Includes bibliographical references. / Quantitative investment practitioners typically model the performance of a stock relative to its benchmark and the stock's fundamental factors in a classical linear framework. However, these models have empirically been found to be unsuitable for capturing higher-order relationships between a stock's return relative to a benchmark and its fundamental factors. This dissertation studies the use of Classification and Regression Tree (CART) models for stock selection within the South African context, with the focus being on the period from when the Global Financial Crisis began in early 2007 until December 2012. By utilising four types of portfolios, a CART model is directly compared against two traditional linear models. It is seen that during the period focused upon, the portfolios based on the CART model deliver the best excess return and risk-adjusted return, albeit in most cases modestly above the returns delivered by the portfolios based upon the linear models. This is observed in the hedge-fund style and long-only portfolios constructed. Moreover, it is observed that the CART-based portfolios' returns are not correlated with those from the linear-model-based portfolios. This observation suggests that CART models offer an attractive option to diversify model risk within the South African context.

The aim of this paper is to look at derivative usage in Botswana, Namibia, Zambia and Zimbabwe and contrast the findings to surveys done of other countries. There is no evidence of similar studies done on small sub Saharan African countries, so there is no specific literature driven expectations based outcome. One can however draw logical expectations regarding the findings based on the homogenous characteristics of smaller countries (and markets) in the rest of the world and similar studies done on those countries.

Includes bibliographical references. / This dissertation analyses the influence of liquidity on the profitability of South African listed firms between 2000 and 2009. The importance of this paper is to assess whether South African firms will improve profitability by managing liquidity efficiently. We used data from past published results of 120 JSE listed firms. The findings from the study suggest that there exists a negative relationship between profitability and liquidity as measured by the cash conversion cycle. Furthermore, efficient liquidity management improves return to shareholders by reducing time taken from the moment that creditors/suppliers are paid until the moment cash is collected from customers/debtors.

This study examines the co-movements of selected African stock exchanges, including Nigeria, Morocco, Egypt and South Africa, as well as the USA, in local currency and in USDt erms, for the period January 2004 to June 2014. The study sheds light on African market cointegration before, during, and post the financial crises of 2007/2008 to identify whether there are benefits to diversification in stock exchanges across Africa and how this has changed over time. Only the four biggest exchanges are examined, to eliminate the effects of illiquidity and ensuring the size of indices used result in conclusions that are practical to investors. This study looks at short and long term relationships using correlation, cointegration, and the direction of the relationships using causality tests. It finds low correlations between all African exchanges and the USA, with the exception of South Africa, which did show significant correlation with the USA. We find no consistent cointegration relationships over the periods tested. There are no consistent causality relationships between the various countries. The implication of these results are that there are likely benefits to diversification across the four African exchanges examined.

This study investigates whether the shareholder, stakeholder and customer-oriented theories on the objective of the firm are reflected in modern financial textbooks, and in the Mission, Vision, and Values statements of the JSE TOP40 firms. The literature review discusses the shareholder, stakeholder and customer-oriented theories of the firm, among others, and shows that there is no consensus between finance researchers on the objective of the firm, with opposing views presented. The research approach adopts qualitative analysis as the method for this study, as it is deemed to be suitable for pattern recognition in large sets of data. The data consisted of twenty financial textbooks, and the MVV statements of the JSE TOP40 firms. Both the data sets were analysed to identify the shareholder, stakeholder and customer-oriented objectives of the firm using the word frequency and coding queries in software NVivo. The finding in respect of financial textbooks indicates that seventeen textbooks advocated for a shareholder objective, two advocated for a stakeholder, and one for a customer-oriented objective of the firm. The JSE TOP40 firms' finding indicates that seventeen pursued a stakeholder objective, twelve pursued a customer-oriented objective, and eleven pursued a shareholder objective. The study establishes that the shareholder, stakeholder and customer-oriented theories of the firm's objective are reflected better in the MVV statements of JSE TOP40 firms, than in financial textbooks. This highlights a disconnection between financial textbooks, where the shareholder objective of the firm was found to be dominant, and the JSE TOP40 firms' findings where the debate concerning the three objectives was more evenly spread. This study recommends that South African academic authors should update their financial textbooks to reflect more emphasis on the stakeholder and customer-oriented theories of the firm's objectives, as being pursued by the JSE TOP40 firms.

This study investigates the characteristics of project finance transactions and establishes the cost determinants for non-recourse project finance in Africa within the energy, oil and gas, mining and infrastructure sectors. Essentially, this thesis will be investigating what the main cost determinants are which lenders use to price the risk in project finance transactions. Project finance risks such as market, operational, sponsor, political / regulatory and environmental risks are investigated. A loan transaction database is used to fit these risks to determine the relevant loan parameters available in the database, employing a regression model is used to obtain which loan parameters, and, in turn, risks, lenders price into the cost of the loans. The database represents non-recourse project finance transactions throughout Africa from 1995 to 2015 and was filtered down 89 loan entries that contained the most important loan parameters. Empirical results suggest that secured loans are priced in a different category to unsecured loans, increasing the All-In credit-spread by 196.94 bps (P-value < 0.1%) if the loan parameter is moved from an unsecured to a secured loan. Political / regulatory risk, which had a 27.697 bps increase in the All-in Credit-spread (P-value < 2.3%). This can be attributed to being a result of a country's risk ranking, which was found to be the most significant pricing determinant for non-recourse loans on the African continent.

Includes abstract. / Includes bibliographical references. / This study examined the performance 60 initial public offerings listing on the JSE main board between 1 January 2000 and 31 December 2011. Significant underpricing of 10.1% and 8.5% was found to exist on the first day and during first week subsequent to the IPO. Underperformance of 14.17% was found using abnormal returns and 12.91% underperformance was found when holding period returns were calculated one year after the IPO.

This study aims to address the empirical question of whether macroeconomic variables drive future stock market returns in South Africa. If found, the macroeconomic variables would therefore constitute useful predictive information for the future FTSE/JSE All Share Index. The data was examined from 1965 to 2010 which constitutes the longest study of its nature in South Africa. The macroeconomic variables were selected based on international and local precedent of intuitive influential macroeconomic factors. Through the use of Johansen multivariate cointegration, Granger causality and innovation accounting, it was found that the selected South African macroeconomic variables did not significantly influence future FTSE/JSE All Share Index returns. Therefore the chosen macroeconomic variables should not be used as a future predictive tool for South African stock market returns.

Includes bibliographical references. / There is an on-going debate amongst economists as to whether or not markets are efficient. The efficient market hypothesis is predicated on the assumption that investors are rational. The growing body of research in behavioural finance has challenged the rational investor theory, by showing that certain psychological biases affect the behaviour of investors in a manner which causes them to behave irrationally at certain times. The purpose of this paper is to gain further evidence of differential investment performance (which stems from some of these psychological biases) between genders in South Africa. A particular focus is on differences in risk aversion between genders. The data analysed suggests that men tend to hold riskier portfolios than women and tend to be more confident in their abilities than women are. A sample of 2,380 individual investors from a South African asset manager was analysed over ten years (1 January 2003 – 31 December 2012) in order to draw conclusions on the trading behaviour, resultant returns and variances in returns earned by men and women. The results show that there is a statistically significantly negative correlation between trading frequency and investor return. Over the ten year period analysed, there was no statistically significant difference between men and women either in returns earned or the variance of those returns. Further, there was no statistically significant difference between genders in trade frequency. However, in certain age groups and in certain sub-periods of the data, statistically significant differences between genders in both returns and variance of returns is observed, as well as statistically significant differences between the genders of trade frequency. Men had statistically significantly higher variances of their portfolio returns for the period from 1 January 2003 to 28 April 2006 (the period ending before the financial 3 crisis of 2008/9). Given that there is no significant difference in the investment returns earned by men and women in the same period, it follows that women were better investors (on a risk-adjusted basis) in this period. This may be explained by the fact that women are more risk averse than men and tend to hold less risky portfolios. Men had statistically significantly higher returns for their portfolios for the period from 1 May 2006 to 31 August 2009 (the period ending after the financial crisis of 2008/9). Given that there is no significant difference between men and women in respect of the variances of returns over this period, it follows men were better investors (on a risk-adjusted basis) for the period ending after the financial crisis. This could be due to men, being less risk averse than women, re-allocating their portfolio to riskier assets quicker than women after the financial crisis, and being better exposed to the upside of the market recovery. When stratifying the population into age groups to determine whether there is any differential behaviour on this basis, men in the 30 – 39 year old cohort were found to have a statistically significantly higher trade frequency than women. No other significant differences between genders within age groups were measured.

SA has one of the lowest survival rates of small and medium enterprises (hereafter referred to as “SMEs”), in the world (Edmore, December 2011). Therefore, business rescue is critical in developing SA’s economy, as defined in Section 7(b)(i) of the Companies Act, No.71 of 2008 (“the Act”) which reads: “Promote the development of the South African Economy by encouraging entrepreneurship and enterprise efficieny” The literature on business rescue concludes that post commencement finance is critical to the success of business rescue. However, to date, there has been no research performed on actual data collected from practitioners to answer the question of whether post commencement finance is a predictor of a successful business rescue The findings of this study initially contradict the literature insofar as 56% of business rescues received post commencement finance: however, further investigation showed that only 7% of the total companies in this study received third party financial institutional post commencement finance, with the balance being introduced by shareholders. The main finding of this study was that the introduction of post commencement finance is only a partial predictor of a successful business rescue. Thus, in the case of those companies which received finance, under business rescue, only 57% were successful. Another finding of this study is that the combination that provides the best probability of successful business rescue is when equity, in the business rescue company, is made available after the successful adoption of the business rescue plan.