Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorGrey, James Peteren_ZA
dc.date.accessioned2014-12-30T06:53:35Z
dc.date.available2014-12-30T06:53:35Z
dc.date.issued2005en_ZA
dc.descriptionIncludes bibliographical references (leaves 65-70).en_ZA
dc.description.abstractOver the last four decades academics have been concerned with both the factors effecting individual unit trust performance and whether this performance persists going forward. Whilst persistence in performance is of interest to unit trust investors from a practical perspective, it is also of interest to academics due to its inherent implications for the Efficient Markets Hypothesis (EMH). This study employs South African data based on a sample of 35 General Equity unit trusts over the six year period 1st January 1998 to 31 st December 2003. This study discusses both the EMH as well as factors that influence unit trust management style and associated performance. Using Jensen's alpha in both a Capital Asset Pricing Model (CAPM) framework and a 2-Factor Arbitrage Pricing Theory (APT) model, unconditional evidence is presented on the performance of General Equity unit trusts.en_ZA
dc.identifier.apacitationGrey, J. P. (2005). <i>Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/10573en_ZA
dc.identifier.chicagocitationGrey, James Peter. <i>"Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2005. http://hdl.handle.net/11427/10573en_ZA
dc.identifier.citationGrey, J. 2005. Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Grey, James Peter AB - Over the last four decades academics have been concerned with both the factors effecting individual unit trust performance and whether this performance persists going forward. Whilst persistence in performance is of interest to unit trust investors from a practical perspective, it is also of interest to academics due to its inherent implications for the Efficient Markets Hypothesis (EMH). This study employs South African data based on a sample of 35 General Equity unit trusts over the six year period 1st January 1998 to 31 st December 2003. This study discusses both the EMH as well as factors that influence unit trust management style and associated performance. Using Jensen's alpha in both a Capital Asset Pricing Model (CAPM) framework and a 2-Factor Arbitrage Pricing Theory (APT) model, unconditional evidence is presented on the performance of General Equity unit trusts. DA - 2005 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2005 T1 - Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency TI - Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency UR - http://hdl.handle.net/11427/10573 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/10573
dc.identifier.vancouvercitationGrey JP. Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10573en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Managementen_ZA
dc.titlePerformance and performance persistance in South African General Equity unit trusts, a test of South African market efficiencyen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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