OpenUCT :: Browsing by Subject "Finance"

Browsing by Subject "Finance"

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Open Access
A decentralised asset registry to expand access to finance for the agricultural sector in South Africa
(2019) Mzuku, Kungela; Georg, Co-Pierre
Over 61 percent of Africans are involved in agriculture; of this, only a few have access to financial services catered for their business. To get financial assistance, farmers have to provide sufficient collateral in the form of land, machinery and other large assets, many of which they do not own. Instead, farmers own mostly agricultural assets such as cattle, pigs and crop trees. The aim of this study is to make use of the agricultural resources available to farmers as collateral for financial loans. This was achieved through the development of a decentralised agricultural registry between farmers and the financial sector. Through an exploratory study, it was found many African countries introduced Movable Property laws to help increase acceptable collateral for financial loans. Unfortunately, many limitations were encountered which resulted in the adoption of the laws to be extremely low. As a result, this paper looks to blockchain technology as a solution as it would allow for transparency between farmers, government and financial sector. By creating a decentralised agricultural registry, farmers can register their biological assets and financiers can verify that the assets exists, are healthy and are currently not being used as collateral in another loan agreement. It is hoped that the registry can be used as a tool when financial agreements between farmers and banks are conducted.
Open Access
A study of the relative performance of South African unit trust fund managers utilizing the portfolio change measure technique
(1995) Garvin, Trevor; High, Hugh
Unit trust funds are one of the fastest growing areas of the financial sector in South Africa today. There are currently over 1 million unit trust fund investors, with their associated management companies controlling over R20 billion in funds. The growing importance of the unit trust fund industry means that, increasingly, both investors in these funds, and those who judge the performance of fund managers, have heightened incentives to ensure portfolio performance is accurately measured. More specifically, there is a growing need · to measure the performance of the individual fund managers themselves, thus enabling the directors of the fund management companies to suitably reward successful portfolio managers, whilst penalizing those who are less successful. A great deal of research has been done on this topic both in South Africa and worldwide; however most of the studies have made use of Betas and 'benchmark' portfolios, both of which have many inherent flaws. This thesis examines the performance of unit trust fund managers using a 'benchmarlt free measurement technique, thus enabling one to avoid the measurement problems previously encountered. Chapter I gives a brief outline on the South African unit trust fund industry. In Chapter 2 the author looks specifically at the controversies which underlie the measurement of risk, and those surrounding risk-adjusted performance measurement. The flaws in previous studies are noted. Chapter 3 traces the development of the Performance Change methodology which is the method used in this dissertation. Chapter 4 describes the Performance Change methodology as applied to South African data; with the results from the tests presented in Chapter 5. Final conclusions and proposals for future research are put forward in the concluding Chapter 6. The author has shown conclusively that when utilizing the Portfolio Change Measure, unit trust managers in general are not able to consistently outperform the market. The author's findings suggest that trust fund managers do not achieve any significant level of additional return for the particular funds under their control. The Portfolio Change Measure has two further particularly important uses: (1) it can act as an additional management tool to aid the directors of unit trust fund management companies in measuring how efficiently portfolio managers are managing their funds; ·and, (2) it enables investors to make a more 'informed' investment decision because the comparative performance of unit trust funds is better analysed.
Open Access
Analysis of credit expansion in South Africa
(2008) Mbayi, Willy Bashiya; Holman, Glen
Developments in South Africa over the past few years clearly testify to the strong relationships between economic growth and credit expansion. The paper analyses the factors driving credit growth in South Africa. It shows the strong income effect on the credit level in South Africa while the changes in interest rates do negatively affect home loans but have less effect on other components of bank credit to the private sector. This paper concludes that the interest rates policy must be combined with other tools of monetary and financial policy to guarantee a structurally lower level of credit to the private sector.
Open Access
Analysis of the cross-section of equity returns on the JSE Securities Exchange based on linear and nonlinear modeling techniques
(2010) Hodnett, Kathleen E; Van Rensburg, Paul
This research investigates the relationship between firm-specific style attributes and the cross-section of equity returns on the JSE Securities Exchange (JSE) over the period from 1 January 1997 to 31 December 2007. Both linear and nonlinear expected returns forecasting models are constructed based on the cross-section of equity returns. A blended approach combining a linear modeling technique with a nonlinear artificial neural network technique is developed to identify future potential top performing shares on the JSE. 1. Both linear and nonlinear models identify book-value-to-price and cash flow-to-price as significant styles attributes that distinguish near-term future share returns on the JSE. 2. This thesis found updating the identity of attributes is equally important as updating the factor payoffs of attributes in applying the stepwise regression approach. 3. Nonlinearity on the JSE equity returns is found to complement the forecasting power of linear factor models. 4. In terms of artificial neural network modeling, the extended Kalman filter learning rule introduced in the thesis is found to outperform the traditional back-propagation approach. 5. This thesis found that updating the identity of attributes via a genetic algorithm in the nonlinear forecasting models is superior to the static nonlinear forecasting models. 6. Both linear and nonlinear models are found to be more adequate in identifying future outperformers than identifying future underperformers on the JSE. The results of the research provide for potential alpha generating stock selection techniques for active portfolio managers in the South African equity market using the blended linear-nonlinear approach.
Open Access
Applications of global equity style indices in active and passive portfolio management
(2010) Hsieh, Heng-Hsing; Van Rensburg, Paul
The success of the Fama and French 3-factor model in explaining empirical anomalies of the Capital Asset Pricing Model (CAPM) suggests that style investing which places portfolios out-of-sync with the broad market has the potential to generate significant alpha. Since momentum abnormal return is the only anomaly that is not explained by the 3-factor model, it could well be the third style-based factor in addition to the size and the value factors to complete the model. With the goal of searching for practical mean-variance efficient allocation mechanisms in the global capital market, this study develops and examines the long-only, long-short leverage and market neutral strategies from the global size, value and momentum proxies along with the Morgan Stanley Capital International World Index over the examination period, 1 January 1991 to 31 December 2008.
Open Access
The behaviour of style anomalies in worldwide sector indices : a univariate and multivariate analysis
(2007) Acres, Daniel Nigel Gerard; Van Rensburg, Paul
The aim of this thesis is to explain the cross-section of International Classification Benchmark (ICB) level 4 (sector) index returns. A worldwide study of 48 developed and emerging countries is conducted, considering up to 38 sector indices per country. In cluster and factor analyses of the sector returns all the developed markets are found to cluster together, as are the emerging markets, suggesting diversificationary benefits from investing across the two. The one-month-ahead return forecasting power of 35 sector-specific attributes is investigated over an in-sample period from 31 January 1995 to 31 December 2001 and an out-sample period from 31 January 2002 to 31 December 2005. The data is adjusted for look-ahead bias, outliers, influential observations and non-uniformity across markets. Monthly sector returns are cross-sectionally regressed on the attributes in a similar fashion to Fama and MacBeth (1973). Sector returns are considered both before and after risk adjustment with the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT) model and Solnik's (2000) version of the International CAPM (ICAPM). The ICAPM is found to be the best performing model but, in general, the evidence does not support covariance-based models of asset pricing. Nine attributes are found to be significant and robust over the two sample periods namely cash earnings per share to price (CP), dividend yield (DY), cash earnings to book value (CB), 6 and 12-month growth in cash earnings, to price (C-6P & C-12P), 12 and 24-month growth in dividends, to price (D-12P & D-24P), the payout ratio (PO) and 12-month prior return (MOM-12). All the significant attributes from the univariate regression tests are found to payoff consistently in the positive direction when tested with the nonparametric Sign Test. Nine of the significant attributes namely book value per share to price (BP), dividend yield (DY), earnings yield (EY), 6-month growth in cash earnings, to price (C-6P), cash earnings to book value (CB), 24-month growth in dividends, to price (D-24P), 24-month growth in earnings, to price (E-24P), 12-month and 18-month prior return (MOM-12 & MOM-18) are also found to have significantly low frequencies of changes in payoff direction when assessed with the nonparametric Runs Test. Seven style timing models are developed, all of which produce significantly accurate payoff direction forecasts for most of the significant attributes. The timing models are however generally inaccurate in forecasting the magnitude of the payoffs. Very little seasonality is observed in the payoffs to the significant attributes. Two sets of seven 'stepwise optimal' and 'control' multivariate models are constructed from the significant univariate in-sample attributes in order to forecast the payoffs to the factors in a controlled multifactor setting. The stepwise optimal models are derived from a stepwise procedure, whilst the 'control' models comprise all the attributes which are found to be significant in one or more of the 'optimal' models. The forecasting power of the all the models is found to be below an exploitable level; of the 'control' models the single exponential smoothing model is the most accurate outsample performer. Weighted Least Squares (WLS) models are used to allow for the possibility of heteroskedasticity, which may exist in the cross-section of worldwide sector returns. The WLS models are ineffective in improving forecasting power when the inverse of the 12-month rolling standard deviation of the residuals is used as the weight series.
Open Access
The behaviour of style anomalies on the Australian Stock Exchange : a univariate and multivariate analysis
(2005) Janari, Emile; Van Rensburg, Paul
Recent attempts to empirically verify the Sharpe (1964), Lintner (1965), Moss in (1966), and Black (1972) Capital Asset Pricing Model (CAPM) have identified numerous inconsistencies with the model's predictions. A number of variables have displayed evidence of the ability to explain the cross-sectional variation in share returns beyond that explained by data. These anomalous effect have become known as "style effects " or "style characteristics". This thesis sets out to examine the existence and behaviour of these style-characteristics over the period June 1994 to May 2004. A data set of 207 firm-specific attributes is created for all Australian Stock Exchange (ASX) All Ordinaries stocks listed on 1 September 2004. The data are adjusted for both thin trading and look-ahead bias. The study largely follows the tests of van Rensburg and Robertson (2003) who adopt the characteristic-based approach of Fama and Macbeth (1973). Attributes are tested for the ability to explain the cross-sectional variation in ASX share returns beyond that explained by the CAPM and a principal-components-derived APT model. Similar significant characteristics are found when unadjusted and both risk-adjusted returns sets are examined. The set of significant characteristics d e rived from the unadjusted returns test is then simplified using correlation analysis and an agglomerative hierarchical clustering algorithm, resulting in a list of 27 variables that are not highly correlated with each other. These characteristics are divided into nine interpretation groups or combinations thereof, namely: (1) Liquidity; (2) Momentum; (3) Performance; (4) Size; (5) Value; (6) Change in Liquidity; (7) Change in Performance; (8) Change in Size; and (9) Change in Value. While the existence of the anomalies found in prior Australian literature (size, price-per-share, M/B, cashflow-to-price, and short- to medium-term momentum) is confirmed, the PIE effect is not found to be significant in this study. As these previously documented anomalies only cover five of the final 27 characteristics, this paper identifies 2 2 new Australian anomalies. Six style-timing models are evaluated for the ability to forecast the monthly payoffs to the 27 characteristics. A twelve-lag autoregressive model convincingly displays the best performance against moving average and historic mean models. Parametric and nonparametric tests find inconclusive evidence of seasonality in the monthly payoffs to the attributes. The 27 significant style characteristics are then used to construct a multifactor style-characteristics model which comprises a set of factors that are significant when simultaneously cross-sectionally regressed on share returns. The employed construction method yields a five-factor style model for the ASX and comprises: (1) prior twelve-month momentum; (2) book-to-market value; (3) two-year percentage change in dividends paid; (4) cashflow-to-price; and (5) two-year percentage change in market-to-book value. Finally, a step wise procedure is performed using six style-timing models. Five dynamic multifactor expected return models are created and contrast with a static multifactor expected return model similar to that used in van Rensburg and Robertson (2003). The derived expected return models have between three and thirteen factors. While all six models display good forecasting ability, the dynamic (trailing moving average) models all perform better than the static (historic mean) model. This is convincing evidence that the asset pricing relationship follows a dynamic model.
Open Access
Beta, size and value effects on the JSE Securities Exchange, 1994-2007
(2010) Strugnell, Dave; Gilbert, Evan; Kruger, Ryan
Open Access
Cash Flow as a Predictor of Share Returns: Evidence from the Johannesburg Stock Exchange
(2019) Alexandroi, Sergei; Toerien, Francois
The existence of so-called equity market anomalies suggests that factors outside of the traditional asset-pricing models can model share returns. Despite this, there is limited empirical evidence on cash flow metrics as anomalies, and less so on cash flows as a predictor of share returns. The aim of this study is to provide a new insight into the South African equity market by investigating and comparing the extent of return predictability displayed by cash and accrual measures. This research extends the work of Foerster, Tsagarelis and Wang (2017) and investigates previously untested cash-based measures on an untested sample of shares in an emerging market. Fixed effects panel regression models are applied to a dataset consisting of 85 shares listed on the Johannesburg Stock Exchange over the period 2008 to 2018, using cash and accounting variables to test for predictive ability on six-month ahead total share returns. In contrast to the findings by Foerster, Tsagarelis and Wang (2017), the results suggest that accrual-based measures provide more explanatory power for share return variation than cash flow measures. However, using these variables for purposes of earning consistent excess returns requires further investigation. In addition, the strongest regression model consists of both bottom-line earnings and cash flow variables, suggesting that there is predictive power in a combination of traditional profitability and cash flow figures. The value of using such cash flow information in the fundamental investment process has practical implications on asset pricing, the presence of anomalies in financial markets as well as return prediction. Underlying this research is also an inherent test of the level of market efficiency on the JSE. The resulting significance levels suggest that some variation in future returns can be explained by prior movements in company financial figures, which contributes to the understanding of how South African equity markets process and reflect financial data. The study therefore provides evidence to reject a strong-form level of market efficiency and support the argument for a semi-strong form level of market efficiency on the JSE.
Open Access
Channels of financial contagion
(2004) Gavron, Shãna V; Collins, Daryl
The current contagion literature does not definitely conclude which channels of financial contagion are the most significant in transmitting crises between countries. This paper sets out to fill this gap empirically by determining which contagion channels significantly increase the probability of an incidence of contagion between stock markets. The paper initially establishes the occurrence of contagion across 42 countries during nine economic and/or financial events. It identifies potential channels and classifies them either as channels that spread contagion via weak economic fundamentals, as channels that spread contagion via economic and/or financial links or as channels that spread contagion via investor behaviour.
Open Access
Crises and resilience at the frontline-public health facility managers under devolution in a sub-county on the Kenyan Coast
(Public Library of Science, 2015) Nyikuri, Mary; Tsofa, Benjamin; Barasa, Edwine; Okoth, Philip; Molyneux, Sassy
BACKGROUND: Public primary health care (PHC) facilities are for many individuals the first point of contact with the formal health care system. These facilities are managed by professional nurses or clinical officers who are recognised to play a key role in implementing health sector reforms and facilitating initiatives aimed at strengthening community involvement. Little in-depth research exists about the dimensions and challenges of these managers' jobs, or on the impact of decentralisation on their roles and responsibilities. In this paper, we describe the roles and responsibilities of PHC managers-or 'in-charges' in Kenya, and their challenges and coping strategies, under accelerated devolution. METHODS: The data presented in this paper is part of a wider set of activities aimed at understanding governance changes under devolution in Kenya, under the umbrella of a 'learning site'. A learning site is a long term process of collaboration between health managers and researchers deciding together on key health system questions and interventions. Data were collected through seven formal in depth interviews and observations at four PHC facilities as well as eight in depth interviews and informal interactions with sub-county managers from June 2013 to July 2014. Drawing on the Aragon framework of organisation capacity we discuss the multiple accountabilities, daily routines, challenges and coping strategies among PHC facility managers. RESULTS: PHC in-charges perform complex and diverse roles in a difficult environment with relatively little formal preparation. Their key concerns are lack of job clarity and preparedness, the difficulty of balancing multidirectional accountability responsibilities amidst significant resource shortages, and remuneration anxieties. We show that day-to-day management in an environment of resource constraints and uncertainty requires PHC in-charges who are resilient, reflective, and continuously able to learn and adapt. We highlight the importance of leadership development including the building of critical soft skills such as relationship building.
Open Access
Derivatives usage in Egypt : a study of the use of derivative financial instruments by Egyptian companies listed on the Egyptian Stock Exchange
(2012) Hart, Kevin; Holman, Glen
In the absence of market imperfections, risk management cannot create value. There would be no demand for hedging instruments (including derivatives) in the absence of taxes, agency costs, information asymmetry or transaction costs. Financial theory proposes two main sets of explanations for risk management: firstly, risk management is a means to maximize firm value by reducing the costs of financial distress (hedging can allow firms to increase debts capacity and raise funds at lower costs), reducing taxation (reducing earnings volatility and therefore decreasing expected taxes) and reducing the effects of information asymmetry. Secondly, the reasons to hedge can be found by reference to economies of scale: the majority of studies have found a positive correlation between firm size and the use of derivatives, although size is believed to be a constraining factor rather than a determining factor for risk management. It is proposed by Schiozer and Saito (2009) that firms in emerging economies such as Brazil, Argentina (and arguably Egypt), manage risks for different reasons when compared to mature economies such as the US. Emerging economies are often characterized by high volatility of exchange and interest rates. Additionally, there is often a scarcity of domestic funding that leads firms to raise funds on foreign capital markets to finance investment projects. Foreign denominated debt has always proved to produce significant risk exposure for emerging market firms. This research was undertaken to gain insight into the use of derivatives by Egyptian firms. The majority of previous research into derivative usage has focused on developed economies with little similar research into emerging economies and even less research into Middle Eastern economies such as Egypt.
Open Access
The determinants of corporate risk management
(1997) Dunley-Owen, Tracy; Hobson, Jane
Traditional financial theory which is based on the Modigliani-Miller indifference paradigm, suggests that a firm's financial policies, of which risk management is one component, are irrelevant. However, this conclusion is seemingly contradicted by the observation of widespread use of derivatives by companies, particularly for hedging purposes. This apparent conflict is receiving attention from international financial researchers. A number of hypothesis have been proposed to explain corporate risk management. To evaluate the strength of these theories, this paper begins with a formalised process of identifying the assumptions underlying the hypotheses. The theories are classified according to which assumptions are relaxed. A limited number of international empirical studies have been performed to date. The results have been varied; four of the important studies are discussed. For the first time, an empirical investigation into the determinants of corporate risk management in South Africa is conducted. The most significant findings are that larger firms are more inclined to undertake risk management, and the likelihood of a firm hedging increases with the size of the director's ownership in the company.
Open Access
Determinants of private equity investment in South Africa: an ARDL Bounds Testing Approach
(2019) Ngewnya, Noluthando; Alhassan, Latif
The private sector in Africa is dominated by micro, small, and medium scale enterprises (MSMEs). This sector of the economy often finds it the most difficult to raise financing from the formal financial institutions. This funding problem is further exacerbated by the fact that financial services sector in the economy is very under developed; hence, there is limited sources of debt financing available to entrepreneurs. Private Equity Funding has played a pivotal role in providing capital to this sector and the African continent would benefit from a buoyant Private Equity market. This study, therefore, seeks to examine the determinants of the Private Equity activity in the South African environment, in order to make recommendations to policy makers as to the policies that they should implement in order to increase Private Equity fund raising activity. This study explores the determinants of Private Equity in South Africa from 2002 to 2016. The autoregressive distributed lag (ARDL) bounds approach to co-integration (M. Hashem Pesaran, Shin, & Smith, 2001) is adopted to determine the relationship between economic, financial, and regulatory variables and growth in Private Equity Funds under management. For economic variables, this study looks at exchange rates, interest rates, GDP growth, the inflation rate, and the level of entrepreneurship in the country. Secondly, for financial variables, it looks at stock market development and the development of the financial sector in the country. Lastly, for regulatory variables, it looks at the effect the tax rate, the political environment, and the regulatory environment has on Private Equity activity. The results of the study found no evidence to support a deterministic relationship between the variables macroeconomic environment, financial development, and the regulatory environment with growth in Private Equity Funds under management in the South African context. The findings of this study can be explained by the opportunistic nature of the Private Equity business. This means that investors look for opportunities in markets where they can make substantial returns, and those opportunities are not necessarily informed by the macroeconomic environment of the countries where the opportunities avail themselves.
Open Access
Determinants of remittance channels amongst immigrants in South Africa
(2019) Luhabe-Morrison, Lumko Ndumiso; Biekpe, Nicholas
South Africa, being viewed as the centre of opportunities and enormous business prospects, is noted as having a long history of migrants, stemming from the South African Development Community region, seeking employment opportunities, both legal and illegal. Extant literature shows that there is a substantial flow of remittances from South Africa to other countries in the SADC region. Due to stringent South Africa's migration laws, many of these migrants remain undocumented, and hence use informal channels to remit to their countries of origin. This study investigates the determinants of remittance behaviour, which includes choice of remittance channels and level of remittances amongst immigrants residing in South Africa. This research contributes to the development finance (regional remittance market) body of knowledge by looking at South Africa within the SADC context. The research methodology employed was quantitative in nature, several statistical techniques were used to analyse the data including descriptive statistics with frequency tables, correlation, and binary logistic regression. SPSS and Stata 12 were used for data management and all statistical calculations. The descriptive statistics, including tallying of frequencies in the calculation of percentages, and central tendency summaries were used to summarise the data and present the sample profile and characteristics; binary logistics was used to test the three hypotheses on relationships and influences of the dependent and independent variables of interest. The findings of the study showed that sex, age, rental payments, and household expenditure were significant determinants or influencers of remittance behaviour. Furthermore, it showed that more immigrants were male, as compared to female immigrants in this study. This study concluded that since sex, age, rental payments, and household expenditure are significant determinants of remittance behaviour, the government, banks, and other stakeholders need to review their policies to create a platform that enables ease of remittances. Keywords: remittances, remittance channels, determinants of remittances, immigrants, remittance levels.
Open Access
Digital financial inclusion: determinants of M-Shwari in Kenya
(2019) Kiptorus, Joan Jesang; Alhassan, Abdul Latif
Kenya has experienced unprecedented levels of growth in terms of mobile phone penetration and technological advancement, which is boosting financial sector development and subsequently spurring on economic growth. A report published by the Communications Authority of Kenya reported mobile phone penetration at 90.4%, with 41 million mobile phone subscribers as at December 2017. On the back of this, Kenya has made great strides in financial inclusion and with an overall score of 86%, received the top award for inclusive financial services from the Brookings Institution's 2017 Financial and Digital Inclusion Project. This was further reinforced by Financial Sector Deepening Kenya's findings that between 2006 and 2016, the number of fully excluded adults fell from 40% of the population to 17% of the population. One of the technological advancements that is helping bridge the financial inclusion gap is M-Shwari, a mobile banking product launched in Kenya in November 2012, through a collaborative effort between Safaricom and Commercial Bank of Africa. M-Shwari is available to M-Pesa customers and allows users to save and borrow from their mobile phones while earning interest on money saved. This study examined the determinants of M-Shwari usage for deposits and accessing loans. The study was conducted in the Kibera slum in Nairobi County in Kenya and used structured questionnaires to collect data over a six-month period (June 2017–December 2017). The target population was 250 000 persons, with an ultimate sample of 146 individuals. The study employed the Ordinary Least Squares regression technique to examine the drivers of financial inclusion, defined as the number of loans and deposits taken over the past six months on the M-Shwari platform, given respondents' gender, age, education, income, employment and number of dependants. Linear regressions were used to analyse the data. The logistic model was also employed to examine the likelihood of depositing with M-Shwari. The analysis reveals that women have a greater likelihood of using the M-Shwari service, which may indicate that mobile-based interventions could help bridge the gender gap in financial inclusion. While it was found that those who are employed have an increased likelihood of utilisation of the deposit M-Shwari feature, the assessment of determinants of M-Shwari deposits indicate that those who are employed are less likely to deposit money in M-Shwari. This may be due to the plethora of options at their disposal that offer superior benefits over and above those offered by M-Shwari. Education was also a significant determinant and the study found that those with higher levels of education were more likely to use the deposit feature of M-Shwari, but less likely to use the loan feature. The implication of this could be that those who were better educated were in a better position to weigh the pros and cons of loans from M-Shwari versus other sources. While an increase in income increased overall use of the M-Shwari service, a number of dependants linked to pressures on income meant that individuals with a higher number of dependants were less likely to deposit money with the M-Shwari service but more likely to borrow from the service to supplement their income.
Open Access
Do investment strategies based on previous performance yield higher returns? Evidence from South African bond funds
(2019) Myoli, Monwabisi Joseph; Gumede, Lungelo Mr
This paper examines the performance and performance persistence of South African bond mutual funds. To my knowledge, this paper is among the first research papers to focus on South African bond mutual funds. I utilize the Sharpe Ratio, the modified Sharpe ratio, Jensen's alpha and the multi-index models to examine whether peformance is influenced by the performance measure used. In addition, I examine the impact of conditioning information variables on performance by further measuring performance using the conditional single-index and conditional multi-index models. To test for persistence, I use the contigency tables and crosssectional regressions. I find empirical evidence to suggest that South African bond funds are not able to outperform the market. These findings are consistent across the Sharpe ratio, the unconditional single-index alphas and the unconditional multi-index alphas. When I consider the modified and conditional versions of these models, I conclude that the modified Sharpe ratio improves fund performance when compared to the original Sharpe ratio. Additionally, I conclude that incorporating conditional information variables does not offer significant improvements on the results. However, despite the observed underperformance, I note the improvement on alphas when these conditioning variables are considered. In examining performance persistence, I find evidence to suggest that, in the short-term, persistence is not sensitive to the persistence methodology used. However, I observe that persistence is rather sensitive to the performance model used. Over the longer-term, I find evidence to conclude that persistence is greatly sensitive to both the performance model used as well as the methodology used to test such persistence. My results suggest that the South African bond market is efficient and thereby in support of a passive management investment strategy. Nonetheless, my results urge for a need for bond funds to pay special attention to their trading costs in order to maximise returns for their investmens
Open Access
An evaluation of analysts' expectational data regarding firms listed on the JSE securities exchange
(2004) Prayag, C; Van Rensburg, Paul
This study empirically investigates the usefulness of South African stockbroker analysts' two primary forms of expectational output: earnings forecasts and investment (buy, hold, and sell) recommendations. Instead of focusing on individual stockbroker analysts' forecasts and recommendations, the consensus estimates are examined as they are accessible to a large community of investors.
Open Access
Firm-specific attributes and the cross-section of equity returns on the Tokyo Stock Exchange
(2006) Velaers, Juliette F; Van Rensburg, Paul
This thesis follows the methodologies of Fama and Macbeth (1973) and Robertson (2003) and empirically investigates the cross-sectional relationship between firm-specific attributes and stock returns on the Tokyo Stock Exchange (TSE). A dataset of 226 firm-specific attributes are constructed and tested. The data are adjusted for thin-trading and outliers are free from look-ahead bias. Two separate time periods are investigated in order to reduce the likelihood of data snooping. The in-sample regressions are run over the 1 January 1993 to 31 December 2000 time period and out-sample regressions cover 1 January 2001 to 31 December 2004.
Open Access
Integration, growth and contagion in African equity markets
(2003) Abrahamson, Mark; Collins, Daryl
During the 1990s, many African policymakers liberalised their capital accounts and opened equity markets to foreign investment. The motivation behind these liberalisations was to obtain the promised benefits of increased liquidity and market participation. In the same decade, however, African markets witnessed their more mature emerging market counterparts suffering the consequences of crisis and contagion. In light of this, policymakers are now concerned about how best to approach future capital account policy. Should they actively proceed to encourage foreign investment, for instance by listing a country fund? Alternatively, should liberalisations be revoked and foreign investment prohibited? Or is the best option to wait and see? In response to these questions, this thesis presents an investigation into integration, growth and contagion in African equity markets.