Browsing by Author "Affleck-Graves , J F"

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    Applications and extentions of financial models to small markets : the South African case
    (1989) Bradfield, David John; Affleck-Graves , J F; Barr, Graham Douglas Irving
    ORGANIZATION OF THESIS: In Chapter 2, the important contributions to the development of Capital Market Theory will be discussed. Greater emphasis will be given to the more classical contributions and only a brief outline of the mathematical development will be presented where it is deemed necessary for the ensuing development of the thesis. In Chapter 3, a modified approach for portfolio selection in thinly-traded environments is proposed. This proposal concentrates on improving estimation of the inputs for practical implementation of the usual Markowitz portfolio selection routine. The estimation procedure adopted makes corrections for thin-trading and also makes use of the CAPM to improve the vector of return inputs. Chapter 4, basically consists of four sections. The first, gives a brief outline on historical estimation problems associated with the market model. In the second section the extent of thin-trading is investigated on the JSE. Furthermore a suitable beta estimation procedure which corrects for the effects of thin-trading is investigated empirically. In the third section an extended market model is proposed. This model leads to a more detailed, yet tractable structure of the risk components of stocks on smaller markets. An empirical investigation is subsequently conducted to investigate the risk structure of JSE stocks. In the last section of Chapter 4, an example of an empirical study using risk-adjusted returns is presented. The example considers the choice between bullion and South African gold shares from the international diversification perspective. In Chapter 5, empirical tests of the CAPM are conducted. This chapter consists of 2 main sections, namely, univariate tests and multivariate tests of the CAPM. Both of the tests also consider possible extensions of the CAPM by encorporating additional factors in the tests. Chapter 6 represents the main focus of this thesis, here the power of the univariate and multivariate tests of the CAPM are investigated using a simulation approach. The power investigation is conducted on simulated data that charaterizes the NYSE, however the JSE parameters are also considered. In the final section of this chapter the power of these tests are compared using various structured residual variance-covariance matrices. Lastly, some final thoughts and directions for future research are offered.
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    A contribution to adaptive robust estimation
    (1981) Barr, Graham Douglas Irving; Money, A H; Affleck-Graves , J F; Hart, M L;
    This study initially set out to consider the possibility of constructing an adaptive robust estimation procedure for the standard linear regression model when the disturbance vector deviated from normality, however, after the initial success in that field it seemed only appropriate that the approach be extended to robust location parameter estimation. This is a particular case of the regression model and an area in which a number of different estimators have been proposed and a great deal of comparative research work done. Due to the wider scope of such research the greater part of the thesis is devoted to this field of research which led to many interesting and useful results and conclusions.
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    The efficient market hypothesis and a change to L.I.F.O. : an empirical study on the Johannesburg Stock Exchange
    (1981) Knight, Rory Francis Murphy; Affleck-Graves , J F
    The dissertation presents a discussion on the Efficient Market Hypothesis (EMH) with particular reference to the implications for Financial Reporting. Furthermore a conceptual framework is proposed for empirical research in accounting. The results obtained indicate a significant negative reaction to the announcement of a change to L.I.F.O, in the aggregate, which was shown to be directly proportional to the size of the impact on reported earnings. The relative risk of the firms was shown to be an intervening variable in that the low risk firms experienced a less severe negative reaction. It is concluded that the JSE is an inefficient market since the information is impounded slowly. As the market appears to be unable to look behind the accounting numbers, further evidence of inefficiency is apparent. Finally the thesis concludes that the JSE may be developing as the most recent reactions were less negative and far quicker, on aggregate.
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    The impact on share prices of reporting financial targets and constraints
    (1991) Maguire, William Alexander Arthurs; Affleck-Graves , J F; Botha, Derek
    This thesis examines the impact on share prices of voluntary reporting of financial targets and constraints, particularly the target rate of return, target dividend payout ratio and target debt ratio. Hypotheses developed about of this reporting are that a positive impact on in estimation risk the potential share price impact there will be share prices through a reduction an increase in the dispersion of share price changes owing to a revision of expectations a positive impact on share prices owing to a signalling effect. The hypotheses are tested by examining share price behaviour accompanying the voluntary reporting of financial targets and constraints over the period 1974 to 1982 by thirty-four companies listed on the Johannesburg Stock Exchange. This is an event study, in which the event is defined as the first occasion on which a company reports the specified financial targets and constraints. To test for a positive impact on share prices, weekly excess returns are calculated using the market model. To test for an increase in the dispersion of share price changes, weekly variability ratios are calculated which provide a measure of returns in the event week relative to the average variability of returns in the estimation period. The controls applied in this study to demonstrate the link between the event and the share price impact are the market model, diversification of calendar dates and two control groups. The results of the study reveal a positive impact on share prices when companies first report financial targets and constraints. This is consistent with all three hypotheses. As this form of voluntary reporting has not previously been tested in this way, the results should be of interest to financial managers and to those concerned with the regulation of financial reporting in South Africa.
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    A mathematical approach to the evaluation of international diversification for the South African investor
    (1984) Van den Honert, Robin Charles; Affleck-Graves , J F
    This thesis attempts to isolate the major markets for investment outside South Africa, and to determine what proportion of a South African investor's capital, if any, should be held in foreign securities under different possible restrictions laid down by the South African Reserve Bank. The main argument advanced in favour of foreign investment is risk reduction through diversification.
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    A multivariate analysis of shares listed on the Johannesburg Stock Exchange
    (1983) Visser, Francesca; Affleck-Graves , J F
    This thesis examines the usefulness of multivariate statistical techniques to portfolio theory by applying two different multivariate techniques to two separate classificatory problems concerning shares listed on the Johannesburg Stock Exchange. In Chapter 1 the two techniques and two classificatory problems are introduced and their context within the general structure of portfolio theory is explained. Chapter 2 gives a theoretical overview of the first technique used, namely Factor Analysis. Chapters 3 and 4 discuss the application of factor analytic techniques to shares listed on the Johannesburg Stock Exchange. Chapter 5 gives a theoretical overview of Multiple Discriminant Analysis, the second multivariate technique used. Chapter 6 represents a survey of previous applications of Multiple Discriminant Analysis in the field of Finance, while Chapters 7 and 8 discuss the application of this technique to shares listed on the Johannesburg Stock Exchange. Finally, Chapter 9 gives a brief summary of the main conclusions in this thesis.