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

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dc.contributor.advisorBarr, DGIen_ZA
dc.contributor.authorValverde, Sheilaen_ZA
dc.date.accessioned2014-07-31T12:35:45Z
dc.date.available2014-07-31T12:35:45Z
dc.date.issued2008en_ZA
dc.descriptionIncludes abstract.
dc.descriptionIncludes bibliographical references (leaves 43-44).
dc.description.abstractThis 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.identifier.apacitationValverde, 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/11427/5870en_ZA
dc.identifier.chicagocitationValverde, 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/11427/5870en_ZA
dc.identifier.citationValverde, S. 2008. A portfolio analysis based on the leverage effect of exchange rates on JSE stocks. University of Cape Town.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
dc.identifier.urihttp://hdl.handle.net/11427/5870
dc.identifier.vancouvercitationValverde 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/11427/5870en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Management Studiesen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherManagement Studiesen_ZA
dc.titleA portfolio analysis based on the leverage effect of exchange rates on JSE stocksen_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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