Thesis (M. Phil.)--University of Hong Kong, 1991.

Thesis (MBA)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: Portfolio managers and investors have developed numerous stock-picking strategies for managing stock market portfolios, many of which have been researched extensively in international markets. For example, research has shown that value stocks have higher returns than growth stocks in markets around the world (Fama & French 1998). A very popular value investing strategy is the ‘magic formula’ developed and published by Joel Greenblatt, in 2006, in his book The little book that beats the market. This strategy is based on constructing portfolios where return on capital and earnings yield are used as selection criteria. Greenblatt (2010) provided results that showed that the magic formula strategy was able to persistently outperform the United States stock market from 1988 to 2009. This study provides a back-test of the magic formula on stocks listed on the Johannesburg Stock Exchange for the period 1 January 1998 to 31 December 2013. The return was benchmarked against the FTSE/JSE J203 All Share Total Return Index and several other popular value investing strategies over the same period. It was found that, even after adjusting for risk, the magic formula was able to consistently outperform the market index. While the magic formula was able to outperform the market index, it was not the top performing value investing strategy evaluated in this study. The magic formula was outperformed by the combination of size and book-to-market, book-to-market alone, dividend yield, and earnings yield value investing strategies. While the magic formula, and the above mentioned value investing strategies, were able to outperform the market index in terms of overall geometric mean returns, there is not enough evidence to conclude that these value investing strategies outperformed the market index by a statistically significant margin.

Thesis (MBA)--Stellenbosch University, 2015. / ENGLISH ABSTRACT:The main aim of this study was to determine the effect of unanticipated information, or noise, on the returns of cap-weighted portfolios in various segments of the JSE for the period 1995 to 2014. Capital Market Theory states that the optimal ex ante portfolio comprises all shares in a market/segment weighted by ex ante market capitalisation. The optimal ex ante portfolio is however rarely the optimal ex post portfolio, because it is underweighted in shares that will unexpectedly become ‘winners’ during the investment period and overweighted in those that will become ‘losers’. According to Fuller, Han and Tung (2012), all investors in a segment would gain maximum alpha from a portfolio weighted by ex post market capitalisation – in other words, a ‘perfect foresight’ (PF) portfolio. The excess return of the PF portfolio over the benchmark portfolio therefore is an estimate of the negative effect of noise on the return of the benchmark portfolio. In this study, the returns of PF portfolios were compared with the All Share, Large Cap, Mid Cap, Small Cap, Financials, Industrials and Resources segments of the JSE. Intuitively, information to guide decisions on portfolio weighting would be more valuable and deliver more profit when the cross-sectional standard deviation of share returns is high. A secondary aim was therefore to investigate the correlation between cross-sectional standard deviation and PF excess return. It was found that a strong positive correlation (more than 88%) existed between cross-sectional standard deviation and PF excess return in all segments. In ascending order of cross-sectional standard deviation and PF excess return, the results for the segments were Financials (25% and 5%), Resources (28% and 6%), Large Cap (29% and 8%), Industrials (30% and 9%), All Share (32% and 9%), Mid Cap (36% and 13%) and Small Cap (43% and 17%).

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Thesis (Ph. D.)--University of Washington, 2001. / Vita. Includes bibliographical references (leaves 88-99).

Not available / text

published_or_final_version / Management Studies / Master / Master of Philosophy

Thesis (Ph. D.)--University of Missouri-Columbia, 2006. / The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on April 29, 2009) Vita. Includes bibliographical references.

Thesis--Auburn University, 2009. / Abstract. Includes bibliographical references (p. 37-39).