Includes bibliography. / The study analyses the incentives and mechanisms of failing firms on the Johannesburg Stock Exchange that restructure their claims following a decline in performance and value. The study also analyses patterns for restructuring of failing firms. The sample contains firms that were delisted between 1986 and 1996. Firms that were delisted and re-instated number 28 and constitute the sample for firms that restructured successfully their claims. Firms that were delisted on the JSE following an unsuccessful debt restructuring number 32 and constitute the sample for unsuccessful firms. The study finds that firms that restructured successfully on the JSE have more intangible assets, less bank debt and few creditors. This finding means that South African corporate restructuring activities relies more on assets characteristics rather than financial characteristics.

Bibliography: leaves 68-71. / This study covers the period from 1990 to 1997 and investigates the relationship between the volume and value of index futures trading for the three main share indices and the volatility of the underlying assets on the JSE. The results of the regression tests indicate significant positive relationships between futures trading activity and the volatility of the underlying assets for the All Gold Index and the Industrial Index. This suggests that increased futures trading is associated with increased volatility in the underlying assets. The relationships were not significant for the All Share Index. The results support the hypothesis that index futures trading increases the volatility of the underlying assets.

Includes abstract. / Includes bibliographical references. / This paper examines whether application of the Piotroski F Score (Piotroski, 2000), to the South African market is feasible and whether or not the distribution of returns earned by an investor can be shifted upward through use of this investment screen.

Includes bibliographical references. / Most of the evidence on the determinants of capital structure is derived from the developed countries with advanced securities markets. Very little has been written about capital structure in developing countries. Thus, as noted by Drobetz and Fix (2003), the academic literature has not been very helpful in providing clear guidance on practical issues of capital structure. This paper investigates the determinants of capital structure in South Africa, a developing country with a well-developed capital market institution, the JSE. The sample constitutes 119 industrial firms each year from 1997-2002. Using a multiple regression model, size a trangibility have a postive effect on financial leverage, with the exception of the negative impact of tangibility when financial leverage is measured grossly with all liabilities. With this exception, the results on size and tangibility support the trade-off theory of capital structure.

Thesis advisor: Rui Albuquerque / Thesis advisor: Philip Strahan / My dissertation aims to understand the economic determinants of the forbearance behavior of financial institutions and their cross section of equity returns. It contains three chapters. Chapter One shows that higher capital requirements create a regulatory arbitrage incentive for banks to forbear on loans suboptimally. I develop a dynamic bank model with a capital requirement, where a bank can roll over bad loans without reducing their face value. When the capital constraint binds, banks hold excess non-performing loans (NPLs) and reduce the credit supply. I solve the model globally with occasionally binding capital constraints and calibrate the model to the pre-crisis banking sector in both the US and Italy. The model quantitatively explains about two-thirds of the difference in NPL ratios in the two countries following a simulated recession. I provide direct causal evidence of the effects of the capital constraint channel on banks’ NPL holdings using the Euro Area crises, supporting the predictions the model generates. Chapter Two studies the information externality of banks’ forbearance behavior in a sequential game with incomplete information. Follower banks observe less liquidation in the market due to leader’s forbearance and take it as a false positive signal of the aggregate state, leading to more forbearance and zombie firms. This chapter shows that the size of the externality decreases with the prior belief of the aggregate state of the economy being good. In other words, my model predicts a higher probability of bank herding in suboptimal forbearance during bad times. Chapter Three constructs a dynamic disaster model with implicit government guarantee to explain the hump shape relation between bank size and stock returns. The model shows two opposing effects on the bank expected returns. Lower cost of debt induces more risk shifting behavior of larger banks while the safety net effect provides insurance to equity investors during market downturns. A size threshold increasing with disaster probability determines which effect dominates, thus contributing to the hump shape relation. / Thesis (PhD) — Boston College, 2022. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

Includes abstract. Includes bibliographical references (leaves 223-230).

Includes bibliographical references (leaves 91-99). / This research study investigates whether the relationship between accounting earnings and share returns observed predominantly in New York Stock Exchange (“NYSE”) studies also holds on the modern-day JSE Securities Exchange (“JSE”). Since the JSE is a relatively small stock exchange in comparison to the NYSE, with substantially different characteristics, the nature of the relationship may differ between the two exchanges. The study finds empirical evidence that this relationship between earnings and share returns is the same. As on the NYSE, accounting earnings disclosures in South Africa are found to have significant information content. Evidence is obtained which shows that accounting earnings do capture a significant portion of the information reflected in share returns, although they are not a timely source of information.

This study analyses the relationship between the Dollar/Rand exchange rate and the interest yields rates in South Africa. It makes use of data available from 1998 through to 2010. Using statistical analysis of regression analysis and co integration, the study found that a positive correlation exists between the dollar/rand exchange rate and interest rate yields.

Includes bibliographical references. / This paper investigates the use of copulae for non parametric pricing of multivariate contingent claims. Price estimates and no-arbitrage bounds for various types of two-colour rainbow options on the South African equity and bond markets were calculated. Implied marginal risk-neutral distributions were derived nonparametrically from each assets option price spread. This was achieved in a very simple manner by assuming that, for each of the underlying assets in question, a continuum of option prices exist. Cubic splines were used to fit this continuum to the implied volatilities of the actual options available. Two nonparametric copulae were considered: an empirical copula based directly upon the data and a kernel copula derived from a smooth two-dimensional kernel approximation of the historic density function. In addition, various parametric copulae were considered for comparison purposes. The differences between each of these approaches was found to vary from one type of rainbow to another.

The purpose of this study is to investigate the performance of the value investing strategy commonly referred to as the "Magic Formula", which was first introduced by Greenblatt (2006) and uses the return on capital and earning yield ratios as the basis for stock selection, in the South African market. The study will build on the work previously performed by Howard (2015) by challenging the "Magic Formula" portfolio composition assumptions. In doing so, optimal combinations of holding period and portfolio size which: maximise the geometric mean return, minimise the volatility of returns and maximise the risk adjusted return, shall be determined. The scope of this study includes all companies, excluding financial services entities, listed on the Johannesburg Stock Exchange, which exceed a market capitalisation of R 100 million, for the period 1 October 2005 to 30 September 2015. The results showed that by adjusting certain portfolio parameters the overall performance of the "Magic Formula" on both a geometric mean and risk adjusted basis can be increased. However, the "Magic Formula" still provides an insufficient amount of evidence to conclude, on a statistically significant basis, an outperformance of the investment strategy relative to the Johannesburg Stock Exchange All Share Index. Accordingly, the study makes several contributions to the literature. Firstly, it provides direct evidence of the relationship between value investing portfolio composition and the returns generated, indicating that excess returns can be achieved when the portfolio composition is adjusted. Secondly, albeit not on a