Thesis (PhD)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: Analysts are valuation specialists who advise both institutional clients and non-professional investors on the choice and timing of security purchases and sales. The analysts’ advice may have hugely beneficial or unfavourable outcomes for those who rely on them. This study investigated the possible influence of 901 local and international analysts’ recommendations that were issued from 1993 to 2011 on shares listed on the Johannesburg Stock Exchange (JSE). The short-term impact of recommendations on prices and possible behavioural tendencies among analysts, including a reported inclination to issue overly-positive recommendations, were respectively investigated in the first two empirical chapters. Thirdly, the success rate of analysts to issue recommendations with an advised directional impact and possible herding behaviour among analysts were researched. The empirical chapters conclude with an investigation into changes in investor attention (as proxied by traded volumes) and price volatility around analysts’ recommendations. The efficient market hypothesis and the ‘differences of opinion’ theories were used as fundamental points of departure and interpretation. More than 37 000 recommendations, ranging from strong buy to strong sell, were used in an event-study methodology to analyse the market’s reaction to these recommendations. Advanced modelling techniques were implemented in Excel and VBA to analyse daily consensus opinions, positive- versus negative sentiment, analyst activity and reactions, the frequency of abnormal price reactions, abnormal price movements, abnormal traded volumes, and changes in price volatility surrounding recommendation revisions. The study found that analyst recommendations were followed by an abnormal reaction in prices and that the magnitude of a recommendation’s change (e.g. a three-step change from strong sell to buy versus a one-step change hold to buy) had a greater impact than a recommendation’s absolute level. A portfolio strategy revealed the possible benefit of recommendations for investors. Analysts issued their opinions using different patterns within the five possible recommendation categories, and issued the same proportion of negative recommendations during periods of low business confidence and economic contraction than during growth- and economic upswing phases. Analysts who issued more recommendations in total were not more influential than less active analysts, and not all analysts were able to issue recommendations with a large advised directional abnormal impact. As expected, recommendations that had a large abnormal price impact generated some herding activity among the other analysts who covered the same share. Investor attention increased around the issuance of recommendation revisions, and price volatility increased after large recommendation upgrades. In support of market efficiency, investors seemed able to trade at new price levels and execute their trades with sufficient liquidity following recommendations. Results that infer differences of opinion were present both among analysts and investors: competing analysts did not issue the same recommendations for the same shares and favoured different recommendations categories; and investors only acted on some of the recommendations. Furthermore, analysts did not have the same propensity to cause abnormal price reactions. Traded volumes increased around recommendation revisions, showing that investors paid attention to recommendations. / AFRIKAANSE OPSOMMING: Analiste spesialiseer in die waardasie van maatskappye en adviseer beide institusionele- en nie-professionele beleggers rakende die keuse en tydsberekening van hul kope en verkope. Díé advies kan baie voordelige of nadelige gevolge hê vir diegene wat daarop staatmaak. Hierdie studie het die moontlike invloed ondersoek van 901 Suid-Afrikaanse en internasionale analiste se aanbevelings rakende JSE-genoteerde aandele tussen 1993 en 2011. Die eerste twee empiriese hoofstukke ondersoek (i) die korttermyn impak van analiste se aanbevelings op pryse en (ii) moontlike gedragspatrone onder analiste, insluitend ‘n gerapporteerde neiging om oor-positiewe aanbevelings uit te reik. Derdens is analiste se sukseskoers om aanbevelings met ‘n verwagte impak uit te reik en moontlike ‘trop’-gedrag onder analiste nagevors. Die empiriese hoofstukke sluit af met ‘n ontleding van veranderinge in beleggers se aandag (soos aangedui deur verhandelde volumes) en prysvolatiliteit rondom analiste se aanbevelings. Die effektiewe markhipotese en die ‘verskil in opinie’ teorie was gebruik as fundamentele grondslag en om resultate te interpreteer. ‘n Gebeurtenis-studie metodologie is gebruik om die mark se reaksie op meer as 37 000 aanbevelings, wat van sterk koop tot sterk verkoop strek, te analiseer. Gevorderde modelleringstegnieke is in Excel en VBA geïmplementeer om konsensus opinies, positiewe- vs. negatiewe sentimentsperiodes, analiste se aktiwiteitsvlakke en reaksies, abnormale prysreaksies en die voorkoms daarvan, abnormale verhandelde volumes, en veranderinge in prysvolatiliteit rondom aanbevelings hersienings te bereken en te analiseer. Die studie het bevind dat analiste se aanbevelings wel gevolg is deur abnormale prysbewegings, en dat die grootte van aanbevelings se hersienings (bv. ‘n drie-stap hersiening van sterk verkoop na koop versus ‘n een-stap hersiening van hou na koop) ‘n groter impak as die aanbeveling se absolute vlak gehad het. ‘n Portefeulje strategie het ook die moontlike voordeel van aanbevelings vir beleggers uitgelig. Analiste het verskillende patrone binne die vyf-punt aanbevelingskategorieë gebruik om hul opinies te kommunikeer, en het dieselfde proporsie negatiewe aanbevelings tydens periodes van swak besigheidsvertroue en ekonomiese afswaai uitgereik as tydens periodes van groei en ekonomiese opswaai. Analiste wat meer aanbevelings in totaal uitgereik het, was nie meer invloedryk as ander analiste nie, en nie alle analiste het aanbevelings wat ‘n groot abnormale prysreaksie veroorsaak het, uitgereik nie. Soos verwag het aanbevelings, wat groot abnormale prysbewegings veroorsaak het (invloedryke aanbevelings), ‘trop’-gedrag veroorsaak onder kompeterende analiste. Beleggers se aandag het toegeneem met die uitreik van hersienings, en prysvolatitliteit het toegeneem ná groot aanbeveling-opgraderings. Beleggers kon teen nuwe prysvlakke verhandel en hul besluite uitvoer met genoeg likiditeit nadat aanbevelings uitgereik is, wat indikatief van mark-effektiwiteit is. Resultate dui ook op verskillende opinies tussen beleggers en analiste: analiste het verskillende aanbevelings vir dieselfde aandele uitgereik en het verskillende aanbevelings-kategorieë verkies, en beleggers het nie op alle analiste se aanbevelings gereageer nie soos aangedui deur pryse en volumes. Analiste het verder nie dieselfde geneigdheid gehad om abnormale prysveranderinge te veroorsaak nie. Verhandelde volumes het toegeneem rondom aanbevelingshersienings, wat aandui dat beleggers wel aandag aan die analiste se aanbevelings gegee het.

published_or_final_version / Business Administration / Master / Master of Business Administration

No description available.

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016. / Foreign investment, both in the form of direct, long-term and portfolio flows, is necessary for the development of countries. Fund managers are regulated to allocate funds from their portfolios to countries that are in Emerging Market Indices, following the guide laid out by MSCI and Standard & Poor Dow Jones Indices. Accordingly, countries that graduate into these indexes are defined as ‘investable’. This study examined the underlying factors that both foreign direct and portfolio investors consider when making investments. The factors were then regressed against the countries that had graduated into the emerging market indices to determine which characteristics are necessary for qualification into the index. The sample size included 22 countries common to MSCI and S&P Dow Jones Emerging Market Indices and 28 countries that were economically similar but did not qualify for entry into the index. The study revealed that inflation has negatively correlated with the odds of a country’s graduation into the index. Additionally, of the different types of infrastructure considered, human capital had the largest marginal impact on a country’s investability, while taxation laws and foreign exchange were found to be statistically insignificant. Political stability was found to be negatively correlated with the country’s odds of graduation. Lastly, foreign investors preferred investing in countries with higher sovereign credit rankings and placed high emphasis on the size of financial markets. Policy makers of countries that intend to graduate into the emerging market indices should therefore place emphasis on macroeconomic stability of their economies. They should aim to develop resources, through development of human capital. Finally, they should aim to improve and maintain their credit ratings over time. / DH2016

Submitted in accordance with the requirement for the degree of Doctor of Philosophy In Business Administration At the University of the Witwatersrand Johannesburg / Generating sufficient domestic revenues to finance economic growth has been a critical hurdle for many African countries and, for decades, foreign capital has complemented domestically generated resources to finance growth. However, global financial crises over the past few decades tend to curtail, if not dry up the flow of capital to African governments. The unreliability of foreign capital with its attendant strings and sudden stops in the event of economic and political crisis has spurred the need for alternative sources of financing development. Despite the realisation that bond markets provide a viable source of funds for the African continent, the literature on the importance of bond market development and its interaction with other sources of funding remains underexplored. Moreover, the sparse empirical literature about bond market development in Africa is vague and largely overlooked. At the same time, knowledge of African bond markets is vital for channelling funds not only to efficient agents in particular, but also for fostering transparency and the flow of information within the continent’s capital markets. This thesis endeavours to address the vacuum apparent in extant literature and proposes a theoretical framework through a thorough assessment of the determinants of bond market development in African emerging market economies. The thesis examines four critical pillars of bond market development: (a) the environment for the creation of bond markets; (b) the relative performance and characteristics of bond markets across and within developing and developed economies; (c) the modelling of bond markets and (c) the institutional factors that underpin the efficient functioning of bond markets. Using macroeconomic, social, institutional and historical data on local currency bond markets from 26 African economies and 49 listed firms, this thesis extends previous studies on bond market determinants through tighter robustness measures by accounting for downside risk in a generalized methods of moments (GMM) and a feasible generalized least squares estimator (FGLSE) framework. Further, differential analysis of government and corporate bond markets are carried out, given their different investment horizons and issuance. The results suggest that from a macroeconomic perspective, inflation, central government debt, GDP, external debt, GDP per capita and fiscal balance are important drivers of local currency bond market development in African economies. Moreover, political unrest, governance, religion, former colonial ties and culture are institutional factors that exert statistically significant effects on local currency bond market performance in Africa. From a demand viewpoint, the study finds that firm level factors that influence bond market performance are firm risk, size, profitability and age. The results from this study are of importance to capital market participants, investors, regulators and policy makers who seek to address the perennial constraints to development occasioned by lack of capital. A number of policy measures for boosting bond market performance such as stable macroeconomic environments, reform of capital market rules and cross listing are discussed in the final chapter. JEL CLASSIFICATION: International Economics; Financial Economics; Economic Development; Innovation; Technological Change; and Growth. KEYWORDS: Africa; Emerging economy; Bond market; Institutions; Local Currency Bond Market; Performance; Development. / GR2018

In this dissertation the theory of solvency assessment for long-term insurers is reviewed and how it evolved. Key international bodies and standards are identified and selected jurisdictions’ solvency frameworks are reviewed. The South African framework required by legislation introduced in 1998 is compared to these standards. Solvency capital requirements, valuation methods and risk management standards are the key areas considered. The financial results of a model office according to the South African requirements are compared to the financial results modelled stochastically according to the identified international standards. It is shown that the South African framework does not meet international standards. The key problem areas are the prescribed nature of the solvency capital requirement, the onerous treatment of policy cancellations and the treatment of new business. The role of actuaries in solvency assessment is also investigated. South Africa’s statutory-actuary role is compared with similar international roles. It is concluded that although similar international roles, notably the appointed actuary of the UK, have evolved the role of the statutory actuary has remained the same.

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

Essay I: Governance surrounding dividend initiation. According to the free cash flow hypothesis, managers prefer to invest surplus cash, even in value reducing projects, rather than release it to shareholders. Yet, previous studies of dividend payout conclude that managers pay more in dividends when they are entrenched, supporting the substitute model... The results indicate that initiating firms have stronger shareholder rights, in contrast with much of the prior research on continuous divident payout. Firms with lower entrenchment index are more likely to initiate dividends... Essay II: Earnings management surrounding dividend initiation. Prior research tests earnings management surrounding changes in dividend payout and researchers conclude that the earnings management is a means of amplifying the dividend signal to the market. However, dividend initiation is a unique event. If initiation represents signaling, similar to a dividend increase, then management will manage earnings upward. If, on the other hand, divident initiation is better explained by the free cash flow hypothesis, then initiation may be entered into with caution or reluctance by management. / by Deborah Drummond Smith. / Thesis (Ph.D.)--Florida Atlantic University, 2012. / Includes bibliography. / Mode of access: World Wide Web. / System requirements: Adobe Reader.

Existing literature reports a puzzle about the forward foreign exchange rate premium over the spot foreign exchange rate. The premium is often negatively correlated with subsequent changes in the spot rate, which is considered to defy economic intuition and possibly violate market efficiency. Rational explanations include non-stationary risk premia and econometric misspecifications, and the puzzle as a guide to profitable trading. Actually, the puzzle consists of three aspects of anomalies: volatility, persistence, and unbiasedness. The puzzle has not yet solved fully thus far. / In the latter part of the thesis, we try to explore the behavioral aspects of the investors in the foreign currency markets (spot and forward markets). We discuss asset prices in an economy where investors derive direct utility from their consumption and adjust their utility based on the concept of habit formation and "catching up with Joneses", therefore explaining thus far the formidable unbiasedness anomaly to a certain extent. Simulation results exhibit properties similar to what has been observed in historical data. / This thesis suggests firstly that there may be no real puzzle. A simple model fits the data. Starting from examining the relations between the excess return of speculation in foreign currency forward markets and the change rates of the return rate on equity (stock) portfolio and the change rate of futures price on stock index as well as foreign currencies where the stock markets and futures market are active, publicly traded, and highly transparent markets, the source of the risk premia in the future change in spot rate has been analyzed in detail. We believe that the panel data analysis is in place for the puzzle based on its nature. In this thesis we find that the future change in spot foreign exchange rate correlate with both forward premium and especially the change rate in stock index or the change rate of futures settlement price on the stock index or on the currencies, which implies that the investors compare and employ the profitable opportunities across financial markets not just act in only one market such as just foreign exchange forward market, thus maximizing the utility or efficiency of their funds. In addition, the change rate of futures price has rather impacts on the excess return of speculation in forward currency markets, thus establishing the relation between OTC markets and publicly traded markets of foreign exchange. / Tan Yue. / "January 2007." / Adviser: Jia He. / Source: Dissertation Abstracts International, Volume: 68-09, Section: A, page: 4006. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract in English and Chinese. / School code: 1307.

Shik Chun Sing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references. / Abstracts in English and Chinese. / Abstract --- p.2 / Acknowledgements --- p.4 / Chapter Chapter 1 --- Introduction --- p.6 / Chapter Chapter 2 --- Literature review --- p.11 / Chapter Chapter 3 --- Data and methodology --- p.15 / Chapter Chapter 4 --- Results of national currencies with the U.S. dollar --- p.25 / Chapter Chapter 5 --- Results of cross-rates --- p.39 / Chapter Chapter 6 --- Discussion and conclusion --- p.52 / Appendix --- p.54 / References --- p.106