A portfolio analysis based on the leverage effect of exchange rates on JSE stocks

 

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dc.contributor.advisor Barr, DGI en_ZA
dc.contributor.author Valverde, Sheila en_ZA
dc.date.accessioned 2014-07-31T12:35:45Z
dc.date.available 2014-07-31T12:35:45Z
dc.date.issued 2008 en_ZA
dc.identifier.citation Valverde, S. 2008. A portfolio analysis based on the leverage effect of exchange rates on JSE stocks. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/5870
dc.description Includes abstract.
dc.description Includes bibliographical references (leaves 43-44).
dc.description.abstract This research paper sets out to determine whether domestic investors, constrained by capital controls, can minimise the adverse effects of a volatile ZAR by constructing stock portfolios based on three classifications. Stocks are defined as either hedge, leverage or play, according to the currency denomination of revenues earned and costs incurred by the company. Beta coefficients are estimated for the three groups and expected returns are calculated for the different investors, which are predetermined by their future exchange rate expectations vis-a.-vis purchasing power parity (PPP). en_ZA
dc.language.iso eng en_ZA
dc.subject.other Management Studies en_ZA
dc.title A portfolio analysis based on the leverage effect of exchange rates on JSE stocks en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department School of Management Studies en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Valverde, S. (2008). <i>A portfolio analysis based on the leverage effect of exchange rates on JSE stocks</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Management Studies. Retrieved from http://hdl.handle.net/11427/5870 en_ZA
dc.identifier.chicagocitation Valverde, Sheila. <i>"A portfolio analysis based on the leverage effect of exchange rates on JSE stocks."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Management Studies, 2008. http://hdl.handle.net/11427/5870 en_ZA
dc.identifier.vancouvercitation Valverde S. A portfolio analysis based on the leverage effect of exchange rates on JSE stocks. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Management Studies, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5870 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Valverde, Sheila AB - This research paper sets out to determine whether domestic investors, constrained by capital controls, can minimise the adverse effects of a volatile ZAR by constructing stock portfolios based on three classifications. Stocks are defined as either hedge, leverage or play, according to the currency denomination of revenues earned and costs incurred by the company. Beta coefficients are estimated for the three groups and expected returns are calculated for the different investors, which are predetermined by their future exchange rate expectations vis-a.-vis purchasing power parity (PPP). DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - A portfolio analysis based on the leverage effect of exchange rates on JSE stocks TI - A portfolio analysis based on the leverage effect of exchange rates on JSE stocks UR - http://hdl.handle.net/11427/5870 ER - en_ZA


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