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Can Sentiments of Social Media Participants reflect by Financial Market LiquiditySaleemi, Jawad 26 July 2024 (has links)
Tesis por compendio / [ES] Esta tesis doctoral se enmarca en el área de investigación del Departamento de
Economía y Ciencias Sociales, y se centra en la perspectiva conductual de la liquidez del
mercado. La liquidez que varía en el tiempo y sus problemas relacionados son una de las
preocupaciones dominantes en la literatura de microestructura del mercado. El papel
crítico de la liquidez del mercado en la ejecución de transacciones o la determinación
del rendimiento de la inversión genera inquietudes tanto para académicos como para
aquellos que participan en el mercado. Por lo tanto, es necesario desvelar los problemas
potenciales que pueden afectar la liquidez del mercado financiero.
Esta tesis busca entender la liquidez del mercado y sus problemas relacionados a la luz
del comportamiento de los inversores. La perspectiva conductual de la liquidez se
examina utilizando información orientada a opiniones en microblogs. La creciente
literatura de finanzas conductuales también incluye la autenticidad de los datos de
microblogs tanto en la modelización como en la predicción de diversas preocupaciones
asociadas con el funcionamiento eficiente de los mercados financieros. Sin embargo, la
investigación previa en el ámbito de las finanzas conductuales podría haber pasado por
alto algunas implicaciones potenciales de la información orientada a opiniones en
microblogs sobre la liquidez del mercado a nivel de mercado y de empresa. Por lo tanto,
la tesis pretende ser una aplicación empírica en esta área de investigación. La tesis se
lleva a cabo como un compendio de artículos científicos, cuya memoria incluye varios
artículos de investigación publicados en revistas indexadas.
El primer artículo proporciona información sobre la relación entre el contenido de
microblogs y el coste de facilitación de la liquidez. Durante los períodos de negociación,
este estudio sugirió que el estado de ánimo de los inversionistas tenía menos influencia
en afectar la liquidez que varía en el tiempo y su coste de facilitación. Sin embargo, la
información entrante en un día dado fue más influyente para las sesiones de negociación
siguientes. Los sentimientos construidos sobre una base de dos días estaban asociados
con el costo de facilitación de la liquidez. El segundo articulo aborda las dimensiones de
la liquidez del mercado utilizando opiniones de microblogs. Esta investigación reveló que
los sentimientos de los inversores en entornos de pesimismo tenían más poder
autoritario sobre las dimensiones de la liquidez, incluidos los costes de negociación, la
inmediatez de la transacción, la dispersión de precios y el volumen de negociación.
Finalmente, el tercer articulo de investigación explora el riesgo sistemático de
sentimiento para la liquidez en relación con los datos de microblogs. Este estudio mostró
que la liquidez del índice bancario estaba expuesta al riesgo sistemático de sentimiento
y liquidez, pero la liquidez del índice de empresas no financieras solo estaba expuesta a
un riesgo sistemático de liquidez.
Los participantes del mercado impulsados por los sentimientos observados en la
plataforma de microblogging pueden no solo influir en la liquidez del mercado, que varía
en el tiempo y sus dimensiones, sino que también pueden exponerse al riesgo
sistemático para la liquidez dentro de un mercado más amplio. Por lo tanto, se sugiere
que la liquidez y sus aspectos relacionados se valoren frente a los problemas de selección
adversa en el mercado. Además, la medición de la información entrante en la plataforma
de microblogging puede ayudar mejor a los proveedores de liquidez en la construcción
de carteras. / [CA] Aquesta tesi doctoral s'emmarca en l'àrea d'investigació del Departament d'Economia i
Ciències Socials, i es centra en la perspectiva conductual de la liquiditat del mercat. La
liquiditat que varia en el temps i els seus problemes relacionats són una de les
preocupacions dominants en la literatura de microestructura del mercat. El paper crític
de la liquiditat del mercat en l'execució de transaccions o la determinació del rendiment
de la inversió genera inquietuds tant per a acadèmics com per a aquells que participen
en el mercat. Per tant, és necessari desvetlar els problemes potencials que poden afectar
la liquiditat del mercat financer.
Aquesta tesi busca entendre la liquiditat del mercat i els seus problemes relacionats a la
llum del comportament dels inversors. La perspectiva conductual de la liquiditat
s'examina utilitzant informació orientada a opinions en microblogs. La creixent literatura
de finances conductuals també inclou l'autenticitat de les dades de microblogs tant en
la modelització com en la predicció de diverses preocupacions associades amb el
funcionament eficient dels mercats financers. No obstant això, la recerca prèvia en
l'àmbit de les finances conductuals podria haver passat per alt algunes implicacions
potencials de la informació orientada a opinions en microblogs sobre la liquiditat del
mercat a nivell de mercat i d'empresa. Per tant, la tesi pretén ser una aplicació empírica
en aquesta àrea d'investigació. La tesi es duu a terme com a compendi d'articles
cientifics, la memòria de la qual inclou diversos articles de recerca publicats en revistes
indexades.
El primer article proporciona informació sobre la relació entre el contingut de microblogs
i el cost de facilitació de la liquiditat. Durant els períodes de negociació, aquest estudi va
suggerir que l'estat d'ànim dels inversors tenia menys influència en afectar la liquiditat
que varia en el temps i el seu cost de facilitació. No obstant això, la informació entrant
en un dia donat era més influent per a les sessions de negociació següents. Els
sentiments construïts sobre una base de dos dies estaven associats amb el cost de
facilitació de la liquiditat. El segon article aborda les dimensions de la liquiditat del
mercat utilitzant opinions de microblogs. Aquesta recerca va revelar que els sentiments
dels inversors en entorns de pessimisme tenien més poder autoritari sobre les
dimensions de la liquiditat, inclosos els costos de negociació, la immediatesa de la
transacció, la dispersió de preus i el volum de negociació. Finalment, el tercer article de
recerca explora el risc sistemàtic de sentiment per a la liquiditat en relació amb les dades
de microblogs. Aquest estudi va mostrar que la liquiditat de l'índex bancari estava
exposada al risc sistemàtic de sentiment i liquiditat, però la liquiditat de l'índex
d'empreses no financeres només estava exposada a un risc sistemàtic de liquiditat.
Els participants del mercat impulsats pels sentiments observats a la plataforma de
microblogging poden no només influir en la liquiditat del mercat, que varia en el temps
i les seves dimensions, sinó que també poden exposar-se al risc sistemàtic per a la
liquiditat dins d'un mercat més ampli. Per tant, es suggereix que la liquiditat i els seus
aspectes relacionats es valoren davant dels problemes de selecció adversa en el mercat.
A més, la mesura de la informació entrant a la plataforma de microblogging pot ajudar
millor els proveïdors de liquiditat en la construcció de carteres. / [EN] This doctoral dissertation falls in the research area of economic and social sciences
department, and focuses on the behavioral perspective of market liquidity. The time-varying
liquidity and its related issues are one of the dominant concerns in the market
microstructure literature. The critical role of market liquidity in executing the transactions
or determining the yield on investment is raising concerns for both academics and those
who engage in the trading. There is thus need to unveil the potential issues, that may
impact the financial market liquidity.
This dissertation seeks to understand market liquidity and its related issues in the light of
investors' behavior. The behavioral perspective of liquidity is examined using
microblogging-opinionated information. The escalation of behavioral finance literature
also comprises the authenticity of microblogging data in both modeling and predicting
various concerns associated with the efficient functioning of financial markets. However,
previous research in the behavioral finance domain might have ignored a few potential
implications of microblogging-opinionated information on market liquidity at the market
and firm levels. Therefore, the dissertation aims to be the first empirical attempt in this
area of research. The thesis is carried out as a compendium of scientific papers, whose
memory includes several research articles published in the indexed journals.
The first article provides insights into relationship between microblogging content and
liquidity-facilitating cost. During trading periods, this study suggested that investors'
mood was less influential in affecting the time-varying liquidity and its providing cost.
However, the incoming information on a given day was more influential for following
trading sessions. The sentiments built on a two-day basis were associated with the
liquidity-facilitating cost. The second article covers the dimensions of market liquidity
using microblogging opinions. This research revealed that investor sentiments in
environments of pessimism had more authoritative power on liquidity dimensions
including the trading costs, transaction immediacy, price dispersion and trading volume.
Finally, the third research paper explores the systematic sentiment risk for liquidity in
relation to the microblogging data. This study depicted that the bank index liquidity was
exposed to the systematic sentiment and liquidity risks, but non-financial firm index
liquidity was only exposed to a systematic liquidity risk.
The emotion-driven market participants on microblogging platform may not only
influence the time-varying market liquidity and its dimensions, but they may also expose
to the systematic risk for liquidity withing a broader market. Thus, liquidity and its related
aspects are suggested to be priced against the adverse selection issues in the market.
Additionally, the measurement of incoming information on microblogging platform may
better assist the liquidity providers in the construction of portfolio. / Saleemi, J. (2024). Can Sentiments of Social Media Participants reflect by Financial Market Liquidity [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/206814 / Compendio
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Tydsberekening binne 'n APT-raamwerk / Market timing in APT frameworkBrevis, Tersia, 1967- 06 1900 (has links)
Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n
tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie
(APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die
periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September
1987 en Januarie 1989 tot Junie 1997.
Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die
beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige
stapsgewyse regressie-ontleding is gebruik om die bewegings van die
nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van
die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die
eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike
voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir
die implementering van 'n tydsberekeningstrategie.
Die resultate van die studie is die volgende:
• Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore
as moontlike voorspellers gebruik is, is die risiko-aangepaste
opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6
die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik.
• Waar die sloeringsreekse van die eerste-ordeverskiltelling van die
langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers
gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou-
strategie vir tydperk een en twee onderskeidelik.
Die belangrikste gevolgtrekking van die studie is dat die APT en 'n
tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings
vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as
makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde
van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die
model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die
risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen
van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed
van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet
bepaal word. / The study compares the performance of a buy-and-hold strategy with that of a markettiming
strategy in the framework of the arbitrage pricing theory (APT) applied to the
industrial index of the Johannesburg Stock Exchange (JSE). The study period is
divided into two parts, namely January 1970 to September 1987 and January 1989 to
June 1997.
The long-term trend of the industrial index and every APT factor is determined by
finding the best nonlinear model for each time series. Linear multiple stepwise
regression analysis, with the lagged time series of the long-term trend error terms of
the APT factors, is used to forecast the movement of the industrial index around its
long-term trend. Decision lines were developed to implement a market-timing
strategy.
The results of the study are as follows:
• Where the lagged time series of the long-term trend error terms of the APT
factors were used as possible predictors, the risk-adjusted return of a markettiming
strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand-
hold strategy for periods one and two respectively.
• Where the lagged time series of the first-order difference of the long-term trend
error term of the APT factors were used as possible predictors, the riskadjusted
return of the market-timing strategy was 10,40 percent and 1,04
percent higher than that of a buy-and-hold strategy for periods one and two
respectively.
The main conclusion of the study is that the APT and a market-timing strategy are
theoretically and practically reconcilable on the JSE. The main recommendations of
the study are the following: (1) systematic risk factors, other than macroeconomic
factors, should be identified in order to increase the forecasting value of these factors
in the second period of the study; (2) each step of the model developed in this study
should be repeated on every index of the JSE; and (3) the influence of transaction costs
and dividends on the potential benefits of a market-timing strategy should be
determined. / Business Management / DCom (Sakebestuur)
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Critical factors for the financial success of South African short-term insurersSandrock, Gerrit Johann 12 1900 (has links)
This study shows that managers of short-term insurers may improve their financial results if they can identify and manage the factors that are critical to their financial results. The development and application of the concept of critical success factors are therefore used as a basis for this study. The study reviews the functions performed by short-term insurers, focusing on the effect these functions have on their cash flows. Selection and pricing of risk are discussed in detail. The
underwriting cycle in South Africa, and several possible causes of the cycle are investigated. Reinsurance, claims handling and rilanagement expenses are important components of the cash flows of short-term insurers and are therefore examined in detail. The optimum risk level at various combinations of underwriting and investment income is
empirically tested, using the financial results of several insurers. The study investigates different approaches to the measurement of financial success of insurers, and the return on shareholders' funds is found to provide the fairest and most reliable method. Empirical
comparisons are made on the financial results of the insurers that participated in the study to distinguish between those that are financially successful and those that are not. To discover what the industry consider to be their critical financial success factors, a postal
survey was done of key decision makers in the South African short-term insurance industry. Respondents identified several success factors, but did not include some success factors discovered during the review of the literature. Respondents apparently experienced difficulty
in separating strategic issues from operational ones. The survey revealed that the pricing of risk is problematic for short-term insurers. The importance of the investment function is also underestimated by the industry. The study concludes that the combined systematic risk of the investment and underwriting portfolios is a critical success factor, along with the capital base of the insurer, the ability of the insurer to use the leverage provided by using policyholders' funds as free reserves and the size and direction of an insurer's cash flows. / Business Management / D. Com (Business Management)
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Three Essays on Mutual FundsKlipper, Laurenz 27 November 2018 (has links)
Der erste Artikel liefert Beweise dafür, dass ein Liquiditätsschock bei geschlossenen Fonds zu einer Liquiditätsverschlechterung bei offenen Fonds führen kann. Unsere Ergebnisse zeigen, dass Aktien von geschlossenen Fonds, die aufgrund eines Marktversagens notverkauft wurden, temporär im Preis sinken. Offene Fonds, die viele der betroffenen Aktien halten, erleiden daraufhin einen Kapitalabfluss, der weitere Notverkäufe bedingt. Dies unterstreicht die Ansteckungsgefahr zwischen den beiden Finanzmärkten. Der zweite Artikel untersucht, ob Fonds, die mit Staatsanleihen handeln, ihr Risiko durch den Wertpapierverleih erhöhen, indem sie die hierbei erhaltenen Sicherheiten risikoreich reinvestieren. Hiermit konsistent finden wir, dass die Returnvolatilität von Fonds ansteigt, je mehr Wertpapiere verliehen werden. Diese Korrelation ist nur evident, wenn der für den Wertpapierverleih verantwortliche Agent bereits in der Vergangenheit solch eine Strategie praktiziert hat. Sie verschwindet hingegen, wenn der Agent Sicherheiten nicht risikoreich reinvestieren kann. Im dritten Artikel stellen wir ein neues Maß vor, mit dem sich die Handelsaktivität von Fonds drei Tage vor den Geschäftsberichten untersuchen lässt. Stark handelnde Fonds halten bei Berichtsschluss mehr Gewinner- und weniger Verliereraktien. Zudem sind die üblichen Maße, die zur Identifizierung von Window Dressing verwendet werden, signifikant höher. Aktien, die in den letzten drei Tagen vor den Juli und Dezember Berichten einen starken Nachfrageüberschuss aufweisen, steigen in dieser Periode um durchschnittlich 20 Bsp. Dieser Anstieg ist nicht durch Informationstheorien erklärbar, da die Preise innerhalb von einer Woche auf ihr ursprüngliches Niveau zurückfallen. Aktien mit hoher Liquidität zeigen geringere Anstiege und kehren schneller zum Ausgangspreis zurück. Die Preisbewegungen lassen sich nicht durch einen einzelnen Faktor, wie Window Dressing oder Portfolio Pumping, erklären. / The first paper provides evidence that a liquidity shock to closed-end funds can transmit to open-end funds. Using the failure of the market for auction rate securities we show that forced asset sales of highly levered closed-end funds result in temporary price declines in those assets. Open-end funds that hold significant numbers of the affected stocks in turn experience outflows, forcing them to conduct additional fire-sales. These forced sales induce additional price pressure consistent with financial contagion. The second paper examines whether mutual bond funds increase their risk exposure through securities lending transactions by reinvesting the cash collateral of these transactions in risky assets. Consistent with such behavior, we find that the return volatility of government bond funds increases with the percentage of securities on loan. This relation is only evident among funds whose lending agent likely reinvests the lending collateral riskily and disappears if the lending program is managed by agents who typically cannot make risky reinvestments. The third paper provides a new way to measure the trading activity by mutual funds in the last three days of their reporting periods. Consistent with window dressing, heavy end-of-period (EoP) traders report more winner, fewer loser stocks and higher return and rank gaps, yet perform no better. Stocks with a high positive EoP trade imbalance show significant price increases of about 20 bps at the end of reporting periods in June and December. Inconsistent with information trading, prices revert within a week. Liquid stocks appreciate less strongly and revert more quickly. Finally, we show that window dressing, portfolio pumping, or fund flows alone are unlikely to explain our results.
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Impact de la régulation sur le financement des opérateurs de télécommunications européens : une analyse du risque systématique / Impact of regulation on the systematic risk of telecommunication operatorsChalmeau, Olivier 11 December 2015 (has links)
La thèse analyse les effets de la régulation sur le risque systématique d’un panel de 17 grands opérateurs de télécommunications européens entre 1997 et 2012. La relation régulation/risque est étudiée sous trois angles : (i) via la modification de la distribution des revenus de la firme, (ii) la promotion de l’intensité concurrentielle, et (iii) les choix de structure financière des opérateurs. Une modélisation de l’impact de la régulation sur la structure financière de la firme met en évidence que la hausse stratégique de l’endettement peut accroitre ou décroitre le risque systématique. Trois méthodologies d’estimations du risque sont utilisées : les MCO et le filtre de Kalman sans et avec effet TGARCH. Les trois aspects de la relation risque/régulation sont ensuite abordés via une étude en données de panel (couvrant les ratios financiers, l’intensité concurrentielle, l’intensité et le régime de régulation) puis en évaluant la réaction du risque aux annonces d’évolutions du cadre réglementaire européen (étude d’évènements). / The thesis analyzes the effects of regulation on the systematic risk of a panel of 17 leading European telecommunications operators between 1997 and 2012. The regulation / risk relationship is studied through: (i) the changes in the firm income distribution, (ii) the promotion of competitive intensity, and (iii) the operators' choice of financial structure. Modeling the impact of regulation on the financial structure of the firm highlights that strategic increase in debt may increase or decrease the systematic risk. Three estimation methodologies of risk are used: OLS and Kalman filter technics with and without TGARCH effect. The three aspects of risk / regulation relationship are then addressed through a panel data study (covering financial ratios, competitive intensity, and regulatory regime index) and then by an events study evaluating market reactions to announcements of changes in the European regulatory framework.
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Tydsberekening binne 'n APT-raamwerk / Market timing in APT frameworkBrevis, Tersia, 1967- 06 1900 (has links)
Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n
tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie
(APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die
periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September
1987 en Januarie 1989 tot Junie 1997.
Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die
beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige
stapsgewyse regressie-ontleding is gebruik om die bewegings van die
nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van
die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die
eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike
voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir
die implementering van 'n tydsberekeningstrategie.
Die resultate van die studie is die volgende:
• Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore
as moontlike voorspellers gebruik is, is die risiko-aangepaste
opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6
die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik.
• Waar die sloeringsreekse van die eerste-ordeverskiltelling van die
langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers
gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou-
strategie vir tydperk een en twee onderskeidelik.
Die belangrikste gevolgtrekking van die studie is dat die APT en 'n
tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings
vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as
makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde
van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die
model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die
risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen
van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed
van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet
bepaal word. / The study compares the performance of a buy-and-hold strategy with that of a markettiming
strategy in the framework of the arbitrage pricing theory (APT) applied to the
industrial index of the Johannesburg Stock Exchange (JSE). The study period is
divided into two parts, namely January 1970 to September 1987 and January 1989 to
June 1997.
The long-term trend of the industrial index and every APT factor is determined by
finding the best nonlinear model for each time series. Linear multiple stepwise
regression analysis, with the lagged time series of the long-term trend error terms of
the APT factors, is used to forecast the movement of the industrial index around its
long-term trend. Decision lines were developed to implement a market-timing
strategy.
The results of the study are as follows:
• Where the lagged time series of the long-term trend error terms of the APT
factors were used as possible predictors, the risk-adjusted return of a markettiming
strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand-
hold strategy for periods one and two respectively.
• Where the lagged time series of the first-order difference of the long-term trend
error term of the APT factors were used as possible predictors, the riskadjusted
return of the market-timing strategy was 10,40 percent and 1,04
percent higher than that of a buy-and-hold strategy for periods one and two
respectively.
The main conclusion of the study is that the APT and a market-timing strategy are
theoretically and practically reconcilable on the JSE. The main recommendations of
the study are the following: (1) systematic risk factors, other than macroeconomic
factors, should be identified in order to increase the forecasting value of these factors
in the second period of the study; (2) each step of the model developed in this study
should be repeated on every index of the JSE; and (3) the influence of transaction costs
and dividends on the potential benefits of a market-timing strategy should be
determined. / Business Management / DCom (Sakebestuur)
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Critical factors for the financial success of South African short-term insurersSandrock, Gerrit Johann 12 1900 (has links)
This study shows that managers of short-term insurers may improve their financial results if they can identify and manage the factors that are critical to their financial results. The development and application of the concept of critical success factors are therefore used as a basis for this study. The study reviews the functions performed by short-term insurers, focusing on the effect these functions have on their cash flows. Selection and pricing of risk are discussed in detail. The
underwriting cycle in South Africa, and several possible causes of the cycle are investigated. Reinsurance, claims handling and rilanagement expenses are important components of the cash flows of short-term insurers and are therefore examined in detail. The optimum risk level at various combinations of underwriting and investment income is
empirically tested, using the financial results of several insurers. The study investigates different approaches to the measurement of financial success of insurers, and the return on shareholders' funds is found to provide the fairest and most reliable method. Empirical
comparisons are made on the financial results of the insurers that participated in the study to distinguish between those that are financially successful and those that are not. To discover what the industry consider to be their critical financial success factors, a postal
survey was done of key decision makers in the South African short-term insurance industry. Respondents identified several success factors, but did not include some success factors discovered during the review of the literature. Respondents apparently experienced difficulty
in separating strategic issues from operational ones. The survey revealed that the pricing of risk is problematic for short-term insurers. The importance of the investment function is also underestimated by the industry. The study concludes that the combined systematic risk of the investment and underwriting portfolios is a critical success factor, along with the capital base of the insurer, the ability of the insurer to use the leverage provided by using policyholders' funds as free reserves and the size and direction of an insurer's cash flows. / Business Management / D. Com (Business Management)
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Impact des critères E-S-G sur la performance financière des entreprises de secteurs controversés / Impact of the E-S-G criteria on the financial performance of companies of controversial sectorsKtat, Salma 06 June 2017 (has links)
Cette thèse examine la responsabilité sociale des entreprises (RSE) par les entreprises de secteurs controverses. Dans le premier chapitre, on évalue les stratégies en RSE pour 565 entreprises de secteurs controverses de 1991 à 2013 en estimant la relation compensatoire entre Irresponsabilité Sociale des Entreprises (ISE) et RSE. On montre que ces entreprises tendent à compenser pour leur ISE en s'engageant dans des domaines stratégiques de RSE tels que la protection de l'environnement et le respect des communautés locales avec un manque d'engagement dans d'autres activités telles la gouvernance d'entreprise. Dans le deuxième chapitre, on examine si l'engagement RSE de 499 entreprises de secteurs controverses est susceptible de diminuer leur risque financier. Nos résultats montrent qu'un engagement RSE stratégique réduit le risque idiosyncratique et total pour certaines industries controversées et que le manque d'engagement dans les activités de gouvernance augmente leur risque. Le troisième chapitre examine la divulgation sociétale en tant que mécanisme de reddition de comptes dans le contexte d'un incident environnemental majeur. L'étude de cas des stratégies RSE utilisées par l'entreprise Canadienne En bridge, durant sa réponse a l'incident de déversement de parole en 2010 révèle que ses rapports RSE sont souvent optimistes et ne réussissent pas a décrire son incapacité à faire face aux problèmes de sécurité ayant entrainé l'incident; et ont aussi sous-estime le volume du déversement et la difficulté du nettoyage, ainsi mettant en question l'effet des activités RSE compare à l'effet de facteurs contextuels dans la protection de l'entreprise durant la crise. / This thesis is composed of three chapters that examine corporate social responsibility (CSR) within firms in controversial sectors. In the first chapter, we evaluate patterns of investment in CSR for 565 US publicly traded companies in eight controversial sectors between 1991 and 2013 by assessing the relationship between CSR and Corporate Social Irresponsibility (CSI). We show that firms in controversial sectors compensate for their CSI by engaging in strategic CSR areas such as environmental protection and community development with a lack of engagement towards other areas, such as corporate governance. In the second chapter, we determine whether engagement in specific CSR activities for 499 US companies in controversial sectors decreases their financial risk. We show that engaging in specific CSR activities considered as strategic reduces idiosyncratic and total risk for some controversial industries; and that poor engagement in corporate governance activities increases firm risk. In the third chapter, we investigate CSR reporting as an important mechanism for stakeholder accountability in the context of an environmental crisis. We perform a case study analysis of the CSR strategies used by the Canadian oil company Enbridge in its response to the July 2010 Kalamazoo spill and revealed that Enbridge's CSR reports were frequently optimistic and failed to describe the company's inability to deal with known safety problems that led to spill; and underestimated both the volume of the spill and the difficulty of the cleanup, thus making it difficult to distinguish the effects of the CSR efforts from the effects of other contextual and external factors.
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A Study on the Existence of a Low Idiosyncratic Volatility Premium on the Cross-section of Share Returns on the JSENogueira, Miguel 11 August 2021 (has links)
Abstracts in English, Afrikaans and Sesotho / As one of the renowned anomalies in modern investment theory, the low idiosyncratic volatility anomaly may be the most bewildering and captivating of them all. The anomaly defies the traditional asset pricing theories of modern portfolio theory, which state the fundamental principle that high-risk portfolios are compensated for with higher expected returns. This study determined if the low idiosyncratic volatility premium is present on the cross-section of share returns of the JSE. 12-, 36- and 60-month volatility estimation periods were used in this study to determine if this has any significant effect on share returns. A relevant 26-year sample period from January 1994 to December 2019 was employed. In examining the CAPM OLS regression results utilising the 60-month idiosyncratic volatility estimation period, statistically significant evidence was found to support the alternative hypothesis of a low idiosyncratic volatility anomaly on the cross-sectional returns on the JSE. These findings are supported by a statistically significant alpha for five of the six portfolios examined and clearly indicate the superior performance of the low volatility portfolio in contrast to the high idiosyncratic volatility portfolios. These findings of the 60-month CAPM regression analysis provide clear evidence of a low idiosyncratic volatility anomaly and reject the null hypothesis that there is no statistically significant evidence in favour of a low idiosyncratic volatility anomaly on the cross-section of share returns on the JSE after estimating volatility utilising a 60-month volatility estimation period. / As een van die bekendste anomalieë in moderne beleggingsteorie, is die lae idiosinkratiese gestadigheidsanomalie moontlik die mees verbysterende en boeiende anomalie van almal. Hierdie besondere anomalie bied ʼn uitdaging aan die tradisionele bateprysingsteorie van moderne portefeuljeteorie, die grondbeginsel waarvolgens daar vir hoërisiko-portefeuljes vergoed word deur hoër verwagte opbrengste. Die doel van hierdie studie is om te bepaal of die lae idiosinkratiese gestadigheidspremie aanwesig is by die deursnee-aandeleopbrengste op die JSE. In hierdie studie, is gestadigheidsramingstydperke van 12, 36 en 60 maande gebruik om te bepaal of dit enige beduidende uitwerking op aandeleopbrengste het. ʼn Relevante steekproeftydperk van 26 jaar van Januarie 1994 tot Desember 2019 is gebruik. Deur ondersoek van regressieresultate van die kapitaalbateprysingsmodel (KBPM) kleinste-kwadratemetode aan die hand van ʼn idiosinkratiese gestadigheidsramingstydperk van 60 maande is statisties-beduidende bewyse gevind om die alternatiewe hipotese van ʼn lae idiosinkratiese gestadigheidsanomalie in die deursnee-opbrengste op die JSE te ondersteun. Hierdie bevindings word ondersteun deur ʼn statisties-beduidende alfa vir vyf van die ses portefeuljes wat ondersoek is en dit dui duidelik op die superieure prestasie van die laegestadigheidsportefeulje in kontras met die hoë idiosinkratiese gestadigheidsportefeuljes. Die bevindings van die KBPM-regressie-analise van 60 maande voorsien duidelike bewyse van ʼn lae idiosinkratiese gestadigheidsanomalie en verwerp die nulhipotese dat daar nie statisties-beduidende bewyse is ten gunste van ʼn lae idiosinkratiese gestadigheidsanomalie in die deursnee-aandeleopbrengste op die JSE nie nadat gestadigheid geraam is aan die hand van ʼn gestadigheidsramingstydperk van 60 maande. / E le e nngwe ya diphoso tse tummeng kgopolong ya sejwale-jwale ya matsete, bothata bo tlase ba ho hloka botsitso e ka ba ntho e makatsang le e hohelang ka ho fetisisa. Phoso e ikgethileng ha e latele dikgopolo tsa ditheko tsa thekiso ya thepa ya sejwale-jwale, e hlalosang molao-theo wa hore dipotefoliyo tse kotsing e kgolo di lefellwa bakeng sa dikgutliso tse phahameng tse lebelletsweng. Phuputso ena e ne e ikemiseditse ho fumana hore na tefo e tlase ya botsitso e teng dikarolong tse sa tshwaneng tsa dikgutliso tsa dikabelo ho JSE. Phuputsong ena ho sebedisitswe dinako tsa tekanyetso ya ho hloka botsitso ya dikgwedi tse 12, 36 le tse 60 ho fumana hore na sena se na le phello e kgolo ho dikgutliso tsa dikabelo. Nako ya sampole e loketseng ya dilemo tse 26 ho tloha ka Pherekgong 1994 ho isa ho Tshitwe 2019 e ile ya sebediswa. Ha ho hlahlojwa sephetho sa tekanyo ya CAPM OLS ho sebediswa nako ya dikgakanyo tsa ho hloka botsitso ha dikgwedi tse 60, ho fumanwe bopaki ba bohlokwa ho tshehetsa mohopolo o mong wa phokotso dikgutlisong tsa dikarolo tse fapaneng ho JSE. Diphumano tsena di tsheheditswe ke qaleho ya dipalo bakeng sa dipotefoliyo tse hlano ho tse tsheletseng tse hlahlobilweng mme di bontsha tshebetso e phahameng ya potefolio e tlase ya ho hloka botsitso ho fapana le dipotefoliyo tse phahameng tsa ho hloka botsitso. Diphumano tsena tsa tlhahlobo ya tekanyo ya CAPM ya dikgwedi tse 60 di fana ka bopaki bo hlakileng ba phokotso e sa tlwaelehang ya ho hloka botsitso le ho hanyetsa kgopolo-taba ya hore ha ho na bopaki ba dipalo-palo bo tshehetsang boemo bo tlase ba ho hloka botsitso bo sa tlwaelehang dikarolong tse sa tshwaneng tsa dikabelo ho JSE kamora ho lekanyetsa ho hloka botsitso ho sebedisang nako ya dikgakanyo tsa ho hloka botsitso ya dikgwedi tse 60. / Business Management / M. Com. (Business Management)
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Essays in financial econometrics and asset pricingTewou, Kokouvi 03 1900 (has links)
Cette thèse est organisée en trois chapitres. Dans le premier chapitre, qui est co-écrit
avec Ilze Kalnina, nous proposons un test statistique pour évaluer l’adéquation de la volatilité
idiosyncratique comme mesure du risque idioyncratique. Nous proposons un test statistique
qui est basé sur l’idée qu’un bon proxy du risque idiosyncratique devrait être non correélé à
travers les actifs financiers. Nous démontrons que l’estimation de la volatililité est sujet à des
erreurs qui rendent le test non standard. Nous proposons un modèle à facteurs qui permet de
réduire sinon éliminer les corrélations dans la volatilité idiosyncratique, avec comme ultime
but d’ aboutir à un facteur qui satisfait mieux aux critères souhaités du risque idiosyncratique.
Dans le deuxième chapitre de ma thèse, qui est co-écrit avec Christian Dorion et Pierre
Chaigneau, nous proposons une méthodologie pour étudier l’importance des risques d’ordres
supérieurs dans la valorisation des actifs financiers. A la suite de Kraus and Litzenberger
(1976) et Harvey and Siddique (2000a), beaucoup d’études ont analysé l’aversion aux risques
de skewness et kurtosis de façon inconditionnelle. Dans ce chapitre, nous proposons une
méthodogie qui permet de faire une analyse conditionnelle assez précise de l’aversion au risques
d’ordres superieurs. Notre étude complémente la littérature dans la mesure ou nous étudions
aussi la valuation des risques d’ordre plus élevé que la kurtosis à savoir l’hyperskewness et
l’hyperkurtosis qui sont théoriquement valorisés dans certaines fonction d’utilité comme le
CRRA.
Dans le dernier chapitre de ma thése, j’étudie la structure à terme de la prime de risque
pour le risque de co-skewness, un risque qui mesure l’asymmétrie systématique dans les actions
individuelles. Nous y proposons une méthode assez générale qui permet de faire une analyze
mutli-horizon contrairement à la plupart des études existantes. / This thesis is organized in three chapters. In the first chapter (which is co-authored with
Ilze Kalnina), we propose a statistical test to assess the adequacy of the most popular measure
of idiosyncratic risk, which is the idiosyncratic volatility. Our test statistic exploits the idea
that a “good" measure of the idiosyncratic risk should be uncorrelated in the cross-section.
Using in-fill asymptotics, we study the theoretical properties of the test and find that it has
a non-standard behaviour due to various biases induced by the latency of the idiosyncratic
volatility. Moreover, we propose a regression model that can be used to reduce if not eliminate
the cross-sectional dependences in assets idiosyncratic volatilities.
The second chapter of my thesis is the fruit of a colaboration with Christian Dorion and
Pierre Chaigneau. In this chapter, we study the relevance of higher-order risk aversion in asset
pricing. The evidence in Kraus and Litzenberger (1976) and Harvey and Siddique (2000a)
has spurred the literature on the estimation of the risk premiums attached to skewness and
kurtosis risk in addition to the standard variance risk. However, most of these studies focus on
the estimation of unconditional premiums or average premiums. In this chapter, we propose
a methodology that allows to accurately estimate the time-varying higher-order risk aversions
using options prices. Our study complements the literature as we also study the higher-order
risks beyond the kurtosis such as hyperskewness and hyperkurtosis risks which are valued by
a CRRA investor. .
In my third chapter, I study the term-structure of price of co-skewness risk. Co-Skewness
risk captures the portion of the stock returns asymmetry that arises as a result of market
returns asymmetry. I propose a general methodology that allows to study the multi-horizon
pricing of this risk in contrast to many existing studies.
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