In partial fulfillment of the Degree: Master of Commerce (Accountancy), University of the Witwatersrand, October 2017 / This research examines through the use of survey data which key factors around a companies‟ industry positioning, strategic decisions and internal qualitative capabilities, are considered by financial analysts when preparing their financial forecasts. The research covered buy-side and sell-side analysts in South Africa. The results were however found to be non-conclusive and did not align to previous research on this matter. Comparisons between analysts covering the same company were performed with consistencies found on average across all variables. It is interesting to note that when a detailed analysis and comparison was performed by individual variable for analysts covering the same company, different views on some of the variables were identified between buy-side and sell-side analysts, therefore supporting the research obtained during the literature review. It was found based on the tests performed that the factors which have an impact on forecasted financials relate to superior product/service strategy, innovation and ability to execute strategy. These variables were however noted not to be consistent across all the financial forecast factors and are contradictory to the research highlighted in the literature review as well as the outcomes of the original study, ie. There are additional factors which are considered important. Further research is recommended on analyst behaviour in South Africa. / GR2018

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016. / The biotech sector is highly specialized, with long development time lines, high risk and high investment financing requirement, however with high returns. At a global scale, the USA and Europe are the most important markets, accounting for half of the global biotech patents. In 2012, the USA held 46.6% of the global sales in this sector with the European Union at 28.5%, Japan at 8.4% and BRICS at 3.4%. Much of the growth (29.3%) is however, expected in emerging markets. The South African government has invested an amount of approximately R1 billion in the period from 2003 to 2011 in the Biotechnology start-ups. It is not clear whether a return on this investment has been realized. Thus, the aim of this work is to investigate what is the investment performance of the South African Biotechnology industry, what funding models have been used and suggest models that would be appropriate for Biotechnology start-ups to result in an improved investment performance. The methods applied included reviewing various published journal articles, industry reports and lastly having structured expert interviews with major funders in the South African Biotechnology industry that is, the IDC, TIA, the dti and DST. The findings indicate that when compared to the development markets, the composition of the SA biotechnology sector lags behind in terms of the number of companies that are in existence, publically listed companies, revenue generated by companies in this sector and number of jobs created. It is evident that although government funding and percentage national GDP spend on R&D in this sector is on par with that of India and Brazil, the lack of private sector funding is much more pronounced in South Africa. In addition, the market size, industry revenues and profits generated in SA are much less than those of its emerging market counterparts. Furthermore, in addition to the financing environment that is not broad enough, there are critical structural elements such as the involvement of universities, alliances with large corporates and the role of the stock market in raising capital that need to be addressed. It is thus, suggested that the South African government reviews its current funding models in an effort to realize a return on its investments. Two models are proposed in this work. Firstly, government-private sector matching funds linked to an incubator and secondly, increasing the pool of funds by accessing patient capital and structuring it as VC –type fund. These models have been very successful in yielding returns in other markets and improving the impact of the sector. / DH2016

A research report submitted in partial fulfilment of the requirements for the degree M.Com. Masters (Finance) in the School of Economic and Business Sciences at the University of the Witwatersrand, Johannesburg / This study empirically investigates the existence of the Samuelson Hypothesis in South African markets. The Samuelson Hypothesis states that the volatility of futures contracts increase as the expiration of the contracts approaches. It is an important phenomenon to account for when setting margins, creating hedging strategies and valuing options on futures. The study utilizes daily closing prices of agricultural and non-agricultural futures contracts for a period varying from 2002 to 2015. In total, eleven contracts were examined over this period, yet only one (White Maize) consistently shows support for the Samuelson Hypothesis. The Negative Covariance and State Variable Hypothesis were tested, but could not provide an alternative explanation for the lack of relationship between the time to maturity and volatility of futures contracts. / MT2017

A thesis submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in fulfilment of the requirements for the degree of Doctor of Philosophy (Ph.D), September 2016 / This study considers momentum in share prices, per Jegadeesh and Titman (1993, 2001), on the cross-section of shares listed on the JSE. The key research objective is to define whether momentum is significant, independent and priced. ‘Significant’ implies that momentum produces significantly positive nominal and risk-adjusted profits, ‘independent’ means that momentum is independent of other non-momentum stylistic factor premiums and finally, ‘priced’ suggests that momentum is a priced factor on the JSE and thereby contributes to the cross-sectional variation in share returns. In order to determine the significance of the momentum premium on the JSE, univariate momentum sorts are conducted that consider variation in portfolio estimation and holding periods, weighting methodologies as well as liquidity constraints, price impact and microstructure effects. The results of the univariate sorts clearly indicate that momentum on the JSE is both significant and profitable assuming estimation and holding periods between three and twelve months. Furthermore, consistent with international and local literature, momentum profits reverse assuming holding periods in excess of 24 months. In order to determine whether momentum is independent, bivariate sorts and time-series attribution regressions are conducted using momentum and six non-momentum factors, namely: Size, Value, Liquidity, Market Beta, Idiosyncratic Risk and Currency Risk. The results of the bivariate sorts and time-series attribution regressions clearly indicate that momentum on the JSE is largely independent of the nonmomentum stylistic factors considered. Lastly, cross-sectional panel regressions are conducted where momentum is applied, in conjunction with the considered non-momentum factors, as an independent variable in order assess the relationship between the factors and expected returns on a share-by-share basis. The results of the panel data cross-sectional regressions clearly indicate that momentum produces a consistently significant and independent premium, conclusively proving that momentum is a priced factor that contributes to the cross-sectional variation in share returns listed on the JSE. / XL2018

A research report presented in partial fulfillment (50%) of the requirements for the degree of Master of Commerce in Business Economics (Finance) in the School of Economic and Business Sciences at the University of the Witwatersrand, Johannesburg September 2017 / Utilising the seminal work of Sloan (1996) this study investigates the accrual anomaly in South Africa. Utilising all firms listed on the All Share Index (ALSI) for the period 2002 to 2016, this study employs various tests surrounding the accrual anomaly. A regression analysis highlights a low persistence of earnings and the popular Mishkin (1983) test fails to prove a sufficient market reaction following changes in earnings. Accruals could pre-empt dramatic changes in future earnings but the observed stock price adjustment was only implicit in firms that suffered a drop in earnings. Additionally, the presence of post-earnings announcement drift (PEAD) meant the market reaction following an earning’s announcement was gradually reflected in the stock price. The accrual anomaly relies on an overreaction following an earning’s surprise in the month that financials are released. All the previously mentioned meant that a simple fundamental-based (cash flow) investment strategy far outperformed a strategy based on earnings’ fixation (accruals). This study failed to find conclusive evidence of the accrual anomaly on the JSE. / MT 2018

This dissertation is based on the hypothesis that a third dimension, namely investment time horizon, can add value to the more conventional two-dimensional methodology of assessing the relative risk and return attributes of various assets and portfolios in order to enhance investment decisions. This study shows that time horizons should be considered in the investment decision making process and provides concrete evidence that a methodology that is not cognizant of investment time horizon is prone to extensive long-term opportunity cost risk. In addition to providing evidence of investment time horizon relevance, the study makes suggestions as to how time horizons could be incorporated into the risk return assessments of various asset classes and also presents a framework for the more holistic assessment of asset class properties while incorporating time horizons. / Business Management / Thesis (M. Com. (Business Management))

This dissertation is based on the hypothesis that a third dimension, namely investment time horizon, can add value to the more conventional two-dimensional methodology of assessing the relative risk and return attributes of various assets and portfolios in order to enhance investment decisions. This study shows that time horizons should be considered in the investment decision making process and provides concrete evidence that a methodology that is not cognizant of investment time horizon is prone to extensive long-term opportunity cost risk. In addition to providing evidence of investment time horizon relevance, the study makes suggestions as to how time horizons could be incorporated into the risk return assessments of various asset classes and also presents a framework for the more holistic assessment of asset class properties while incorporating time horizons. / Business Management / Thesis (M. Com. (Business Management))

Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The purpose of this report is to determine how much international diversification a South African investor should practice in order to minimise his portfolio risk and to maximise his portfolio return. The most recent budget allows the South African investor to invest up to R500 000 in overseas investments. The analysis was performed over the period December 1993 to May 2000 for an investor investing in Investec Guinness Flight unit trusts. Unit trusts were used instead of general indices, because it is a well-known investment vehicle for the layman and is already a well-diversified representation of a specific focus sector. The Markowitz Portfolio Selection Theory was used to perform the analysis and to determine the optimal internationally diversified portfolios composed of the following markets: South Africa, the United States of America, Europe, the United Kingdom, and Japan. It was found that International Diversification does hold great potential benefits for the South African investor investing from an emerging market. It was also found that the South African Equity market carries the highest risk compared against the other markets investigated, however the South African Bond and Money Market showed good risk return features compared to other markets. Optimal portfolios were generated for the 'conservative' or most risk-averse investor, the 'balanced' investor, and the 'aggressive' investor or the risk-loving investor. The portfolio combinations looked like this respectively: 4% USA Equity, 5% EU Equity, 3% SA Bond, and 88% Money Market for the conservative investor; 33% USA Equity, 25% EU Equity, 18% SA Bond, and 24% SA Money Market for the balanced investor; 51% USA Equity, 48% EU Equity and 1% SA Bond for the aggressive investor. / AFRIKAANSE OPSOMMING: Die doel van hierdie verslag is om vas te stel hoeveel internasionale diversifikasie 'n Suid-Afrikaanse investeerder moet aangaan ten einde die risiko's rondom sy portefeulje enersyds te minimaliseer en andersyds maksimum opbrengste te lewer. Die analise is oor die tydperk Desember 1993 tot Mei 2000 uitgevoer vir 'n investeerder wat in Investec Guinness Flight effektetrust sou investeer. Instede van algemene aandeleindekse, is van effektetrusts gebruik gemaak omdat dit 'n welbekende investeringsvoertuig onder Jan Publiek is en reeds 'n goedgediversifiseerde verteenwoordiging van 'n spesifieke fokussektor is. Daar is van die Markowitz Portefeulje Seleksie Teorie gebruik gemaak vir die analise en dáárdeur is ook vasgestel wat die optimaal-internationaal gediversifiseerde portefeulje uit die volgende market sou wees: Suid-Afrika, Die Verenigde State van Amerika, Europa, Brittanje en Japan. Daar is gevind dat, Internationale Diversifikasie potentiëel-goeie opbrengste vir die Suid-Afrikaanse investeerder in 'n opkomende mark lewer. Daar is ook gevind dat die Suid-Afrikaanse Algemene Ekwiteitmark die hoogste risiko dra vergeleke met ander markte tydens die ondersoek periode, alhoewel die Suid-Afrikaanse Kapitaalmark en Geldmark goeie lae risiko opbrengste oplewer teenoor ander markte. Optimale portefeuljes is gegenereer vir die konserwatiewe of mees risiko-gekante investeerder, die gebalanseerde investeerder en die aggressiewe investeerder. Die portefeuljekombinasies is onderskeidelik as volg:. 4% VSA Ekwiteit, 5% Europese Unie Ekwiteit, 3% SA Kapitaalmark, en 88% SA Geldmark vir die konserwatiewe investeerder; 33% VSA Ekwiteit, 25% Europese Unie Ekwiteit, 18% SA Kapitaalmark, en 24% SA Geldmark vir die gebalanseerde investeerder; 51% VSA Ekwiteit, 48% Europese Unie Ekwiteit en 1% SA Kapitaalmark vir die aggressiewe investeerder.

A thesis presented to the School of Economic and Business Sciences, Faculty of Commerce, Law and Management, University of Witwatersrand in fulfilment of the requirements for the degree of Master of Commerce (M.Com) in Business Finance, January 2017 / Diversification has remained a central tenet in investment theory over multiple decades due to its demonstrated value as a risk mitigation technique. Increasing the number assets in a portfolio, where the magnitude of correlation is relatively slim, increases the amount of diversification while also encountering increased costs in the form of transaction costs, taxes and the like. Thus, it is imperative to solve for the optimal point of diversification to ensure an investor does not encounter unnecessary costs. This study aims to solve for the point of optimal diversification in an equity portfolio, focusing on the South African environment. This is achieved by employing a framework using both the traditional simulation method as well as more advanced mathematical techniques, namely: genetic programming and particle swarm optimisation. Marked improvements are realised in this study with regards to the methodology and results through the application of advanced mathematical approaches in addition to removing the restriction of equal weightings being applied to each share in the portfolio. The results revealed that an optimal portfolio can be constructed using up to only 15 shares. Secondly, the genetic programming approach demonstrated increased strength compared to the traditional simulation and particle swarm optimisation approaches, obtaining a greater level of diversification with fewer shares. Finally, although the aim of the study is focused on modelling the relationship between the number of shares in a portfolio and the achievable diversification benefits, it is also established that the portfolios indicated as being optimally diversified achieved market beating returns. / XL2018

A research report submitted to the Faculty of Engineering and the Built Environment, University of the Witwatersrand, in fulfilment of the requirements for the degree of Master of Science in Building (Property Development and Management), Johannesburg, 2017 / In 2013 new legislation was introduced allowing for the creation of a new listed property entity called a Real Estate Investment Trusts (REIT). Previously the listed property sector was dominated by two main types of property which were Property Unit Trusts (PUT) and Property Loan Stock Companies (PLS). The introduction of the REIT entity allowed existing listed property companies to convert to REIT status and for new companies to list on the Johannesburg Stock Exchange as REITs. The purpose of this study is to evaluate the impact of REIT implementation and the conversion of PLS and PUT to REIT status on shareholder wealth in South Africa. The study evaluates the change in shareholder wealth through the use of abnormal return calculations during events that led up to the implementation of REITs and conversion to REIT status. The findings show that implementation and conversion to REITs did not result in significant industry gains in shareholder wealth. The events leading to the implementation of REITs however showed positive abnormal returns out lining positive sentiments in the market. For the companies that converted to REIT status their shareholder wealth had negative performance returns. Immediate gains in shareholder wealth are not present. This indicating that the use of REITs as an investment will have to be monitored in the long term. / XL2018