Browsing by Author "Strugnell, Dave"
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- ItemOpen AccessBeta, size and value effects on the JSE Securities Exchange, 1994-2007(2010) Strugnell, Dave; Gilbert, Evan; Kruger, Ryan
- ItemOpen AccessAn evaluation of the proposed IFRS 4 Phase II measurement methodology: the impact of South African life insurers(2014) Marszalek, Szymon; Strugnell, Dave; Tripe, PeterNearly 20 years after inception, the Insurance Accounting project of the International Accounting Standard Board (IASB) is nearing completion. The recently published June 2013 International Financial Reporting Standard 4 (IFRS 4) Exposure Draft represents a likely picture of the future of global insurance financial reporting and it is important that insurers begin to understand and prepare for the changes it will bring. This dissertation explores the key principles and likely impacts of the IFRS 4 Phase II standard, in its current proposed form, in the South African life insurance context. In particular, the proposed IFRS 4 Phase II approach to profit reporting is contrasted with the current Financial Soundness Valuation (FSV) approach for simple illustrative term and endowment insurance products. The results of this comparison form the basis for a discussion of the impacts which the new profit reporting standard will have on insurance contract liabilities and hence profit profiles over time, and an assessment of whether the changes embodied in the new standard better meet the objectives of insurance financial reporting and the needs of the users of financial statements. This dissertation focusses on key areas where there is a high degree of certainty in the exposure draft, and touches more lightly on those areas where change is still expected. The findings indicate that IFRS 4 will result in insurer financial reporting being more principles-based, better meeting the requirements of fundamental financial reporting characteristics and being more comparable with insurer financial reporting internationally. These findings support the conclusion that a move to IFRS 4 for insurer financial reporting in South African will be beneficial to users of financial statements in making economic decisions.
- ItemOpen AccessExamining the presence of anchoring and adjustment in stock market investment decisions by Stefan Els.(2013) Els, Stefan; Strugnell, Dave; Gilbert, EvanWith three major stock market crashes in less than two decades, understanding the forces at work in the modern stock market is more important than ever before. The anchoring and adjustment heuristic has often been described as one of the psychological forces influencing investment decisions but little research has been done to support this belief. The aim of the present dissertation is to empirically study the presence of anchoring and adjustment in stock market decisions. To do this, a small group of equity analysts from South African investment firms were used for a pilot study before a survey was presented to a sample of 295 fourth year actuarial and finance students from the University of Cape Town. An experimental research design was used with a salient peak or trough on a share chart (the anchors) as the independent variable and participants’ estimates of a firm’s fundamental value as the dependent variable. No significant relationship between the anchor and participants’ estimates of fundamental value was found. More specifically, the research results suggested that participants experienced an anchoring effect but were debiased before providing an estimate of fundamental value. This is believed to have occurred due to the inclusion of multiple salient anchors in the research materials consistent with the nature of information available to analysts in real-world investment decision-making contexts. As these findings contradict those of most studies in anchoring and adjustment, it is recommended that more research is conducted on the relationship between the anchoring bias and stock market decisions in realistic investment settings. Additional research is also needed to clarify the effect that multiple anchors have on the anchoring bias.
- ItemOpen AccessAn investigation into the effect of information on decision-making for members of defined contribution pension funds(2012) Tagwira, Ruvimbo; Strugnell, DaveOn retirement individuals are expected to live on what they have saved over their working life-times if they are not to be dependent on the state or family. However, investments made over the working life-time may be inadequate to provide fully for retirement. Whilst it is obvious that one must save enough to retire on, it is not always clear how much is enough, or how best to save this. This can, and usually does, result in individuals retiring with less income than they need or expect (Masilela, 2011a), and in many cases, causes them to become dependent on their families or the state.
- ItemOpen AccessNews media, asset prices and capital flows: evidence from a small open economy(2017) Sher, Galen; Strugnell, DaveObjectives: This work investigates the role for the content of print news media in determining asset prices and capital flows in a small open economy (South Africa). Specifically, it examines how much of the daily variation in stock prices, bond prices, trading volume and capital flows can be explained by phrases in the print news media. Furthermore, this work links such evidence to the existing theoretical and empirical literature. Methods: This work employs natural language processing techniques for counting words and phrases within articles published in national newspapers. Variance decompositions of the resulting word and phrase counts summarise the information extracted from national newspapers in this way. Following previous studies of the United States, least squares regression relates stock returns to single positive or negative 'sentiment' factors. New in this study, support vector regression relates South African stock returns, bond returns and capital flows to the high-dimensional word and phrase counts from national newspapers. Results: I find that domestic asset prices and capital flows between residents and non-residents reflect the content of domestic print news media. In particular, I find that the contents of national newspapers can predict 9 percent of the variation in daily stock returns one day ahead and 7 percent of the variation in the daily excess return of long-term bonds over short-term bonds three days ahead. This predictability in stocks and bonds coincides with predictability of the content of domestic print news media for net equity and debt portfolio capital inflows, suggesting that the domestic print news media affects foreign residents' demand for domestic assets. Moreover, predictability of domestic print news media for near future stock returns is driven by emotive language, suggesting a role for 'sentiment', while such predictability for stock returns further ahead and the premium on long-term bonds is driven by non-emotive language, suggesting a role for other media factors in determining asset prices. These results do not seem to reflect a purely historical phenomenon, finite-sample biases, reverse causality, serial correlation, volatility or day-of-the-week effects. The results support models where foreign agents' short-run beliefs or preferences respond to the content of domestic print news media heterogeneously from those of domestic agents, while becoming more homogeneous in the medium term.