Pricing models of Employee Assistance Programmes: experiences of corporate clients serviced by a leading Employee Assistance Programme service provider in South Africa. Pricing models is one of the sub-standards in programme design amongst the standards outlined in the Employee Assistance Programme Association of South Africa (EAPA-SA). According to EAPA-SA (2010:5), costing an EAP should be based on sound financial principles. Such costing will ensure the best possible application of financial resources with the objective of justifying the balance between expenditure and benefits. However, pricing is identified as a challenging area in the EAP field. Corporate clients are faced with a situation where EAP service providers bid for one contract, selling EAP services which are of a similar nature using varying pricing models with different prices. Such price competitiveness leaves the corporate client with no reason not to overlook the financial consequences of choosing one service provider over the other, since price becomes the critical deciding factor in purchasing decisions. The pricing issue in the EAP field and the impact on pricing models used prompted the researcher to pursue the study to understand the processes and complexities involved in the pricing models in the EAP field. The study focused on two samples which comprised of participants from corporate client who had terminated contracts with a leading EAP service provider, as well as participants from this leading EAP service provider. The research findings indicate that contracting in the EAP field is a complex process owing to a number of factors that have to be considered before contracting. The complexity impacts strongly on the choice of the pricing model eventually chosen for contracting purposes. The views shared by both groups of participants indicate that there are internal and external factors that influence the choice of a pricing model. These are the factors that must be considered when making decisions as to what should be made available to employees and to the company for the effective implementation of Employee Assistance Programmes. Informed by these factors, the researcher developed a guideline that could be applied in practice as a standard EAP pricing model. / Dissertation (MSW)--University of Pretoria, 2014. / lmchunu2014 / Social Work and Criminology / unrestricted

General content: Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equity. The author will address several currently available models such as Credit Rating Model, D-CAPM model, various versions of traditional CAPM models. Furthermore, she will compare and contrast their limitations taking into account the context of emerging markets. The testing of the models will be performed on country basis through the means of index data. In the last chapter, discussion of the results and possible improvements of the valuation approaches will take place.

Magister Commercii - MCom / Market Segmentation and style investing have become an essential part of security management over the past 40 years. There are many factors that separate the market, these include economy, investor behaviours, and specific anomalies. Apart, from the segmentation, investors lean towards a few tested investment styles and sectors, which hinder growth, while, dividing the market further. Thus, a major question arises on what really drives asset performance in the South African equity market. An evaluation of the relationship between sector performance and style anomalies over time is essential.

The point of this thesis is to compare classic asset pricing models using historic UK data. It looks at three of the most commonly used asset pricing models in Finance and tests the suitability of each for the UK market. The models considered are the Capital Asset Pricing Model (1964, 65 and 66) (CAPM), the Fama-French 3-Factor Model (1993) (FF3F) and the Carhart 4-Factor Model (1997) (C4F). The models are analysed using a 34 year sample period (1980-2014). The sample data follows the structure explained in Gregory et al (2013) and is compiled of stocks from the London Stock Exchange (LSE). The stocks are grouped into portfolios arranged by market capitalisation, book-to-market ratio, past 2-12 month stock return and past 12 month standard deviation of stock return. Statistical analysis is performed and the suitability of the models is tested using the methods of Black, Jensen \& Scholes (1972), Fama \& MacBeth (1973) and Gibbons, Ross \& Shanken (1989). The results compare descriptive and test statistics across the range of risk factors and test portfolios for the each testing method on all three models. They show that although the UK market has some noticeable factor anomalies, none of the models clearly explains the 1980-2014 stock returns. However, of the three models, C4F shows the highest explanatory power in predicting stock returns.

Value and momentum strategies have been heavenly researched in financial academic literature. In this essay, different portfolios based on value and momentum strategies have been constructed to examine if it is possible to exploit market anomalies to outperform market returns. Both value and momentum is seen as two market anomalies according to earlier literature. The test were made on the Swedish market, and all data were collected from the Nasdaq OMX Stockholm Large Cap list. The findings includes a significant outperformance of market returns in nearly all portfolio tested, as well as lower standard deviations for some. However, an empirical asset pricing model, based on four factors from the Swedish market were constructed to seek explanation for the results. Overall the factor variables were rejected on their statistical significances, except for the market factor which were statistical significant for all portfolios except one.

This dissertation studies the impact of multiple pre-specified sources of risk in the return of three non-overlapping groups of countries, through an Arbitrage Pricing Theory (APT) model. The groups are composed of emerging and developed markets. Emerging markets have become important players in the world economy, especially as capital receptors, but they were not included in the majority of previous related works. Two strategies are used to choose two set of risk factors. The first one is to use macroeconomic variables, as prescribed by most of the literature, such as world excess return, exchange rates, variation in the spread between Eurodollar deposit tax and U.S. Treasury bill (TED spread) and change in the oil price. The second strategy is to extract factors by using a principal component analysis, designated as statistical factors. The first important result is a great resemblance between the first statistical factor and the world excess return. We estimate the APT model using two statistical methodologies: Iterated Nonlinear Seemingly Unrelated Regression (ITNLSUR) by McElroy and Burmeister (1988) and the Generalized Method Moments (GMM) by Hansen (1982). The results from both methods are very similar. With macroeconomic variables, only the world excess of return is priced in the three groups with a premium varying from 4.4% to 6.3% per year and, in the model with statistical variables, only the first statistical factor is priced in all groups with a premium varying from 6.2% to 8.5% per year. / Essa dissertação estuda o impacto de múltiplas fontes de riscos pré-especificados nos retornos de três grupos de países não sobrepostos, através de um modelo de Teoria de Precificação por Arbitragem (APT). Os grupos são compostos por mercados emergentes e desenvolvidos. Mercados emergentes tornaram-se importantes na economia mundial, especialmente como receptores de capital, mas não foram inclusos na maioria dos trabalhos correlatos anteriores. Duas estratégias foram adotadas para a escolha de dois conjuntos de fatores de risco. A primeira foi utilizar variáveis macroeconômicas, descritas na maior parte da literatura, como e excesso de retorno da carteira mundial, taxas de câmbio, variação da diferença entre a taxa de depósito em Eurodólar e a U.S. Treasury Bill (TED Spread) e mudanças no preço do petróleo. A segunda estratégia foi extrair fatores de risco através de uma análise de componentes principais, denominados fatores estatísticos. O primeiro resultado importante é a grande semelhança entre o primeiro fator estatístico e o retorno da carteira mundial. Nós estimamos o modelo APT usando duas metodologias estatísticas: Regressões Aparentemente não Correlacionadas Iteradas (ITNLSUR) de McElroy e Burmeister (1988) e o Método dos Momentos Generalizados (GMM) de Hansen (1982). Os resultados de ambas as metodologias são muito similares. Utilizando variáveis macroeconômicas, apenas o excesso de retorno da carteira mundial é precificado nos três grupos com prêmios variando de 4,4% a 6.3% ao ano e, no modelo com variáveis estatísticas, apenas o primeiro fator estatístico é precificado em todos os grupos com prêmios que variam entre 6,2% a 8,5% ao ano.

Traditional models of financial asset yields are based on a number of simplifying assumptions. Among these are the primary assumptions that changes in asset yields are independent, and that the distribution of these yields is approximately normal. The development of financial asset pricing models has also incorporated these assumptions. A general feature of the pricing models is that the relationship between the model variables is fundamentally linear. Recent empirical research has however identified the possibility for these relations to be non-linear. The empirical research focused primarily on methodological issues relating to the application of the classical rescaled adjusted range. Some of the major issues investigated were: the use of overlapping versus contiguous subseries lengths in the calculation of the statistic's Hurst exponent; the asymptotic distribution of the Hurst exponent for Gaussian time-series and long-term dependent fBm's; matters pertaining to the estimation of the expected rescaled adjusted range. Empirical research in this thesis also considered alternate applications of rescaled range analysis, other than modelling non-linear long-term dependence. Issues relating to the use of the technique for estimating long-term dependent ARFIMA processes, and some implications of long-term dependence for financial time-series have both been investigated. Overall, the general shape of the asymptotic distribution of the Hurst exponent has been shown to be invariant to the level of dependence in the underlying series. While the rescaled adjusted range is a biased indicator of the level of long-term dependence in simulated time-series, it was found that the bias could be efficiently modelled. For real time-series containing structured short-term dependence, the bias was shown to be inconsistent with the simulated results. / Doctor of Philosophy (PhD)

This thesis investigates the use of hedonic pricing models to value intangible assets that are owned by firms. This novel approach falls within the neoclassical methodology for the valuation of financial assets, and extends the framework by ordering an alternative methods by which assets may be compared. The firms performance, as measured by reported financial data and embodied in the DuPont ratios of the firm, is used to derive the characteristics of intangible assets. The shadow prices of these characteristics are estimated and used to derive a market-related value for the intangible assets. The empirical results support using this approach to value intangible assets.

Capital Asset Pricing Model (CAPM) is the most widely used model in asset pricing. This model evaluates the asset return in relation to the market return and the sensitivity of the security to the market. However, the evidence supporting the CAPM is mixed. Alternatives to the CAPM in determining the expected rate of return on portfolios and stocks was introduced through the Arbitrage Pricing Theory and through the Intertemporal CAPM. The introduction of these more general models raised the following important question: how should the risk factors in a multifactor pricing model be specified? Since the multifactor model theory is not very explicit regarding the number or nature of the factors the selection of factors has, to a large extent, become an empirical issue. In the first and the second chapters, we conduct an exhaustive evaluation of multifactor asset pricing models based on observable factors. In the first chapter we find strong evidence that a multifactor pricing model should include the market excess return, the size- , and the value premium. In the second chapter we relax the assumption of normal distributed returns. Even if this new setup does not alter the selected factors, we found strong evidence of deviation from normality which makes our approach more appropriate. In contrast to the first two chapters, the third chapter takes the approach of using latent factors. Using data from the US market, 4 to 6 pervasive factor were generally found. Furthermore, the data speaks in favor of an approximate factor structure with time series dependence across assets. In the final chapter, we examine if a momentum strategy, is superior to a benchmark model once the effects of data-snooping have been accounted for. Data snooping occurs when a given set of data is used more than once for inference or model selection. The result shows that data-snooping bias can be very substantial. In this study, neglecting the problem would lead to very different conclusions. For the US data there is strong evidence of a momentum effect and we reject the hypothesis of weak market efficiency. For the Swedish data the results indicates that momentum strategies based on individual stocks generate positive and significant profits. Interestingly, a very weak or none at all, momentum effect can be found when stocks are sorted by size, book-to-market and industry. / Diss. Stockholm : Handelshögskolan, 2005. Johan Parmler hette tidigare Johan Ericsson.

In the new residential area, called Stockholm Royal Seaport (SRS), the customers will be living in Active Houses with Load Management. This implies that some balancing of the grid is shifted from the production to the consumption. To give the customer incentives to participate in the Load Management, new more dynamic pricing models needs to be implemented. At the same time, profits for the investors are needed to motivate an implementation of similar residential areas. To achieve this, an analysis of the electricity markets and an implementation of dynamic pricing models in a MATLAB simulation are done. A proposed trading profit for the investors and possible cost reductions for customers have been derived from the modelling. The results show that the difference in costs between utilized and unutilized Load Management are small, only considering the dynamic pricing models, therefore compliments to these are discussed. The conclusion is therefore that the energy for the manageable loads should be charged separately. Another important conclusion is that a change of the Spotmarket is needed in order to create a more beneficial market for retailers with flexible customers. / I den nya stadsdelen, Norra Djurgårdsstaden, ska kunderna bo i aktiva hus med laststyrda vitvaror. På så vis flyttas en del balanskraft från produktionen till konsumtionen. För att kunderna ska få incitament till att delta i laststyrningen krävs nya, mer dynamiska, pristariffer. Samtidigt behöver investerarna hitta möjliga förtjänster för att motivera ett införande av liknande stadsdelar. Detta har gjorts genom en analys av elmarknaden och en implementering av dynamiska prismodeller i en konsumtionssimulering i MATLAB. En föreslagen trading-förtjänst för investerarna samt möjliga kostnadsreduceringar för kunder har utvärderats utifrån modelleringen. Resultaten visar att med endast de dynamiska prismodellerna blir kostnadsskillnaden liten mellan de som utnyttjar laststyrningen och de som inte gör det, varför komplement till dessa diskuterats. Slutsatsen blir därför att den laststyrda elen bör debiteras enligt separat modell. En ytterligare slutsats är att spotmarknaden bör förändras för att skapa en gynnsam marknad för återförsäljare med flexibla kunder.