Assignment (MAcc )--University of Stellenbosch, 2002. / ENGLISH ABSTRACT: The price-earnings ratio is one of a series of benchmarks developed after the Great Depression, to measure the fair value of shares on a relative basis. It originated from the idea that investors buy the earnings of a company and that the price-earnings ratio provides a consensus indication of the future growth potential of a company. Therefore, the price-earnings ratio is a rating of a company's future profitability. The price-earnings ratio developed, over the years, firstly, into an indicator of the relative risk associated with a company as the market anomalies associated with the ratio were investigated and clarified, and the theoretical background of the ratio integrated with the portfolio theory. It is now clear that the price-earnings ratio can be a useful indicator of the risk associated with an investment and the uncertainty associated with the duration of the growth phase of a company. Secondly, the price-earnings ratio is also a growth and valuation model with a theoretical background that can be linked to popular dividend discount models and the growth opportunities approach to investment valuation. With the use of the price-earnings ratio it is easy to visualise the relative profitability and the total investment required to raise a company's rating of future profitability. This simplicity allows one the opportunity to evaluate the reasonableness and likelihood of the investment reaching its projected potential profit targets. Lastly, as a result of accounting changes and the different accounting rules in force today, the price-earnings ratio also assists in the identification and elimination of the effects of accounting on investment decisions. It is apparent that the price-earnings ratio possesses the capabilities to assist investors significantly with the analysis of investment opportunities. / AFRIKAANSE OPSOMMING: Die prys-verdienste verhouding is een van 'n reeks relatiewe maatstawwe ontwikkel na die Groot Depressie om die redelike waarde van aandele te bepaal. Dit is gebaseer op die idee dat beleggers die winste van 'n maatskappy koop en dat die prys-verdienste verhouding 'n konsensus aanduiding verskaf van die toekomstige groeipotensiaal van 'n maatskappy. As gevolg hiervan is die prys-verdienste verhouding 'n aanduiding van die relatiewe toekomstige winsgewendheid van 'n maatskappy. Die prys-verdienste verhouding het oor die jare ontwikkel, eerstens as 'n aanwyser van die relatiewe risiko verbonde aan 'n maatskappy soos abnormaliteite wat daaraan verwant is ondersoek en verklaar is, en die teorieë onderliggend aan die verhouding ontwikkel het saam met die portefeulje teorie. Dit is nou duidelik dat die prys-verdienste verhouding 'n bruikbare aanduider is van die risiko wat geassosieer word met 'n belegging en die onsekerheid wat gepaard gaan met die duur van die groeifase van 'n maatskappy. Tweedens is die prys-verdienste verhouding ook 'n waardasie- en groeimodel met 'n teoretiese agtergrond wat verband hou met die populêre dividend verdiskonteringsmodelle en die groeigeleenthede-benadering tot waardasie. Met die gebruik van die prys-verdienste verhouding is dit maklik om die relatiewe winsgewendheid en die totale belegging wat benodig word om die waarde van die relatiewe winsgewendheid van 'n maatskappy te verhoog, tevisualiseer. Hierdie eenvoud verskaf die geleentheid om die redelikheid en die waarskynlikheid van 'n belegging om sy voorsiene winsgewendheidsdoelwitte te bereik, te evalueer. Laastens, as 'n resultaat van die rekeningkundige veranderinge, en die verskillende rekeningundige reëls huidiglik van toepassing in die wêreld, help die prys-verdienste verhouding ook met die identifikasie en die eliminasie van rekeningkundige komplikasies op beleggingsbesluite. Dit is duidelik dat die prys-verdienste verhouding die vermoë het om die belegger by te staan met die ontleding van beleggingsgeleenthede.

Thesis (PhD (Business Management))--University of Stellenbosch, 2006. / ENGLISH ABSTRACT: This study investigates whether any exploitable pauems exist in a sample of ten African stock markets that could lead to abnonnal gains. Southern Africa is represented by Botswana, Namibia. Mauritius and Zimbabwe, East Africa by Kenya, West Africa by Ghana and the BRVM, and North Africa by Egypt, Morocco and Tunisia. Such evidence, if it exists, provides ground for refutation of the weak form of the efficient market hypothesis (EM H) as defined by Farna (1965. 1970). The thesis is predominantly empirical, but also provides an overview of African stock markets, the theoretical framework on which the study is based and the impact of the advancement in information technology on market efficiency. The results show that the distribution of stock returns on African stock markets is not normal, and that the deviation from normality is significantly pronounced with almost all the stocks rejecting nonnality using the Kolmogorov-Smimov test at the I % level of significance. The stock price behaviour of the abovementioned stock markets is investigated by testing the random walk hypothesis using the simple serial correlation and runs tests. The investigation is done using returns calculated on a trade-to-trade basis and adjusted for interval variability by weighting each trade-to-trade return by the number of days between trades. While the first part of this analysis only includes the markets on which dividend information could be obtained, the second part includes all the ten markets with returns referring to capital gains. However, it is shown that dividend information does not have a serious impact on the results. While the majority of stocks, especially those for Mauritius and Ghana, reject the random walk hypothesis, only Namibia, Kenya and Zimbabwe, can be said to be weak form efficient. While thin trading is known to cause econometric and statistical problems in empirical tests, thin trading has been taken as given in most studies. In this thesis, the seriousness of thin trading on African stock markets and its implications for efficiency testing is empirically investigated. A comparison of the random walk test results when returns are calculated normally and when the trade-to-trade approach and its variant, the adjusted trade-la-trade approach, are used is carried out. It is found that thin trading is indeed a severe problem on African markets and that there are some differences in the random walk results due to the different methods used to calculate returns. Investigating in-sample predictability using linear models appears to be the norm in most tests of the EMH. This thesis argues that the return-generating process may not be linear and if that is the case, the nonlinear models may outperform the linear models in out-of-sample forecasting. The random walk is considered a true description of stock price behaviour only if it is not outperformed by any of the alternative models in forecasting stock prices out-of-sample. This is empirically tested using the indices data of the African stock markets in the sample. It is found that alternative models, in most instances, outperform the random walk model in out-of-sample forecasting. The random walk results are substantiated by the results on seasonal patterns and other anomalies to the efficient market hypothesis such as the finn size and price earnings (PIE) effects. Size and PIE ratios have been identified as significant predictors of stock returns in other markets. In particular, it has been suggested that small-size firm portfolios outperform large-size finn portfolios and that low PIE firm portfolios outperform high PIE firm portfolios. The size and PIE effects found in this thesis are mostly exactly the opposite of those hypothesised in the literature. The existence of seasonal patterns contradicts the statement that stock prices behave in a random manner. This phenomenon is investigated on African stock markets using indices returns. The study benchmarks the findings with those of South Africa's Johannesburg Stock Exchange (JSE) Securities Exchange; other emerging markets, namely Brazil, Malaysia, Poland, Slovenia and Finland; and developed markets, such as the United States of America (U.S.), Australia and New Zealand. Seasonal effects are observed on some, but not all African stock markets and in most cases the patterns observed are different from those observed on stock markets elsewhere. / AFRIKAANSE OPSOMMING: Hierdie studie delf na of daar enige ontginbare patrone in 'n proefstuk van tien Afrika aandelemarkte bestaan, wat tot abnormale winste kan lei. Suider-Afrika word deur Botswana, Namibie, Mauritius en Zimbabwe verteenwoordig; Oos-Afrika deur Kenia, Wes-Afrika deur Ghana en die BRVM, en Noord-Afrika deur Egipte, Marokko en Tunisie. Indien sodanige bewyse bestaan, sou dit as grondslag dien vir weerlegging van die prestasie van die doeltreffende mark-hipotese (EMH) soos deur Fama (1965, 1970) gedefinieer. Die tesis is oorwegend empiries, maar bied ook 'n oorsig oor Afrika-aandelemarkte, die teoretiese raamwerk waarop die studie gebaseer is en die impak van die vordering in inligtingstegnologie op markdoeltreffendheid. Dit probeer vasstel of die verspreiding van winste op aandele met die van normaliteit konformeer. Die resultate toon dat die verspreiding van winste op aandele op aandelemarkte in Afrika nie normaal is nie en dat die afwyking van normaliteit aansienlik skerp is met byna al die aandelemarkte wat normaliteit verwerp wanneer die Kolmogorov-Smirnov-toets (teen die 1 %-vlak van beduidendheid) toegepas word. Die gedrag van aandelepryse van bovermelde aandelemarkte is ondersoek deur die ewekansige steekproef-hipotese te toets deur die eenvoudige reeks korrelasie en aanvraag-toetse toe te pas. Die ondersoek is gedoen deur opbrengste te gebruik wat op 'n handel-tot-handel-grondslag bereken is en vir interval wisseling aangepas is deur iedere handel-tot-handel-opbrengs teenoor die aantal dae tussen transaksies op te weeg. Terwyl die eerste deel van die ontleding net die markte insluit waarop inligting oor dividende verkry kon word, het die tweede deel al tien markte ingesluit met opbrengste wat na kapitale winste verwys. Daar word egter bewys dat inligting oor dividende nie 'n ernstige en waardige impak op die resultate het nie. Terwyl die meerderheid aandele, veral die vir Mauritius en Ghana, die ewekansige steekproef hipotese verwerp, kan daar aanvaar word dat net die in Namibie, Kenia en Zimbabwe swak-prestasie doelmatig is. Terwyl dit bekend is dat swak handel statistiese en ekonometriese probleme in empiriese toetse meebring, is swak handel as 'n gegewe in die meeste studies aangedui. In die tesis word die erns van swak handel op aandelemarkte in Afrika en die implikasies daarvan vir doeltreffende toetsing empiries ondersoek. 'n Vergelyking van die resultate vir (ewekansige steekproewe) word getref wanneer winste normaal bereken word en wanneer die handel-tot-handel-benadering en sy variant, die aangepaste handel-tot-handelsbenadering, toegepas word. Daar is bevind dat swak handel inderdaad 'n ernstige probleem op Afrika-markte is en dat daar sommige verskille in die ewekansige steekproef-resultate is as gevolg van die verskillende metodes wat ingespan word om die winste te bereken. Die gebruik van liniere modelle om ondersoek in te stel na die voorspelbaarheid van proefstukke blyk die norm in die meeste toetse van die doeltreffende mark-hipotesis te wees. Die tesis voer aan dat die wins-genererende proses nie noodwendig linier is nie, en indien dit die geval is, kan die nie-liniere modelle die liniere modelle in die proefstuk-voorspelling oortref. Die steekproef word as 'n betroubare beskrywing van die gedrag van aandelepryse beskou, maar net indien dit nie deur enige van die alternatiewe modelle in die voorspelling van aandelepryse in die proefstuk oortref word nie. Dit is empiries getoets deur die toepassing van die indeks-data van die Afrika-aandelemarkte in die proefstuk. Die ewekansige steekproef-resultate word deur die resultate van seisoenale patrone en ander afwykings van die doeltreffende mark- hipotesis gestaaf, soos die grootte van die onderneming en die invloede van prys inkomste. Grootte en prysinkomsteverhoudings is as betekenisvolle voorspellers van aandele-winste op ander markte geidentifiseer. Daar is spesifiek aangedui dat die portfolios van klein maatskappye die van groter maatskappye oortref en dat die portfolios van lae prys inkomstemaatskappye die van hoe prysinkomste oortref. Die grootte en invloede van prysinkomste wat in die tesis bepaal is, is hoofsaaklik presies die teenoorgestelde van die waaroor in die literatuur 'n hipotese oor opgestel is. Die bestaan van seisoenale patrone weerspreek die stelling dat aandelepryse hulle op 'n lukrake wyse voordoen. Die verskynsel is op Afrika-aandelemarkte ondersoek deur indeks-opbrengste te gebruik. Hierdie studie meet die bevindinge aan die hand van Suid-Afrika se Effekte Wisselkoerse op die Johannesburgse Aandelebeurs, ander opkomende markte soos Brasilie, Maleisie, Pole, Slovenie en Finland, en ontwikkelde markte soos die van die VSA, Australie en Nieu-Seeland. Seisoenale invloede word op sommige waargeneem, maar nie op alle aandelemarkte in Afrika nie - in die meeste gevalle verskil die patrone wat waargeneem is van die op aandelemarkte elders.

Thesis (PhD)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: Share repurchases were allowed in South Africa as from 1 July 1999. The concept of repurchasing shares is therefore relatively new in this country, compared to many other countries (e.g. the United States of America and the United Kingdom), where it is an established practice. Considerable research in the field already exists, providing empirical evidence on the extent of share repurchase activities and current theoretical thinking on the motivations for share repurchases and the determinants affecting the choice of payout methods. In South Africa there are indications, as this study demonstrates, that research on payout methods and payout reform has become a matter of urgency. Share repurchase activity by JSE-listed companies is not comprehensively recorded by South African financial data sources. Prior research on South African share repurchases is limited, mainly owing to the fact that a comprehensive share repurchase database is not available. This study sets out to document the extent of share repurchases by companies in selected JSE-listed sectors (for reporting periods including 1 July 1999 to the 2009 year-ends of the companies) and to test whether empirical evidence and current theoretical thinking also applied in South Africa. The results of these tests were used to develop a model to ascertain what the significant determinants were when a JSE-listed company had to decide between repurchasing shares and paying special dividends. This study found that the South African regulatory environment pertaining to share repurchases differed from the regulatory environments of other countries. The main differences related to the share repurchase announcement structure (namely the JSE Listings Requirements that open market share repurchases need to be announced via SENS only once a 3% limit has been reached) and that subsidiaries are allowed to repurchase shares in the holding company (and have a tax benefit when compared to share repurchases made by the holding company itself). These differences affected the results of this study. On compiling a database on share repurchases by companies in selected JSE-listed sectors, it was found that the share repurchase announcements (made via SENS) could not be used as the main source to compile comprehensive share repurchase data (mainly owing to the 3% rule on open market share repurchases). Annual report disclosures were therefore scrutinised to obtain share repurchase data for this study. These disclosures were found to be applied inconsistently by companies (mainly because subsidiaries were allowed to repurchase shares in the holding company; International Financial Reporting Standards and the JSE Listings Requirements did not adequately cater for the differing South African regulatory environment in their disclosure stipulations; and compliance to the disclosure requirements were not adequately monitored). Consequently, an extensive process of verification was applied in order to compile a comprehensive and reliable share repurchase database for this study. When testing whether empirical evidence and current theoretical thinking on share repurchases also applied in South Africa, it was found that the unique South African regulatory environment led to certain aspects of the South African share repurchase experience not mirroring the global precedent. The main differences between the South African and global share repurchase evidence which emerged from the present study are that the open market share repurchase type is not the outright favoured repurchase type (as is the case globally); that subsidiaries repurchasing shares in the holding company are the favoured South African share repurchasing entity (as opposed to subsidiaries not being allowed to repurchase shares in most other countries); and that share repurchases announced via SENS do not represent comprehensive share repurchase data (as opposed to global security exchanges requiring share repurchase announcements on a regular and accurate actual-time basis). When testing the current theoretical thinking on the information-signalling motivation for share repurchases, it was found that the motivation for South African open market and pro rata share repurchases mirrored the current theoretical thinking. Open market share repurchases were found to be motivated by the information-signalling hypothesis, while the short-term abnormal returns of pro rata offers were offset by the negative abnormal returns over the long term. A share repurchase type unique to the South African share repurchase environment (namely the repurchase of treasury shares by the holding company) was found not to be motivated by the information-signalling hypothesis. This study also found that companies repurchasing shares were generally classified as value companies (which tend to be undervalued) prior to the repurchase transaction which mirrored the current theoretical thinking. In developing a model of choice to determine what the main determinants were when a company had to decide between open market share repurchases and special dividends, this study found that some of the South African determinants mirrored the current theoretical thinking, but also identified determinants which were not identified as significant determinants in global research. This study found that ownership structure, size of the distribution and level of company undervaluation were the significant factors which affected a company’s choice of payout method. It was found that smaller companies, with fewer shareholders and more public investors favoured open market share repurchases over special dividends. Open market share repurchases were found to be selected for smaller distributions when compared to special dividends. Companies paying special dividends were found to exhibit lower degrees of undervaluation when compared to companies which repurchased shares in the open market. This study found that share repurchases became a popular means of distributing excess cash as from 2005. A total amount of about R384 billion was spent on share repurchases during the reporting periods including 1 July 1999 to the 2009 year-ends of the companies included in the population of this study. Share repurchases did not exceed dividend payments over the target period and represented about 36 per cent of total payouts. In 2009, the final year of the study, share repurchases represented about 44 per cent of total payouts. The results of this study showed that investors would benefit over the long term when investing in companies which repurchased shares in the open market. It was also found that there were certain characteristics which were evident in companies when choosing open market share repurchases rather than special dividend payments. This study concluded that the South African regulatory environment possesses many characteristics of a developing economy’s financial systems. Suggestions are given on how to improve and better align the South African repurchasing environment to those of developed economies.

Thesis (MComm)--Stellenbosch University, 2013. / ENGLISH ABSTRACT: This study sets out to evaluate the possible influence of increasing and declining markets on the returns of dividend-investing strategies. This study’s objective, therefore, was to evaluate the possible influence dividend pay-out policy has on share return. Secondary objectives serve to investigate how the size of cash dividend payments, measured in dividend yield (DY), influence share value, especially during bull and bear markets respectively. In order to address the stated objectives of this study and prevent possible survivorship bias, the sample included listed and delisted shares for the period 1995 to 2010. Initially, all firms that were listed on the Johannesburg Stock Exchange (JSE) during the period under review were considered, both that were listed at the end as well as firms that delisted. However, due to the nature of the financial structures of firms in the financial and basic industries, the study did not include their data. The final sample consisted of 291 firms, providing 22 927 monthly observations. Dividend-investing strategies were constructed using non-dividendpaying (Portfolio one) and dividend-paying firms (Portfolio two). Portfolio one and two were then further deconstructed into four groups based on monthly DY rankings. Portfolio one was represented by Group 1, whilst Portfolio two was grouped into the lowest, medium, and highest DYs and classified as Group 2 to Group 4 accordingly. The results obtained from statistical analyses performed in this study indicate that the level of DY appears to influence returns positively. Furthermore, after investigating the results obtained during opposing market scenarios, some important findings resulted. During bear markets no significant difference in abnormal risk-adjusted returns was observed for the portfolios and four groups, however, in bull markets the return for Portfolio two, specifically Group 4, was more than double the result for the non-dividend payers. This study, therefore proposes that firms should have a DY in the range of the highest market DY average for bull markets specifically. From the perspective of the potential investors, the study suggests that dividend-investing could allow for the generation of positive risk-adjusted returns during bull markets. / AFRIKAANSE OPSOMMING: Hierdie studie evalueer die moontlike invloed van stygende en dalende markte aangaande opbrengs op dividend-investerings strategie . Die studie se primêre doelwit is om die invloed van dividend uitbetalings op aandeel opbrengste te bestudeer. Sekondêre doelwitte ondersoek hoe die grootte van ‘n kontant dividend, soos gemeet in dividend opbrengs, die aandeel-waarde beïnvloed, spesifiek tydens bul en beer markte. Om oorlewingsydigheid te voorkom, sluit die steekproef genoteerde sowel as gedenoteerde firmas in vir ‘n tydperk van 1995 tot 2010. Aanvanklik was alle sektore van die Johannesburg Aandele-beurs (JSE) ondersoek, maar weens die komplekse kapitaal struktuur van finansi le en die basiese nywerheid sektore was hul aandeel inligiting uitgesluit. Die finale steekproef het ‘n totaal van 291 firmas ingesluit en 22 927 maandelike waarnemings verskaf. Dividend-investerings strategie was saamgestel deur nie-dividend-betalende firmas (Portefeulje een) teenoor dividendbetalende firmas (Portefeulje twee) te vergelyk. Die twee portefeuljes was ook verder onderdeel in vier groepe volgens maandelikse dividend opbrengstes. Portefeulje een was verteenwoordig deur Groep 1, terwyl Portfeulje twee opgedeel was volgends laag, medium, en hoë dividend opbrengstes en geklasifiseer as Groep 2 tot 4 onderskeidelik. Die resultate van die statististiese ontleding van hierdie studie dui moontlik daarop dat die vlak van dividend opbrengs aandeel waarde positief beïnvloed. Nadat die spesifieke bul en beer markte ontleed is, was belangrike resultate waargeneem. Tydens beer markte was daar geen beduidende verskil tussen die risiko-aangepaste opbrengstes van die twee portefeuljes en vier groepe nie, maar tydens bul markte het die opbrengstes van Portefeulje twee, spesifiek Groep 4, meer as dubbel dié van die nie-dividend betalers getoon. Die studie stel dus voor dat ‘n firma tydens bul markte moet poog om ‘n dividend opbrengs te handhaaf wat die hoogste gemiddeld van die mark verteenwoordig. Vanuit die belegger se oogpunt, stel die studie voor dat dividend investering stategie moontlik gebruik kan word om positiewe risikoaangepaste opbrengstes te genereer, veral tydens bul markte.

Thesis (MBA)--Stellenbosch University, 2002. / Some digitised pages may appear illegible due to the condition of the original hard copy / ENGLISH ABSTRACT: With the trends of business moving away from large, corporate companies to small, flexible and innovative alternatives, the need to value new companies are becoming important. A new company generally does not have substantial historical data available and it is therefore difficult to determine potential revenue streams and hence accurate valuations. The focus of this study is to find an appropriate method to attempt the valuation of a new company and this is explained by means of a case study. Three basic approaches exist to value companies. The Discounted Cash Flow (DCF) method analyses risk and return to estimate a discount rate and presents the value of the company as a Net Present Value (NPV). Relative Valuation methods compare the fundamentals of a company to that of other companies. Contingent Claim Valuation methods base the value of a company on the fact that decisions may be deferred into the future until more information is evident. The basis of this valuation technique is that of Option Pricing Theory in which the Black-Scholes technique and binomial models are used .: This method is normally used on assets that have optionlike features e.g. equity in a company, natural resource rights, product patents or any decision that may be deferred into the future. Decisions (options) deferred may be identified as growth-, staged-, flexibility-, exit-, learning- and expanding options. This is also known as the Real Option Pricing Theory. According to this model the investment proposal may be mapped as a series of call options (Luehrman, 1998a). The amount of money expended in the project corresponds to the option's exercise price (X), the present value of the asset built or acquired corresponds to the stock price (S), the length of time the company can defer the investment decision corresponds to the option's time to expiration (t) and the uncertainty about the future value of the project's cashflow corresponds to the standard deviation of return on the stock (c). Seven steps are used to obtain the value of the call option and the value is reflected by two option-value metries namely the value-to-cost (NPVq) and cumulative volatility (cr--Jt).The two metries are plotteá on a graph (defined as Options Space) in order to visualize and interpret the results. Mushroom Biomedical Systems developed three highly novel and patented products. The company was valued using the conventional OeF method and valued as a staged investment using the Real Option Pricing Theory according to Luehrman's model (1998a). The values of two products are similar using the OeF and Real Options methods. Most of the investment capital was required during the first phases of these products resulting in the investment of the second phases not holding high risks or value. The value of the third product is significantly higher using the Real Options method compared to the OeF. This is ascribed to the forced delay of phase one. The value of this future decision is worth more than the current decision due to expected new information that might arise. By "creating an option" value is added by forcing management to actively make two decisions about the continuation of the project at a future date. Applying Real Option Pricing Theory suggests inherent value in uncertainty when there is freedom to choose different courses of action in the face of different market conditions. With the OeF analysis the impact of risk is seen as depressing the value of the investment. By contrast, real options show that risk can be influenced through managerial flexibility, which becomes a central instrument to create value. / AFRIKAANSE OPSOMMING: Die beweging van die besigheidswêreld vanaf groot korporatiewe maatskappye na kleiner, buigsame en innoverende alternatiewe het 'n behoefte geskep om die waarde van sulke nuwe maatskappye te kan bepaal. 'n Nuwe maatskappy het tipies nie historiese data beskikbaar nie wat die vooruitskatting van potensiële inkomste strome en dus akkurate waardasies moeilik maak. Die fokus van hierdie studie is die bepaling van 'n toepaslike metode om die waarde van 'n nuwe maatskappy te bepaal en dit word deur middel van 'n gevalle studie verduidelik. Drie basiese metodes bestaan om maatskappye te waardeer. Die Verdiskonteerde Kontantvloei Stroom (VKS) metode gebruik risiko en opbrengs om 'n verdiskonteringskoers te bepaal en reflekteer die waarde van die maatskappy as die Netto Teenswoordige Waarde (NTW). Relatiewe Waardasie metodes vergelyk die fundamentele eienskappe van 'n maatskappy met die van ander maatskappye. Die Gebeurlikheids Waardasie metode koppel waarde aan die feit dat besluite uitgestel kan word totdat meer informasie beskikbaar is. Die basis van hierdie tegniek is Opsie Teorie waarin die Black-Scholes tegniek en binomiaal model gebruik word. Hierdie metode word gewoonlik gebruik waar bates "opsie-tipe" eienskappe besit soos aandeelhouding in 'n maatskappy, natuurlike mynregte; produk patente of enige besluit wat uitgestel kan word na 'n datum in die toekoms. Besluite (opsies) wat uitgestel word kan geïdentifiseer word as groei-, stap-vir-stap-, buigbaarheids-, uittree-, lerings- en uitbreidingsopsies. Hierdie metode staan ook bekend as die Ware Opsie Prysings Teorie. Volgens hierdie metode kan 'n beleggingsgeleentheid voorgestel word as 'n reeks koopopsies (Luehrman, 1998a). Die totale uitgawe word voorgestel deur die uitoefeningsprys (X), die teenswoordige waarde van die bate word voorgestel deur die aandeel waarde (S), die tydperk wat die besluit uitgestel kan word, word voorgestel deur die opsie vervaltyd (t), en die onsekerheid van die bate se kontantvloeistroom word voorgestel deur die standaardafwyking van die opbrengs van die bate (c). Sewe stappe word geneem om die waarde van die koopopsie te bepaal wat uitgedruk word deur twee opsiewaarde komponente naamlik waarde-tot-koste (NPVq) en kummulatiewe volatiliteit ((1'Jt). Die twee komponente word grafies voorgestel (genoem Opsie Spasie) om resultate te visualiseer en te interpreteer. Mushroom Biomedical Systems het drie unieke en gepatenteerde produkte ontwikkel. Die maatskappy is met die konvensionele VKS metode gewaardeer en volgens Luehrman (1998a) se Ware Opsie Prysings model as 'n stap-vir-stap opsie gewaardeer. Die waardes van twee van die produkte is dieselfde met die VKS metode en die Opsie Teorie metode. Die meeste van die kapitaal is tydens die eerste fases van die twee produkte benodig met die gevolg dat die tweede fases nie veel risiko of waarde inhou nie. Die waarde van die derde produk is aansienlik meer met die Opsie Teorie metode in vergelyking met die VKS metode. Dit word toegeskryf aan die gedwonge vertraging van fase een. Die waarde gekoppel daaraan om die besluit in die toekoms te neem is meer werd as om die besluit nou te neem a.g.v. verwagte nuwe informasie. Deur hierdie opsie "te skep" word waarde toegevoeg omdat bestuur gedwing word om aktief twee besluite in die toekoms te neem rakende die voortsetting van die projek. Die gebruik van Ware Opsie Prysings Teorie skep 'n inherente waarde wanneer daar verskillende besluite geneem kan word soos mark kondisies verander. Met die VKS metode word risiko gesien as 'n faktor wat waarde laat afneem. In teenstelling hiermee dui die Ware Opsie Teorie dat risiko beïnvloed kan word deur bestuur se vermoëns, wat 'n belangrike instrument is vir waardeskepping.

Thesis (MBA)-- Stellenbosch University, 1995. / ENGLISH ABSTRACT: The price of shares is determined primarily by investors' current expectations about the future values of variables that measure the relevant aspects of a company's performance and profitability, particularly the anticipated growth rate of earnings per share. Empirically, no model estimated with only historical senes data has been found to have greater forecast accuracy than the random walk model in estimating earnings one period ahead. This has led to the conclusion that past and future earnings growth is uncorrelated and that only year t-l earnings are useful in forecasting year t earnings. Research by Mozes in the USA has found the opposite and his model is applied to the South African situation. The aim is to determine whether the Mozes model has greater forecasting accuracy in the prediction of earnings per share than the random walk model. The present study shows that the Mozes model has greater forecast accuracy in the prediction of earnings per share than the random walk model if the following criteria are met: the company must be classified as a large company in terms of market capitalisation; or the percentage increase in earnings per share must be large; and the earnings per share must be classified in the growth mode. It is demonstrated that if these criteria are met, the historical growth in earnings and the future growth in earnings are positively correlated and not distributed at random. If earnings per share is classified in the non~growth mode, the random walk model is more accurate in the prediction of earnings per share than the Mozes model and as such, only the earnings per share of year t-l is important in forecasting year t's earnings per share. The most important conclusion from the study is that earnings per share in the South African market is not always randomly distributed. / AFRIKAANSE OPSOMMING: Die prys van aandele word primer bepaal deur beleggers se huidige verwagtinge rakende die toekomstige waarde van veranderlikes wat relevante aspekte van die maatskappy se prestasie en winsgewendheid beinvloed, meer spesifiek die geantisipeerde groei in verdienste per aandeel. Empiriese studies het bevind dat die toevalslopie-model die grootste akkuraatheid in die vooruitskatting van verdienste vir een periode in die toekoms lewer indien van historiese tydreeksdata gebruik gemaak word. Die gevolgtrekking word dus gemaak dat groei in verdienste van die verlede en die toekoms nie gekorreleerd is nie en dat slegs jaar t-1 se verdienste belangrik is in die vooruitskatting van jaar t se verdienste. Navorsing deur Mozes in die VSA het die teendeel getoon en die model is in die ondersoek toegepas op Suid-Afrikaanse data om te bepaal of dieselfde bevindinge geld. Resultate van hierdie studie toon dat daar aan die volgende kriteria voldoen moet word alvorens die Mozes-model meer akkurate vooruitskattings van verdienste per aandeel lewer as die toevals-Iopiemodel : -die maatskappy behoort as 'n groot maatskappy geklassifiseer te wees volgens markkapitalisasie; of -die persentasieverandering in verdienste per aandeel behoort groot te wees; en -indien verdienste per aandeel as synde in die groeifase geklassifiseer is. Indien aan die kriteria voldoen word, is aangetoon dat historiese groei in verdienste en toekomstige groei in verdienste gekorreleerd is en nie ewekansig versprei is nie. In die gevalle waar verdienste per aandeel as synde in die nie-groeifase geklassifiseer is, lewer die toevalslopie-model oorheersend meer akkurate vooruitskattings van verdienste per aandeel as die Mozes-model en gevolglik is daar bevind dat slegs jaar t ~ 1 se verdienste per aandeel belangrik is vir die vooruitskatting van jaar t se verdienste per aandeel. Die belangrikste afleiding vanuit die studie is gevolglik dat verdienste per aandeel in die SuidAfrikaanse mark nie in aile gevalle sonder meer ewekansig versprei is nie.

Thesis (MBA)--Stellenbosch University, 1995. / ENGLISH ABSTRACT: In spite of the significant role of price-earnings ratios on the Johannesburg Stock Exchange. relatively little is known of the behaviour of these ratios over time. The price-earnings ratio is the price of the company's share. divided by the company's earnings per share. In a theoretically stable environment the interpretation of the price-earnings ratio is less problematic than in an everyday unstable. non-perfect market. The problem with a non-perfect market, is that the expectations and assumptions of investors start to play a role. This is difficult to quantify. To analyse price·earnings ratios now become problematic . Based on the formula for price-earnings ratio, one can say that it represents that which the investor is willing to pay, for one rand of the earnings of the company. A high price-earnings ratio is a function of either a big expected growth in earnings for the company, or a very small earnings for the company in that financial year. The purpose of this study is: 1) The accomplishment of a databank which reflects the relative rank of the different companies. 2) To establish the relationship of the rank of a given year with future ranks. The study was conducted on all industrial companies on the Johannesburg Stock Exchange. Price·earnings ratios calculated with share prices at financial year-end, as well as price-earnings ratios calculated with share prices three months after the financial year·end, were used in the study. Companies included in the study were divided into groups which have been listed for 20. 15, 10 and 5 years respectively. Descriptive statistical methods were used to find out more about the data. To establish the extent of the relationships between the different ranks, Spearman's rankorder coefficient was used. Finally a databank was established to show the different relative ranks of the different groups. Descriptive statistics indicated that price-earnings ratios are not disrtibuted normally. The median was therefore used in all the groups as representative of the data. The median showed a definite upward trend over time. The medians of the price-earnings ratios calculated on the share prices three months after financial year-end, closely follow the medians of the price-earning ratios calculated on share prices at financial year-end. This indicates that either investors do not take the earnings of the companies into account, or that investors' expectations of earnings are correct. It is, however, doubtful whether investors have sufficient information at financial year-end. Spearman's rankorder coefficient showed a definite positive and significant trend. especially if the time-span of the tests are taken into account. Companies which were therefore ranked high, wilt most probably be high again the following year, if the time-span does not exceed five years. The databank which was established to show the relative ranks of the different companies, showed that the so-called top companies do not necessarily fall into the top positions. / AFRIKAANSE OPSOMMING: Alhoewel prys-verdienste-verhoudings 'n belangrike rol op die Johannesburgse Effektebeurs speel, is relatief min inligting beskikbaar oor die werking daarvan oor die lang termyn. Die prys-verdienste-verhouding is die prys van die maatskappy se aandeel, gedeel deur die verdienste per aandeel. Die interpretasie van prys-verdienste-verhoudings is minder problematies in 'n teoreties stabiele omgewing as in 'n oorwegend onseker, nie-perfekte marksituasie. Die probleem in laasgenoemde tipe mark is dat beleggersverwagtings en -aannames toenemend 'n rol begin speel. Aangesien verwagtings en aannames moeilik is om te kwantifiseer, bemoeilik dit ook die interpretasie van prys-verdienste-verhoudings. Volgens die formule verteenwoordig prys-verdienste-verhoudings dit wat beleggers bereid is om te betaal, vir een rand verdienste van die maatskappy. 'n Groot prys-verdienste-verhouding is 'n funksie van groot verwagte verdienstegroei van die maatskappy, of 'n baie klein verdienste per aandeel vir die maatskappy in daardie betrokke finansiele jaar. Die doel van die studie is: 1) Die daarstelling van 'n databank van prys-verdienste-verhoudings wat die relatiewe rangorde van die verskillende maatskappye reflekteer. 2) Vasstelling van die verband tussen rangordes van 'n bepaalde jaar en toekomstige rangordes . Die studie is gedoen op alle industriële maatskappye op die Johannesburgse Effektebeurs. Prys-verdienste-verhoudings bereken volgens aandeelpryse op finansiële jaareinde, asook die bereken op aandeelpryse drie maande na afloop van die finansiële jaareinde van die betrokke maatskappy , is by hierdie studie ingesluit. Maatskappye is in vier groepe verdeel naamlik maatskappye wat onderskeidelik al 20, 15, 10 en 5 jaar genoteer is. Ter toeligting van hierdie data in die verskillende groepe, is beskrywende statistiese metodes gebruik en geinterpreteer. Spearman se rangorde korrelasiekoëffisient is gebruik om die omvang van die verband tussen rangordes vas te stel. 'n Databank is laastens opgestel vir die verskillende groepe wat relatiewe rangorde aantoon. Volgens die beskrywende statistiese metodes is die prys-verdienste-verhoudings nie normaal verdeel nie. Die mediaan is dus in alle groepe as verteenwoordigend van die data gebruik, in plaas van die gemiddelde. Die mediaan het in alle groepe 'n skerp stygende tendens oor tyd getoon. Mediane van prys-verdienste-verhoudings bereken op aandeelpryse drie maande na die finansiële jaareinde, het 'n sterk ooreenkoms getoon met mediane van prys-verdienste-verhoudings bereken op finansiële jaareind aandeelpryse. Dit kan 'n gevolg wees van of die feit dat beleggers hulle nie veel steur aan die verdienstes van maatskappye nie, of dat beleggers se verwagtings van die maatskappye se verdienstes korrek was. Dit is egter te betwyfel of beleggers op finansiële jaareinde oor genoegsame intigting beskik. Spearman se rangorde korrelasiekoëffisient toon 'n definitiewe positiewe en beduidende tendens, veral as die tydsduur van die toetse wat gedoen is in ag geneem word. Maatskappye met 'n hoë rangorde sal daarom waarskynlik ook die daaropvolgende jare 'n hoë rangorde hê, veral as die tydperk nie langer as vyf jaar is nie. Volgens die databank wat saamgestel is om die relatiewe rangordes van die verskillende maatskappye se prys-verdienste-verhoudings aan te toon. hey, sogenaamde top maatskappye nie hoog in die hiërargie van top maatskappye gefigureer nie.

Thesis (MBA)--Stellenbosch University, 2012. / This research report examines the dispersal of information into the share market. According to the efficient market hypothesis, the share price always reflects all available information on a company. This information is incorporated into the share price via heterogeneous trader interaction: a transaction between a willing buyer and a willing seller sets the latest share price. Therefore, the dispersal of information is a dynamic process. This process has been modelled with a newly developed micro-economic, stochastic, dynamic model for share price based on trader interaction. The model has been implemented as a Monte Carlo simulation with several supporting metrics to assess simulation results. Extensive Monte Carlo simulations have been performed to validate the model and to examine the dispersal and value of information. Key findings are that trader interaction is a dominant effect in both the dispersal of information and portfolio performance; technical trading, i.e. trading on only past share price information, can be beneficial under certain conditions; technical trading causes the share price to increase significantly compared to rational trading; information is more valuable for fast changing markets and small companies. The findings from Monte Carlo simulation have been compared with sectors of the Johannesburg Stock Exchange and advice is provided with regards to the value of information per sector.

Thesis (MBA)--Stellenbosch University, 2012. / The success of momentum investing has puzzled the investment society for quite some time. Numerous academics have released studies that proved the success of different momentum investing strategies, even after compensating for trading costs. According to the efficient market hypothesis investors can only realise additional returns by taking additional risks. But no real risk factors can be ascribed to momentum investing. This study investigated the success of momentum investing strategies on the Johannesburg Stock Exchange (JSE) during the period January 1997 to March 2012. Three strategies were tested, namely: return momentum, price relative to high price and the crossover ratio. These strategies were tested using different combinations of testing and holding periods and only the more liquid stocks trading on the JSE were used in the study. The study showed that the momentum investing strategies generated statically significant outperformance over the period. The momentum investing strategies were then dissected according to the three risk factors identified by the Fama and French (1992) three-factor model. None of the risk factors were able to explain the outperformance of the momentum strategies. The outperformance of the momentum strategies also showed remarkable resilience after being subjected to trading costs. The success of the three momentum investing strategies is in clear contravention of the efficient market hypothesis and adds to the growing body of evidence against the hypothesis.

Thesis (MDF)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: “Inflation is as violent as a mugger, as frightening as an armed robber and as deadly as a hit man.” – Ronald Reagan It is widely publicised that inflation-linked instruments provide a hedge against rising inflation. This has led investors to assume that high inflation creates an opportunity to beat the market when investing in this asset class. This assumption is based on the belief that higher inflation creates higher returns. It is due to this belief that a research question was formulated to determine if inflation is in fact a determinant of inflation-linked bond returns. This research study investigated, as a first objective, the relationship between the South African prime lending interest rate and the South African consumer price index inflation between 2000 and 2013. The Augmented Dickey-Fuller test was applied to test for unit roots between interest and inflation. This test was extended to six other emerging countries that, together with South Africa, are issuers of government inflation-linked bonds. The researcher’s intention was to compare the relationship between interest rates and inflation in South Africa with that of the six other countries. Surprisingly, the results indicated that South African inflation and interest are non-stationary. After testing for cointegration, it was concluded that there is no relationship between the prime lending interest rate and inflation in the data set and most of the variation can be explained by means of the autocorrelation of residuals in previous periods more than the prime lending rate. As a second objective, the same methodology was applied to determine whether there is any relationship between the South African consumer price index inflation and the South African government inflation-linked bond returns. The results indicated that the series is not cointegrated which means that no relationship exists between inflation and inflation-linked bond returns. The third objective looked at alternative factors that could explain what the real determinants of inflation-linked bond returns are. It was concluded that the trend in inflation is really the source of inflation-linked bond performance, with the effects of the lead and lag periods causing capital losses and profits.