Predicting extreme performers on the JSE securities exchange

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorKornik, Jonathanen_ZA
dc.date.accessioned2015-01-03T05:45:51Z
dc.date.available2015-01-03T05:45:51Z
dc.date.issued2006en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractIn this context, this thesis builds on the prior literature on extreme performance by Reinganum (1988), Glickman, DiRienzo and Ochman (2001), O'Neil (2002) and Dong, Duan and Jang (2003), where an extreme winner (loser) is a stock which at least doubles (halves) in a twelve month period. The research is conducted on the JSE Securities Exchange over the ten year period from January 1995 until December 2004. The dataset employed contains monthly data for 213 companies listed on this exchange, incorporating 7807 (5397) unique company months of extreme gain (loss). The data are adjusted for look-ahead bias but not survivorship bias.en_ZA
dc.identifier.apacitationKornik, J. (2006). <i>Predicting extreme performers on the JSE securities exchange</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/11142en_ZA
dc.identifier.chicagocitationKornik, Jonathan. <i>"Predicting extreme performers on the JSE securities exchange."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2006. http://hdl.handle.net/11427/11142en_ZA
dc.identifier.citationKornik, J. 2006. Predicting extreme performers on the JSE securities exchange. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Kornik, Jonathan AB - In this context, this thesis builds on the prior literature on extreme performance by Reinganum (1988), Glickman, DiRienzo and Ochman (2001), O'Neil (2002) and Dong, Duan and Jang (2003), where an extreme winner (loser) is a stock which at least doubles (halves) in a twelve month period. The research is conducted on the JSE Securities Exchange over the ten year period from January 1995 until December 2004. The dataset employed contains monthly data for 213 companies listed on this exchange, incorporating 7807 (5397) unique company months of extreme gain (loss). The data are adjusted for look-ahead bias but not survivorship bias. DA - 2006 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2006 T1 - Predicting extreme performers on the JSE securities exchange TI - Predicting extreme performers on the JSE securities exchange UR - http://hdl.handle.net/11427/11142 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/11142
dc.identifier.vancouvercitationKornik J. Predicting extreme performers on the JSE securities exchange. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2006 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/11142en_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.otherFinanceen_ZA
dc.titlePredicting extreme performers on the JSE securities exchangeen_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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