in every category of transformational leadership styles. Linear regression analysis of the full-range leadership model against the Personal Values Profile identified a moderate predictor of effective leadership based on personal values when transactional leadership and transformational leadership were combined. A second predictor for effective leadership was found when only transformational leadership was evaluated.