This dissertation consists of three chapters describing the applications of factor models in different fields of asset pricing. The first chapter addresses the following issue: Prominent volatility-based factor pricing models focus exclusively on the second moment of asset returns, and hence, tend to identify volatile factors but with little risk premia. This chapter demonstrates that a simple asset return transform can arbitrarily upset the ranking of volatility-based factors, but not their prices of risks. Accordingly, we propose a new framework to identify factors based on their prices of risks, or the so-called principally priced risk factors (PPRFs). We construct these factors by generalizing the standard Sharpe ratio for a single asset to a set of assets, incorporating information from both the first and second moments of asset returns. The PPRF framework improves out-of-sample pricing performance in both equity and currency markets. The second chapter identifies the origins of covariance in institutional trading. Conceptually, we introduce two perspectives: the asset perspective, which prioritizes assets as the key market fundamentals, and the manager perspective, which prioritizes fund managers as the key market fundamentals that drive institutional trading covariance. Empirically, we establish that the asset perspective is the primary driver of covariance in institutional trading. Our analysis documents two further empirical patterns. First, returns stemming from the covariance in institutional trading from the asset perspective have higher volatility, offering valuable insights into the demand-based asset pricing literature. Second, the persistence in trading often breaks down during economic downturns, suggesting potential connections to the uncertainty-based business cycle literature. Finally, the third chapter examines the impact of changes in monetary policy rules on the asset valuations of firms with different profitability. I have the following two empirical findings. First, during periods of hawkish monetary policies, the 'profitability premium'— the expected extra return on investments in more profitable firms — tends to increase. Second, when analyzing the factors mediating this effect, changes in inflation expectations play a more significant role in influencing the profitability premium during transitions to a hawkish monetary regime, compared to the effects of real interest rate adjustments on production costs. These observations suggest a possible mechanism by which monetary policy may have different long-term effects on firms with different characteristics. / Doctor of Philosophy / This dissertation explores factor models in asset pricing across three chapters. The first chapter critiques volatility-based models that focus on asset return variance and introduces a new framework for identifying factors based on risk prices, enhancing pricing performance in equity and currency markets. The second chapter investigates the origins of covariance in institutional trading, emphasizing the asset perspective as the dominant influence and documenting higher volatility and breakdowns in trading persistence during economic downturns. The third chapter examines the effects of monetary policy changes on firm asset valuations, finding that hawkish policies increase the profitability premium, significantly influenced by shifts in inflation expectations rather than changes in real interest rates. These insights highlight the nuanced impacts of market fundamentals and monetary policy on asset pricing and firm profitability.

Recent developments in the breeding of higher-value wildlife have seen the emergence of an alternative investment opportunity being offered to potential investors. Through this opportunity, investors can enter a lucrative market which has proven to date to be a highly profitable alternative, generating even higher than above average returns. The objective of this study can be summarized as three-fold: to determine whether higher-value wildlife can be considered as an investment alternative, to contextualize higher-value wildlife as an investment alternative and finally to establish guidelines for investment in this new asset class by means of a case study approach and the analysis of the methodology of two ranchers/investment providers offering higher-value wildlife as an investment opportunity. As this investment initiative continues to develop and new investment opportunities arise, the need for contextualization and analysis of investments in higher-value wildlife, based on sound financial management principles, is becoming more apparent. In order to address this need for contextualization, a literature review is undertaken where the background of higher-value wildlife is discussed. However, contextualization of a new asset class cannot be completed in isolation. The nature of investments is analysed, followed by a discussion of the most commonly used investment options and techniques utilized in investment analysis. However, contextualization of a new asset class based purely on literature, would disregard the practical application that is utilized within the higher-value wildlife investment sector. Therefore an industry relevant context is presented by analysing the practices and methodology employed by two ranchers/investment providers who offer higher-value wildlife as an investment option. In order to validate investment in higher-value wildlife and factually classify the economic activity as an investment alternative, a set of criteria and characteristics are established. Based on a literature review regarding the nature of investments, the conclusion is made that higher-value wildlife is a valid tangible alternative investment option, adhering to investment principles such as risk and return. Through the analyses of information gathered by means of two case studies, the theory and criteria is applied and further conclusions are drawn in order to establish guidelines for investment in the higher-value wildlife industry. This is done by an analysis of the business model and the modus operandi of the case studies. The advantages and inherent disadvantages regarding the manner in which the case studies approach higher-value wildlife investment is highlighted. By incorporating and analysing the information gathered (by means of semi-structured interviews and literature reviews) conclusions are drawn which could provide information and guidelines for potential future investors. As stated, this research is based on a case study approach, whereby specific industry insights are gained from established high-value wildlife ranchers/investment providers. The investment principles discussed in the literature review are applied to each case study for a comprehensive analysis of investment in higher-value wildlife. This acts as an important aid in the contextualization of higher-value wildlife as a viable investment alternative within the broader investment landscape. Creating context and establishing the validity of a new asset class of investments is of utmost importance. This study aims to address the above and provide guidelines for future investment by analysing higher-value wildlife as an investment alternative. / MCom (Management Accountancy), North-West University, Potchefstroom Campus, 2015

Recent developments in the breeding of higher-value wildlife have seen the emergence of an alternative investment opportunity being offered to potential investors. Through this opportunity, investors can enter a lucrative market which has proven to date to be a highly profitable alternative, generating even higher than above average returns. The objective of this study can be summarized as three-fold: to determine whether higher-value wildlife can be considered as an investment alternative, to contextualize higher-value wildlife as an investment alternative and finally to establish guidelines for investment in this new asset class by means of a case study approach and the analysis of the methodology of two ranchers/investment providers offering higher-value wildlife as an investment opportunity. As this investment initiative continues to develop and new investment opportunities arise, the need for contextualization and analysis of investments in higher-value wildlife, based on sound financial management principles, is becoming more apparent. In order to address this need for contextualization, a literature review is undertaken where the background of higher-value wildlife is discussed. However, contextualization of a new asset class cannot be completed in isolation. The nature of investments is analysed, followed by a discussion of the most commonly used investment options and techniques utilized in investment analysis. However, contextualization of a new asset class based purely on literature, would disregard the practical application that is utilized within the higher-value wildlife investment sector. Therefore an industry relevant context is presented by analysing the practices and methodology employed by two ranchers/investment providers who offer higher-value wildlife as an investment option. In order to validate investment in higher-value wildlife and factually classify the economic activity as an investment alternative, a set of criteria and characteristics are established. Based on a literature review regarding the nature of investments, the conclusion is made that higher-value wildlife is a valid tangible alternative investment option, adhering to investment principles such as risk and return. Through the analyses of information gathered by means of two case studies, the theory and criteria is applied and further conclusions are drawn in order to establish guidelines for investment in the higher-value wildlife industry. This is done by an analysis of the business model and the modus operandi of the case studies. The advantages and inherent disadvantages regarding the manner in which the case studies approach higher-value wildlife investment is highlighted. By incorporating and analysing the information gathered (by means of semi-structured interviews and literature reviews) conclusions are drawn which could provide information and guidelines for potential future investors. As stated, this research is based on a case study approach, whereby specific industry insights are gained from established high-value wildlife ranchers/investment providers. The investment principles discussed in the literature review are applied to each case study for a comprehensive analysis of investment in higher-value wildlife. This acts as an important aid in the contextualization of higher-value wildlife as a viable investment alternative within the broader investment landscape. Creating context and establishing the validity of a new asset class of investments is of utmost importance. This study aims to address the above and provide guidelines for future investment by analysing higher-value wildlife as an investment alternative. / MCom (Management Accountancy), North-West University, Potchefstroom Campus, 2015

Thesis (MBA)--Stellenbosch University, 2000 / ENGLISH ABSTRACT: An increase in personal wealth and higher emphasis on profitable investments for retirement has materiálised in a search for investment vehicles to produce superior returns. Two main disciplines of analyses are being used in an attempt to forecast future stock returns. These are fundamental analysis and technical analysis. This study will use technical analysis to generate buy and sell signals for a pseudoportfolio. Portfolio returns were analysed to determine their performance relative to a market index, in this case the S&P 500. A backtesting period of nine years was used to "train" the indicator variables, and applied to a tenth year's data, used as forward testing. Backtesting returns were significantly superior than that of the market, and forward testing significantly inferior. These results appear to confirm the efficient market and random walk theories. A .number of differences of opinion were identified, indicating the need for further research. / AFRIKAANSE OPSOMMING: Toenemende strewe na materiële welvaart en 'n groter fokus op gemaklike aftrede het studies ter hoër beleggings opbrengs gestimuleer. Beide fundamentele en tegniese analises word tans gebruik in 'n poging om toekomende mark prysbeweging te kan voorspel. In hierdie studie is tegniese analise gebruik om koop en verkoop wysers te genereer, waarvan die opbrengs in 'n skyn-portefeulje bepaal is. Die opbrengs van hierdie portefeulje is vergelyk met 'n toepaslike mark - indeks, in hierdie geval die S&P 500. 'n Periode van nege jaar se data is gebruik om tegniese parameters se optimum waardes te bereken, en daarna onveranderd op 'n tiende jaar se historiese data toegepas. Die opbrengste is in beide gevalle bepaal, met terugwaartse opbrengste hoër as mark opbrengs en vooruit toetsing statisties beduidenisvol laer as mark opbrengs. Hierdie resultate is beduidenisvol, en bevestig die geldigheid van die doeltreffende markhipotese asook die toevallige prysbewegingsteorie. 'n Aantal leemtes in huidige portefeulje opbrengste teorieë is geïdentifiseer wat in verdere studies aangespreek behoort te word.

published_or_final_version / Real Estate and Construction / Master / Master of Science in Real Estate and Construction

Approved for public release; distribution in unlimited. / In an environment of scarce resources and rising federal deficits the people not only expect, but demand greater accountability for the spending of public funds. This demand has created a trend in the public sector, not only in the United States, but worldwide as well, towards the importation of private sector business practices to improve accountability-oriented analysis. One example is increased emphasis on return on investment (ROI) analysis in public sector organizations. Development and application of ROI analysis is challenging in the public sector since most government organizations do not generate profit necessary for calculation of ROI in the manner in which it is done in the private sector. This thesis develops the methodology necessary for use of ROI analysis in the public sector. ROI methodology is applied for test evaluation with the Space and Naval Warfare Systems Command (SPAWAR) in San Diego. The test demonstrates that ROI can be applied successfully to assess the relative efficiency of value-added work and to improve the process of choosing between investment alternatives. Properly designed ROI analysis reveals how and for what goods and services money is spent and provides a means for comparing the value derived from investment and work performed. / Lieutenant, United States Navy

Allt mer konsumtion har förflyttats till att ske via e-handel. Detta skapar nya förutsättningar för konsumenter och e-handelsföretag. Trots de många fördelar som detta medför, tillkommer även problem. Tidigare studier visar på att konsumentreturer till följd av e-handel har ökat markant de senaste åren, något som sätter stor press på e- handelsföretags logistikflöden eftersom varor inte bara behöver transporteras till konsument utan även tillbaka från konsument. Detta bidrar till negativ påverkan på miljön i form av ompaketeringar som kräver extra material samt utsläpp från de transportmedel som används. Tidigare studier vittnar även att ökningen av konsumentreturer skiljer sig mellan branscher där modebranschen kunnat identifieras som en bransch där ökningen är som störst. Statistik visar att mer än hälften av alla sålda modevaror returneras, vilket skapar negativa konsekvenser för såväl miljön som e-handelsföretagens lönsamhet. E- handelsföretagen är enligt tidigare studier medvetna om konsekvenserna men vet inte hur problemet ska angripas. Till följd av den ökade digitaliseringen har det skett en maktförskjutning från företag till konsument, vilket gör att konsumenters beteende och attityder kan få en stor påverkan på mängden konsumentreturer. Konsumenters beteende och attityder behöver därav granskas för att hitta förebyggande åtgärder för att hantera ökningen av konsumentreturer. För att minska risken att en retur inträffar undersöker denna studie vad som skapar värde för konsumenten för att förebygga att en retur uppstår. Eftersom konsumenter kan ha många olika tankar och åsikter gällande vad som skapar värde är det vidare av vikt att undersöka olika typer av konsumenter. Konsumentbeteende har även visat skilja sig mellan olika länder och vi ser ett behov av forskning inom ämnet på den svenska marknaden. För att bidra med forskning till området är syftet att identifiera vilka aspekter svenska konsumenter värderar vid e-handel och returneringsprocesser för att därmed förstå bakomliggande orsaker till att konsumentreturer inträffar. Eftersom konsumentbeteende även visat sig skilja mellan olika generationer syftar även studien på att jämföra vad som skapar värde för generation X samt Y. Studiens syfte är vidare att bidra med information till e-handelsföretag om vad konsumenter uppfattar som värdefulla aspekter inom e- handel och returneringsprocessen för att kunna använda som underlag till att förebygga konsumentreturer och därmed en minskad miljöpåverkan. För att besvara syftet har teorier som tillhör områdena returlogistik, konsumentbeteende, kundvärde och hållbarhet använts. Studien har utförts kvalitativt med empiriskt underlag från djupintervjuer av åtta respondenter med fyra respondenter inom respektive generation. Studiens resultat visar att konsumenter, oavsett generation värderar pris, bekvämlighet, trygghet och service vi e-handelsköp. Om en retur inträffar skapas värde i returneringsprocessen genom attribut som underlättar för konsumenten vid returens genomförande. Att en retur inträffar sker främst till följd av att konsumentens förväntningar inte uppfylls. En rekommendation till e-handelsföretag är därför att fokusera på att förbättra informationsangivelser och bilder av deras modevaror för att skapa realistiska förväntningar hos konsumenten, vilket kan bidra till att förväntningarna uppfylls och att konsumentreturer kan förebyggas.

by Chan Ping Kei Patrick & Sun Fuk Cheung, Admiral. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leave 40). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / Chapter / Chapter I. --- INTRODUCTION & BACKGROUND --- p.1 / Chapter 1.1 --- Objectives of our study --- p.2 / Chapter 1.2 --- Category of Red Chips --- p.3 / Chapter 1.3 --- "A, B and H shares compared" --- p.4 / Chapter II. --- METHODOLOGY --- p.8 / Chapter 2.1 --- Period of study --- p.10 / Chapter 2.2 --- Redchip Index (RCI) --- p.11 / Chapter 2.3 --- Share price return --- p.12 / Chapter 2.4 --- Initial Public Offering (IPO) --- p.13 / Chapter 2.5 --- Estimating Betas --- p.14 / Chapter 2.6 --- P/E comparison --- p.15 / Chapter III. --- RESULTS --- p.16 / Chapter 3.1 --- Background information --- p.16 / Chapter 3.2 --- Empirical analysis --- p.18 / Chapter 3.3 --- Share price return --- p.20 / Chapter 3.4 --- Performance of new issues in 1993 --- p.21 / Chapter 3.4.1 --- General trends --- p.21 / Chapter 3.4.2 --- Seasoning effect --- p.24 / Chapter 3.5 --- Beta estimation --- p.27 / Chapter 3.6 --- P/E comparison --- p.28 / Chapter 3.7 --- China factors --- p.28 / Chapter IV. --- THE VIEW OF PRACTITIONERS --- p.30 / Chapter V. --- CONCLUSION --- p.31 / APPENDIX --- p.32 / BIBLIOGRAPHY --- p.40

by Leung Wing-keung, Edward, Wong Tai-chung, Ivan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 98-99. / Chapter CHAPTER I --- INTRODUCTION --- p.1 / OBJECTIVE OF THE STUDY --- p.2 / INDEXES --- p.2 / World Index --- p.3 / Industrial Indexes --- p.3 / Effective (Trade Weighted) Exchange. Rate Index --- p.4 / SRH Political/Economic Confidence Index --- p.4 / Average Consumer Price Index --- p.5 / Chapter CHAPTER II --- LITERATURE REVIEW --- p.6 / Domestic Versus International Factors --- p.6 / Currency Factors --- p.11 / Market Correlation --- p.19 / Conclusion --- p.22 / Chapter CHAPTER III --- METHODOLOGY --- p.24 / Portfolio construction --- p.25 / Industrial sectors --- p.26 / Indexes --- p.26 / Data Smoothing --- p.27 / Measure of Individual Stock Return --- p.28 / Regression --- p.30 / Simple Linear Regression --- p.30 / Multiple Linear Regression --- p.30 / Correlation --- p.31 / Chapter CHAPTER IV --- DATA COLLECTION --- p.32 / World Index --- p.32 / Industry Indexes --- p.32 / Effective (Trade-weighted) Exchange Rate Index (EERI) --- p.33 / SRH Political/Economic Confidence Index --- p.33 / Consumer Price Indexes --- p.33 / Return of Stocks --- p.33 / Chapter CHAPTER V --- STATISTICAL FINDINGS --- p.35 / Correlation of the Indexes and Stock Returns --- p.35 / World Index and Industry Indexes --- p.36 / World Index and Average CPI --- p.36 / Industry Indexes and Average CPI --- p.37 / Banking Portfolio --- p.38 / Financial Services --- p.39 / Textile & Apparel --- p.42 / Real Estates --- p.44 / Simple Regression --- p.47 / International Versus Domestic Factors --- p.47 / Individual Factors --- p.48 / Chapter CHAPTER VI --- CONCLUSION --- p.69 / Banking --- p.70 / Finance --- p.70 / Textile and Apparel --- p.70 / Real Estates --- p.71 / Chapter CHAPTER VII --- RECOMMENDATION FOR FURTHER RESEARCH --- p.72 / APPENDICES / Chapter APPENDIX 1 --- The Composition of Effective (Trade- weighted) Exchange Rate Index --- p.74 / Chapter APPENDIX 2 --- Method of Compilation of EERI --- p.75 / Chapter APPENDIX 3 --- Method of Compilation of SRH Confidence Indexes --- p.76 / Chapter APPENDIX 4 --- Weights for The New Consumer Price Indexes By Section of Commodities / Services --- p.78 / Chapter APPENDIX 5 --- Composition of The portfolios --- p.79 / Chapter APPENDIX 6 --- SRH Confidence Indexes --- p.81 / Chapter APPENDIX 7 --- SPSS Multiple Regression Results (Banking Portfolio) --- p.82 / Chapter APPENDIX 8 --- SPSS Multiple Regression Results (Financial Services Portfolio) --- p.86 / Chapter APPENDIX 9 --- SPSS Multiple Regression Results (Textile & Apparel Portfolio) --- p.90 / Chapter APPENDIX 10 --- SPSS Multiple Regression Results (Real Estates Portfolio) --- p.94 / BIBLIOGRAPHY --- p.98

Wu Haijun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 45-48). / Abstracts in English and Chinese. / Abstract --- p.ii / Acknowledgement --- p.iv / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Literature Review --- p.4 / Chapter 2.1. --- The Fisher Hypothesis --- p.4 / Chapter 2.2. --- International Fisher Equation --- p.11 / Chapter Chapter 3. --- Theoretical Basis on The Link Between Stock Return Differential and Inflation Rate Differential --- p.15 / Chapter Chapter 4. --- Data Description --- p.19 / Chapter Chapter 5. --- Results --- p.23 / Chapter 5.1. --- Does The Generalized Fisher Hypothesis Hold In The Long Horizons --- p.24 / Chapter 5.2. --- Does International Fisher Equation Hold --- p.29 / Chapter 5.3. --- Can International Elements Account For The Failure of Fisher Hypothesis --- p.36 / Chapter Chapter 6. --- Conclusion --- p.43 / Bibliography --- p.45 / Appendix A --- p.49 / Chapter A.1. --- The link between interest rate differential and inflation rate differential --- p.49 / Chapter A.2. --- Instrumental Variable Estimation --- p.53 / Appendix B --- p.59 / Chapter B.1. --- Hong Kong CPI(A) Source --- p.59 / Chapter B.2. --- Taiwan CPI Source --- p.61 / LIST OF TABLES / Table 4.1: Data Description --- p.21 / Table 4.2: Means and Standard Deviations of Inflation and Stock Returns --- p.22 / Table 5.1: Short-term (One Year) Test on Fisher Hypothesis on Stock Returns --- p.26 / Table 5.2: Long-term (Five Years) Test on Fisher Hypothesis on Stock Returns --- p.27 / Table 5.3: Long-term (Ten Years) Test on Fisher Hypothesis on Stock Returns --- p.30 / Table 5.4: Short-term (One Year) Test For International Fisher Equation on Stock Returns --- p.33 / Table 5.5: Long-term (Five Years) Test For International Fisher Equation on Stock Returns --- p.34 / Table 5.6: Long-term (Ten Years) Test For International Fisher Equation on Stock Returns --- p.35 / Table 5.7: Testing Effects of International Elements on The Fisher Hypothesis --- p.39 / Table 5.8: Regression Results For The Coefficients of Domestic Inflation With and Without International Elements --- p.40