M.Com. (Financial Management) / Researchers are not satisfied with models that explain share price variations based on net present value analysis. To overcome the traditional problems of net present value analysis, intrinsic bubbles and the dividend price ratio were investigated to explain share price volatility. An index derived from dividend paying shares listed on the Johannesburg Securities Exchange Limited (JSE Ltd) for the period January 2000 to December 2010 was investigated. This investigation was based on Froot and Obstfeld’s (1991) Intrinsic Bubbles model. The null hypothesis of no intrinsic bubbles was not rejected. The findings infer that share prices were not only driven by fundamentals, implying the presence of intrinsic bubbles. This is consistent with the findings of Brooks, Nneji and Ward (2011) after applying the same methodology on the US housing market. The researcher’s aim was to provide a better clarification on whether changes in fundamentals are suitable to predict share prices, but results were inconclusive in this regard. The results indicate that fundamentals account for 80.1% of share price movements.

M.Com. (Financial Management) / Electronic trading systems are increasingly implemented by stock exchanges instead of maintaining the traditional floor trading system. This study uses the Historical case study method to examine original minute book volumes from the archives of the Johannesburg Stock Exchange (JSE). The purpose of the study is to identify and examine the antecedents and consequences of the shift to an electronic trading system in the case of the JSE from 1989 to 2000. The study also produces an accurate historical account of the process that the JSE underwent to implement an electronic trading system, for use in further studies concerning the shift from floor to electronic trading. The main antecedents identified in the study were the JSE’s need to automate menial tasks; the need for increased trading capacity; the need for proper information dissemination; the need to dematerialise physical share certificates; international trends with regard to electronic trading; the T + 3 clearing and settlement standard; the establishment of South Africa’s National Payment System; legislative changes to the Securities Exchange Control Act; the need for market liquidity; and the need for investor protection. The main consequences of the abolishment of the floor trading system in favour of the electronic trading system were examined and grouped in four categories, namely the consequences for society, the consequences for the operation of the stock market, the consequences for the liquidity of the market, and the consequences for investor protection. The results of this study could be used as a foundation for a follow-up study to measure the effects of electronic trading implementation on the liquidity and efficiency of a stock market.

M. Tech. Business Administration / Working capital management is an extremely important area of financial management as current assets normally represent more than half of the total assets of a business. Literature has shown that efficient management of working capital will lead to more profitability and creating more market value. This study sought to ascertain the impact of the working capital management on firm profitability in the retail sector of the South African Johannesburg Stock Exchange listed companies.

M.Com. (Financial Management) / In 1995, the South African government needed to address the widening poverty gap. The manner in which they would do so was through the process of financial market liberalisation of the JSE. The intention behind the process of financial liberalisation on the JSE was to increase the liquidity of the JSE. The significance of this study is that it would provide regulators of financial markets, policy makers and academics information on the effectiveness of the liberalisation of the JSE on dual listed companies’ ability to grow in a sustainable manner. Previous literature has found the risk sharing benefit associated with financial market liberalisation. With the increased number of participants in market would increase the chance of successful trades. Previous studies have found that there is a positive correlation with financial market liberalisation and market liquidity. Exchange controls have been put in place to prevent capital flight in sudden economic down turns. Certain studies have found that financial market liberalisation on has had minimal impact on the market capitalisation This study investigates the effects the financial liberalisation on the JSE had on dual listed companies’ sustainable growth rates. A purposive sampling technique was used in this study and a sample of 28 dual listed companies was selected. The approach to this study was an explanatory approach and the research paradigm was archival. The statistical tools which were utilised in the study were broken into two components, namely, the descriptive statistics and the inferential statistics. The data that were used in the study were secondary data collected from I-Net Bridge. The results of this study indicated that the financial liberalisation of the JSE did have an impact on the sustainable growth rates of dual listed companies on the JSE. Recommendations were made in this study for the dual listed companies to improve their net profit margins. The methods in which the dual listed companies are able to improve their net profit margins are by finding competitive sustainable advantages. It was further recommended that the Income Tax Act No. 58 of 1962 needs to be amended to create a conducive economic environment for the dual listed companies to grow sustainably. It was further recommended that the dual listed companies on the JSE invest in human capital in order to improve their sustainable growth rate.

M.Com. (Business Management) / The capital structure of a company depends on the degree of debt used. Companies use debt to trade of tax shields and financial distress costs. At the margin where these equate, the optimal capital structure is reached. This optimal capital structure has been determined for each size of market capitalisation on the Johannesburg Securities Exchange. The capital structure theories of the static trade-off theory, pecking order and signalling model theory are highlighted in relation to company determinants such as size, asset structure, profitability and growth opportunities. A sample of 35 companies was used for each market capitalization for the period 2003 to 2009. The researcher uses a bar graph to display the average price to book value (P/BV) in sequential intervals for each degree of leverage in order to determine the optimal capital structure. The research shows that the optimum leverage for small market capitalisations was reached with a DIE ratio of 0.75-1 and for medium and large market capitalisations between 1.01-1.25.

The portfolio selection problem has been widely understood and practised for millennia, but it was rst formalised by Markowitz (1952) with the proposition of a risk-reward trade-o model. Since then, portfolio selection models have continued to evolve. The general consensus is that three objectives, to maximise the uncertain Rate Of Return (ROR), to maximise liquidity and to minimise risk, should be considered. It was found that there are opportunities for improvement within the existing portfolio selection models. This can be attributed to three gaps within the existing models. Generally, existing portfolio selection models are generic, especially in how they incorporate risk, they generally do not incorporate Socially Responsible Investing (SRI), and generally they are considered to be unvalidated. This dissertation set out to address these gaps and compare the real-world performance of generic and individualised portfolio selection models. A new method of accounting for risk was developed that consolidates the portfolio's market risk with the investor's nancial risk tolerance. Two portfolio selection models that incorporate individualised risk and SRI objectives were developed. These two models were called the risk-adjusted and social models, respectively. These individualised models were compared to an existing generic Markowitz model. These models were formulated using stochastic goal programming. A sample of 208 companies JSE Limited companies was selected and two independent datasets were extracted for these companies, a training (2010/01/01 { 2016/12/31) and testing (2017/01/01 { 2019/12/31) dataset. The models solved were in LINGO using the training dataset and tested on an unknown future by using the testing dataset. It was found that in the training period, the individualised risk-adjusted model outperformed the generic Markowitz model and the individualised social model. Furthermore, it was found that it would not be bene cial for an investor to be Socially Responsible (SR). Nevertheless, investors invest to achieve their ROR and SRI goals in the future, not in the present. Thus, it was necessary to evaluate how the portfolios selected by all three models would have performed in an unknown future. In the testing period, both the generic Markowitz model and the risk-adjusted models had dismal performance and were signi cantly outperformed by the South African market and unit trusts. Thus, these models are not useful or suitable for their intended purpose. On the contrary, the social model portfolios achieved high ROR values, were SR, and outperformed the market and the unit trusts. Thus, this model was useful and suitable for its intended purpose. The individualised social model signi cantly outperformed the other two models. Thus, it was concluded that an individualised approach that incorporates SRI outperforms a generic portfolio selection approach. Given its unparalleled performance and novel model formulation, the social model makes a contribution to the eld of portfolio selection. This dissertation also highlighted the importance of testing portfolio selection models on an unknown future and demonstrated the potentially horri c consequences of neglecting this analysis. / Dissertation (MEng (Industrial Engineering))--University of Pretoria 2021. / Industrial and Systems Engineering / MEng (Industrial Engineering) / Unrestricted