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Statistical models for pricing weather derivatives for Port ElizabethNasila, Mark Wopicho January 2009 (has links)
Weather has a significant impact on business activities of many kinds. The list of economic activities subjected to the risk of the weather include: the energy producers and consumers, the industry of leisure, the insurance industry, the food industry and the agricultural industries but the primary industry, namely the energy industry, has given rise to the demand for weather derivatives and has caused the weather risk management industry to evolve actively. A derivative is a contract or security, whose payoffs depend upon the price of an underlying asset price, and is used to control the risks of naturally-arising exposures to such an asset price. Therefore weather derivatives are financial contracts with payouts that depend on weather in some form. It is a contract that provides a payoff in response to an index level based on weather phenomena (West, 2002).The underlying variable can be for example humidity, rain, snowfall, temperature, or even sunshine. The main players who take part in the weather derivatives markets industry can be grouped in to five main categories, namely: 1) End users who are also referred to as hedgers 2) Speculators 3) Market makers 4) Brokers 5) Insurance and re-insurance companies. Since the late 90’s when the first weather derivatives transactions were recorded, the underlying market has witnessed the development of a new derivative market in the United States, which is gradually expanding across Europe. However, the newly developed market for weather derivatives is not liquid in Africa and specifically South Africa mainly due to the following factors: 1) Many companies and business organisations have not yet established a hedging policy or even figured out how their businesses or industries are exposed to weather risks. 2 2) “Since many companies and industries depend on insurance companies to cover their risks, it is possible that the solutions suggested by these companies or industries looking for protection from weather risks differ according to the cover provided by these insurance organisations “(Micali, 2008). The main aim of this study is to review available statistical models for pricing derivatives, with temperature as the underlying which could enable industries, businesses and other organisations in South Africa to protect themselves against losses due to fluctuations in the weather and therefore hedge their risks.
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An analysis of the effects of macroeconomic factors and metals price changes on the Johannesburg Stock ExchangeSacks, David M 06 April 2016 (has links)
Thesis (M.Com. (Finance))--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2016. / Could not copy abstract
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Factors affecting the financial performance of mining companies in South AfricaKhorombi, Mpho January 2017 (has links)
Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017 / The South African economy is built on the richness of mineral resources found in most parts of the country. In 2013, Chamber of Mines reported that the country earned about R 2.4 trillion from the export market over the past 10 years. However, the industry has also shown signs of financial ill health in recent years. This study examines the factors affecting the financial performance (return on capital invested, return on asset and stock price return) of mining companies in South Africa with a particular focus on employee related factors (number of employees, wage bill and safest statistics). The study examines 24 publicly listed companies over a 6 year period using panel data analysis. The results show that lost time injury rate, number of fatalities are significant variables in explaining the changes in financial performance. Labour indicators such as number of employees, lost time injury rate and wages have a negative relationship with all financial indicators. / GR2018
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The relationship between economic activity and stock market perfomance: evidence from South AfricaMda, Camngca Kholosa January 2017 (has links)
A research report submitted to the Faculty of Commerce, Law and
Management, University of the Witwatersrand, Johannesburg,
In partial fulfilment of the requirements for the degree of
Master of Management
(Finance and Investment Management),
2016 / The relationship between real economic activity and stock market performance is one that
has been extensively researched throughout many decades, across many economies. Many
issues and debates have stemmed involving this relationship, with the major ones including
those of the significance of the relationship, nature of the relationship as well as causality
and direction of causality within the relationship. This research paper examines this
relationship within the South African context, comparing the pre and post 2008 global
financial crisis periods. Results both in support of and contrary to theory were found as real
economic activity had an immediate postitive response to shocks imposed on the stock
index, whilst the stock index had an immediate negative response to shocks imposed on real
economic activity. Through the use of granger causality testing, no causality was found in
either direction. Furthermore, no major differences were noted between the pre and post
crisis periods. / GR2018
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Are dividend changes and share repurchases a good predictor of future changes in earnings?Mtshali, Nompilo January 2016 (has links)
A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand in partial fulfilment of the requirements for the degree of Master of Commerce in Finance. Johannesburg, South Africa March 2016 / The study examined whether: share repurchase events and changes in dividends were good predictors of future changes in earnings. The research also investigated how the South African market reacted to share repurchase events in the short-run. Using INET BFA, data for 226 dividend paying companies and 55 share repurchasing companies, trading on the JSE during the period 2003 to 2013, was collected.
Dividend theory suggests that changes in dividends convey information content about the future earnings of the firm. After testing this theory, limited support was found for this notion. Firms that had increased dividends at (T0) showed significant earnings increases in that year. Nonetheless, some of the dividend increasing firms showed no subsequent unexpected earnings growth at (T1) and (T2). While the size of the dividend increase had a strong positive relationship with current earnings; it failed to predict future earnings with any consistency. Firms that had cut dividends at (T0) experienced a reduction in earnings in that year but showed increases in earnings at (T1). However, consistent with Lintner‘s (1956) model on dividend policy, firms that had increased their dividends were less likely to experience a reduction in earnings, as opposed to the no-change or dividend decrease groups.
A linear regression model was employed in testing whether share repurchases were useful in predicting changes in future earnings. According to the results reported in the regression model, share repurchases are a good predictor of future changes in earnings. The study at hand then went on to explore how the South African market reacted to share repurchases. Through the utilisation of the Market Model-Event Study Methodology (with an event window of 41 days, 20 days prior and 20 days post the event), the findings of the report indicated that the South African market reacted positively to share repurchases. This was evidenced through positive: share price returns, abnormal returns and average abnormal returns, post the event. Nonetheless, cumulative average abnormal returns remained negative in the short-run. In addition, the results showed that firms engage in share repurchase activities
in order to signal that the stock is undervalued. There was an observable trend of declining share prices before the share repurchase event.
A few recommendations were proposed following the results obtained. Dividends are unable to predict changes in earnings. Therefore, a dividend cut, is not an indication that a company‘s earnings will decrease in the future or that the managers of that company foresee a decline in future earnings. From a share repurchase point of view, managers of JSE listed companies should not only focus on the short-term benefits of share repurchase events. These benefits are generally short lived as shares do return to their falling state, however authors such as Wesson, Muller and Ward (2014) have shown that the benefits of share repurchase events can also be observed in the long- run, A further point to note for both investors and managers of JSE listed companies is that share repurchases are a good predictor of future earnings. Therefore, it is very confusing for investors when a company announces a share repurchase event but does not follow through with it. / MT2017
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Value stocks verses growth stocks perfromance in emerging marketsNgcongo, Nokukhanya January 2017 (has links)
A dissertation submitted in fulfillment of the requirements for the degree in Masters in Management Finance and Investment
, University of the Witwatersrand, Johannesburg, 2017 / This thesis examines the performance of value and growth stocks during the ten year period June 2006 to 2016 within five emerging markets countries namely South Africa, Nigeria, Brazil, India and Argentina. Value stocks are those stocks that trade at low prices in comparison to its fundaments value of the company and growth stocks are those stocks that trade at high prices compared to the company’s fundaments.
The portfolios of value and growth stocks are created in the five abovementioned countries. The performance of value and growth stocks are studied by constructing portfolios on the basis of price-to-earnings, price-to-book, price-to-cash flow and price-earnings-growth. The data to calculate these price-multiples are derived from the audited statement of comprehensive income, statement of financial position and statement of cash flow of the companies. Trade data on listed stock, listed indices, cash dividends and risk-free rates are derived from mainly from Bloomberg.com and Morningstar.com. To classify stocks to be included in value or growth portfolios, a 30 percent cut-off is used. The portfolio returns and risk, price-multiples are studied as well to research whether one price-multiple provide higher return than others. Total return and risk-adjusted measures are studied by means of average daily returns to scrutinize which class of stocks, value or growth, provided the highest return.
A regression analysis is performed to study if the Capital Asset Pricing model and a two-factor model can elaborate on the excess returns yield by value and growth portfolios. The findings are that value stock portfolio provide a higher total return than growth stocks portfolio. The value stocks as compared to growth stocks, also provide a fraction of higher return per unit of risk, as measured by Jensen’s Alpha and Treynor. The study also shows that value portfolios classified on price-to-book yield higher returns than portfolios constructed on other price multipliers. The regression analyses show that the CAPM two-factor model is able to explain the excess returns on value and growth portfolios. The beta coefficients of value stocks are higher than growth stocks, which is consistent with the general theory that higher betas found in stocks should, by definition, produce higher returns, this also suggest that the reason behind the of outperformance by value stocks over growth stocks is a compensation
of risk. While value and growth stocks are studied over a period of 10 years on five emerging markets there is some limitations and implications for future research exist. One major limitation concern is the sample size of 5 emerging markets out of 152 emerging and developing countries as listed by the International Monetary Fund. Therefore reaching statistical conclusion makes it difficult to generalize towards other countries. / MT 2018
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The impact of a shopping centre on adjacent property prices: a Nelson Mandela Bay case studyKgari, Emolemo Nkomeng January 2017 (has links)
A great deal of research has been carried out on residential property values and numerous factors have been identified as having an effect on residential property values. The physical characteristics of properties of properties are the primary factors that determine the market value of residential property. However, factors concerning location are also thought to influence the value of residential properties. These locational factors include, among others, accessibility to highways, airports, schools, parks and public transportation centres. This study examines the effect of another locational factor, namely proximity to a newly built shopping centre. Shopping centres have been increasing in numbers throughout South Africa over the past few decades. These shopping centres are usually situated in close proximity to residential properties. As such, shopping centres that are in close proximity to residential properties can influence property prices. This study makes use of the hedonic price model to assess the price impact of the newly constructed Baywest Mall on the residential properties in the western suburbs of Nelson Mandela, namely Sherwood, Rowallan Park and Kunune Park. On 21 March 2012, the construction of the Baywest Mall was officially announced. This announcement created an area of interest as to whether its construction and completion would have an impact on the prices of residential properties situated in close proximity to the mall. The study period for this study was from 2004 – 2015. This time period is thought to be sufficient to assess the effect of the Baywest Shopping Mall on the residential property prices before and after the announcement of the construction of the mall. As the study period ranged from 2004 – 2015 it was necessary to adjust the sales prices over the years to constant 2015 prices. As such, the ABSA house price index was used in order to eliminate any inflationary effects on the property values over the study period. The results of the study revealed that the newly built Baywest Mall has a statistically significant positive effect on properties in close proximity to the shopping mall. This result enhances the scientific understanding of the effect of commercial land uses, such as, shopping centres, on the value of adjacent residential properties.
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Store managers’ perception of the new Walmart/Massmart price promotion strategyMaponya, Kissinger Raditlou 01 September 2015 (has links)
M.Com. / Hi-Lo price promotions are engraved in the South African fast moving consumer goods (FMCG) sector where price cuts and pricing specials are used to draw consumer traffic into stores. Massmart, in particular, Game stores are known for price cuts in the way they promote hence the arrival of Walmart present a dilemma for Games stores because Walmart is known for its everyday low pricing strategy (EDLP) compared to Hi-Lo price promotions which are popular in Game stores...
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The relevance and fairness of the JSE ALTX PRE-IPO share pricing methodologiesMagliolo, Jacques January 2012 (has links)
This three year indepth study was prompted after a decade of working as a corporate advisor for numerous stockbroking firms' corporate advisory and listing divisions. An overwhelming lack of discernible pricing methodology for IPOs on the JSE's Main Board and failed Venture Capital and Development Capital Markets was transferred to the new Alternative Exchange (AltX). This prompted lengthly discussions with former head of JSE's AltX Noah Greenhill. Such discussions are set out in this dissertation and relate to pricing methodologies and the lack of guidance or legislation as set out in the JSE's schedule 21 of Listing requirements. The focus of this dissertation is thus centred on whether the current adopted methodologies to establish a fair and reasonable pre-IPO share price is effective. To achieve this, global pricing methodologies were assessed within the framework of various valuation techniques used by South African Designated Advisors.
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Price transmission and casuality analysis of cheese and pasteurised liquid milk in South Africa from 2000 to 2016Ramoshaba, Tshegofatso January 2019 (has links)
Thesis (M. A. Agricultural Science (Agricultural Economics) -- University of Limpopo, 2019 / The relationship between farm and retail prices provides insights into marketing efficiency, consumer and farmer welfare. In light of this, much focus has been given to price transmission studies. Thus, price transmission studies have become increasingly important in Sub Saharan Africa because of its nature of providing clear insights information into our markets. Despite its importance in markets, there are a few studies analysing the mechanism through which prices are determined and transmitted from farm gate to retail markets in dairy markets in South Africa.
The aim of the study was to investigate and analyse the nature of price transmission mechanism of pasteurised liquid milk and cheese in South Africa. The specific objectives were to determine the correlation between the milk production and quantity of milk processed in South Africa. Furthermore, there was a need to determine the direction of causality between the farm gate, processor and retail prices of cheese and pasteurised liquid milk in South Africa. It was also necessary to determine whether the price transmission of pasteurised liquid milk and cheese was symmetric or asymmetric in South Africa. The study used secondary time series data that covered a sample size of 17 years (2000 -2016) of pasteurised liquid milk and cheese in South Africa. Pearson correlation coefficient, Granger causality test and Vector Error Correction Model were used for data analysis.
Pearson correlation results revealed that milk produced is perfectly correlated with the quantity of milk processed and it was positive. The Granger causality tests revealed that there was a no causal relationship between farm gate and processor, retail and processor and also between farm gate and retail for cheese. However, signs of independent causal relationship from farm gate to retail prices were visible. It also suggested a bidirectional causal relationship between processor and farm gate prices and also between retail and processor prices of pasteurised liquid milk. On the other hand, a unidirectional causality was found from retail to farm gate prices. The VECM results for pasteurised liquid milk showed asymmetric price transmission implying that retailers and processors react quicker to price increases than to price decrease.
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It is recommended that more focus be placed on investment in emerging dairy farmers in order to increase production. This can be done through the input price subsidies, grants and education on modern technologies. The government should also implement the price monitoring cell in order to protect the consumers from unfair prices passed on by the retailers. / Services SETA and National Agricultural Marketing Council (NAMC)
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