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.

M.Com. (Financial Management) / The concept of social responsibility has been in existence for centuries, but the modern notion of corporate social investment (CSI) only emerged in the 1950s. Since then, the adoption of initiatives and integration of CSI by corporations has seen a steady growth, primarily driven by stakeholders. The rise of CSI can also be attributed to a better understanding of its associated business benefits. The relationship between CSI and company performance has been investigated since the mid-1970s and consensus about this relationship has still not been reached. In this study, secondary data from company reports is used to perform a panel regression analysis to determine the relationship between CSI and company financial performance for 30 South African companies listed on both the FTSE/JSE Socially Responsible Investment (SRI) Index and FTSE/JSE Top 40 Index for the period 2010 to 2013. The relationship between the financial performance measures, return on assets (ROA), earnings per share (EPS) and CSI was confirmed as positive while the relationship between CSI and return on equity (ROE) was confirmed as negative. Mixed or inconsistent results makes it impossible to support the notion of a positive or negative relationship for the study overall. The results of this study only prove a relationship between CSI and financial performance in South Africa for the relevant companies and cannot therefore be generalised.

A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in fulfillment of the requirements for the degree of Master of Management in Finance and Investment. June 2017 / This research report explores how various macroeconomic surprises impact on individual stock returns in South Africa. The focus of the study is on the individual constituent stocks of the FTSE/JSE Top 40 Index listed during the period January 2005 to December 2015. This report employs an event study and Bayesian Vector Autoregressive (BVAR) analysis approach to provide comprehensive insights into the relationship between the macroeconomic surprises and the individual stock returns in South Africa. This study closely mirrors a previous study conducted by Gupta and Reid (2013) which explored the impact of five macroeconomic surprises on general stock market indices (ALSI and JSE Top 40) and industry-specific stock returns in South Africa. However, in the interests of completeness and robustness, there are a few material differences and additional innovations introduced in this report. The event study results show that individual stock returns in South Africa are highly sensitive to GDP growth and CA surprises. Upon immediate impact, the GDP growth shocks cause negative stock returns indicating that initially market participants have a general dislike for the surprise element in GDP growth surprise announcements. However, post immediate impact, the stock returns increase and remain positive in line with widely hypothesized economic theory. In addition to GDP growth and CA surprises, the BVAR analysis indicates that USFed shocks have significant dynamic effects on individual stock returns in South Africa. The study finds that individual banking stocks and resource stocks are significantly sensitive to REPO surprises, whilst individual retail, property and consumer goods stocks are very responsive to GDP growth shocks. / MT2017

Thesis (M.Com. (Business Finance))--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2017 / The writer studies the short-run determinants of bond yield volatility in South Africa (SA) by analyzing the impact that global factors –representing global funding conditions – have on the changes to the rand denominated generic 10-year government bond yield (SAGB). This is followed by a one-period forward forecast of this volatility. The explanatory variables tested in this study are as follows: net bond purchases by foreign investors, Chicago Board Options Volatility Index (VIX), JP Morgan Emerging Market Bond Index (JP EMBI) spread, the US dollar to SA rand (USDZAR) exchange rate, the SA 5 year credit default swap (CDS) rate, the 12 month interest rate expectation/9x12 forward rate agreement (FRA), dollar spot price of gold and dollar spot price of oil. The study period ranges from January 2000 to December 2015. The GARCH modelling technique is used due to its ability to capture the volatility clustering effects observed in time series return data. The writer used the Gaussian distribution as the default model, however in order to control for the skewness and fat-tails in financial market return data, the Student-T and Generalised Error distributions are also tested to see if the non-normally distributed bond returns could be better captured by alternative parametric assumptions. The results show that all the explanatory variables, with the exception of the FRA, are statistically significant in explaining volatility in the local generic 10-year government bond. / GR2018

Thesis (MBA)--Stellenbosch University, 2007. / AFRIKAANSE OPSOMMING: In Februarie 2000 het die Minister van Finansies aangekondig dat die regering besluit het om 'n inflasie teiken van 3 tot 6 persent vir 2002 daar te stel en het dus 'n beleid om 'n bepaalde inflasiekoers na te streef, aangeneem. 'n Eksplisiete lae inflasiekoersteiken is gestel as deel van die regering se ekonomiese beleid. Dit is 'n aanvaarde aanname dat hierdie teikenkoers vir die afsienbare toekoms sal geld. Veranderinge in die inflasiekoers, ongeag of dit na hoer of laer vlakke beweeg, het 'n invloed op hoe bateklasse reageer. Dit is dus belangrik dat beleggers die dinamika van inflasie verstaan en hoe dit beleggingsopbrengste bernvloed. Dit sal hulle help om deurdagte beleggingsbesluite te neem en om realistiese verwagtinge van be leggings - en polisopbrengste te he. Vir verskaffers van beleggingsprodukte in Suid-Afrika, veral die lewensversekeringsindustrie, is daar twee beduidende uitdagings in die huidige omgewing van lae rentekoerse en lae inflasie: om 'n winsgewende kontantvloei te genereer en om aan kliente se verwagtinge te valdoen. Volgens kliente is daar in die onlangse verlede nie aan hul verwagtinge valdoen nie, aangesien il1lustratiewe uitkeerwaardes wat gekwoteer is toe die polis uitgeneem is, nie geldig is in die huidige lae-inflasie omgewing nie. Kliente is ook teleurgesteld met huidige nomina Ie opbrengste wat laer is wat voorheen bereik is. Alhoewe[ dit algemeen aanvaar word dat 'n lae en stabiele inflasiekoers 'n voorvereiste is vir volhoubare ekonomiese groei en vooruitgang. verander dit die beleggingsomgewing vir private beleggers, verskaffers van beleggingsprodukte en beheerliggame. Hierdie verslag ondersoek die impak van lae inflasie op beleggingsopbrengste asook die implikasie daarvan vir beleggers, beleggingsproduk-verskaffers en beheerliggame in die finansiele dienstesektor in Suid-Afrika.

Thesis (MBA)--Stellenbosch University, 2003. / Some digitised pages may appear illegible due to the condition of the original hard copy / ENGLISH ABSTRACT: Investors often question the extent to which the state of the market affects returns in investment finance, and seek answers as to whether the market response to bad and good news is dependent on the level of the market. If this is true, investors who have the ability to identify events can make substantial amounts of money by identifying the state of the market before investing. This would then be in violation of the efficient market hypothesis. This study used the Conrad, Cornell and Landsman (2002) model to investigate whether the share price's response to bad news in South Africa changes with the relative level of the market. Conrad, et al. (2002) found enough evidence that the market's response to bad news increases with the increase in relative level of the market. Bhana (1996) supported this notion when he reported that investors overreacted to companies that announced negative earnings. A sample analysis of this study produced regression equations with insignificant unexpected earnings coefficients. One of the notable factors was that, for some observations, the retained earnings moved in the opposite direction with the unexpected earnings shocks. Malan (1998) found similar market reaction when he investigated the overreaction theory using three indices from Johannesburg Stock Exchange and he reported that the market could not distinguish between bad and good news as the results for both bad and good news yield either positive or negative abnormal returns. After introducing additional variables to allow for these opposite movements, CHANGE, the regression equation produced significant regression coefficients. The results of the study were directly opposite to the findings of Conrad, et al. (2002) and those in other existing literature. These indicated that the market responds strongly to good news in both good and bad market states. The study concludes by suggesting further areas for future research. / AFRIKAANSE OPSOMMING: Beleggers bevraagteken dikwels die mate waarin die opbrengste in beleggingsfinansies deur marktoestande beïnvloed word, en wil weet of die markreaksie op slegte of goeie nuus van markvlakke afhang. Indien dit waar is, kan beleggers wat die vermoë het om vooraf gebeure te identifiseer, aansienlike hoeveelhede geld maak deur die toestand van die mark te bepaal voor hulle geld belê. Dit sal dan teenstrydig wees met die Doeltreffende markhipotese. Hierdie studie gebruik die Conrad, Cornell en Landsman-model (2002) om uit te vind of die aandeleprys se reaksie op slegte nuus in Suid-Afrika saam met die relatiewe vlak van die mark verander. Conrad, et al. (2002) het voldoende bewyse gevind dat die mark se reaksie op slegte nuus toeneem soos die relatiewe vlak van die mark toeneem. Bhana (1996) het hierdie gedagte ondersteun toe hy berig het dat beleggers oorreageer wanneer maatskappye negatiewe verdienste aankondig. 'n Steekproefontleding in hierdie studie het regressievergelykings met onbeduidende onverwagte verdienste-koëffisiënte gelewer. Een van die belangrikste faktore was dat die teruggehoue verdienste by sommige waarnemings in die teenoorgestelde rigting beweeg het met onverwagte verdienste-skokke. Malan (1998) het 'n soortgelyke markreaksie gevind toe hy die oorreaksie-teorie ondersoek het deur drie indekse van die Johannesburgse aandelebeurs te gebruik. Hy het berig dat die mark nie tussen slegte en goeie nuus kon onderskei nie omdat die resultate vir slegte sowel as goeie nuus positiewe of negatiewe abnormale opbrengste lewer. Nadat bykomende veranderlikes ingebring is om voorsiening vir hierdie teenoorgestelde bewegings te maak, het die regressievergelyking beduidende regressiekoëffisiënte opgelewer. Die resultate van hierdie studie staan lynreg teenoor die bevindinge van Conrad, et al. (2002) en dié van ander bestaande literatuur. Dit dui daarop dat die mark sterk reageer op goeie nuus in goeie sowel as swak marktoestande. Die studie word afgesluit met voorstelle vir verdere navorsing op hierdie gebied.

Thesis (MScAgric)--Stellenbosch University, 1999. / ENGLISH ABSTRACT: Historically, commercial agricultural research in South Africa has been state supported, but due to recent political changes in South Africa this is changing. The political transition has been accompanied by changing economic policies, causing a tightening of public funds allocated to agricultural research. In 1992 the Agricultural Research Council was formed, primarily to enable greater industry involvement in research as a result of the expected long term budget cuts in publicly funded research. As a result there has been an increased recognition of the need to evaluate research in terms of the economic returns to investment so that decision makers have hard evidence on which to prioritize their investments. This study employs the well known production function approach to evaluate the economic benefits of publicly funded research in the South African deciduous fruit industry. In reporting the results of the research the study proceeds from an overview of the deciduous fruit industry, as well as an analysis of the structure of deciduous fruit research in South Africa. This is followed by a description of the economics of research expenditure, a description of ex post methods of evaluating the economic benefits of research, and the manner in which the data for the analysis was collected. The analysis suggests there is a statistically significant relationship between research and development and industry output as well as industry prices and output. However the results should be interpreted with care, and more effort should be made to ensure that required data are gathered. Nevertheless, the results show that increased research expenditure m the industry is justified. / AFRIKAANSE OPSOMMING: Histories gesien is kommersiele landbou-navorsing in Suid Afrika deur die owerheid ondersteun, maar as gevolg van die onlangse politieke veranderinge in Suid Afrika is hierdie toedrag van sake besig om te verander. Die politieke oorgang in die land het gepaard gegaan met 'n verandering in ekonomiese beleid, wat 'n inkorting van owerheidsbefondsing aan die Landbounavorsingsraad meegebring het. Hierdie Raad is in 1992 gestig, met die primere doe! om grater privaatsektor betrokkenheid in navorsing vanuit die betrokke sektor te verseker, as gevolg van die verwagte onttrekking van owerheidsteun. As gevolg hiervan, is daar nou 'n toenemende erkenning aan die behoefte om navorsingsprojekte te evalueer in terme van die ekonomiese opbrengs op sulke investering, sodat besluitnemers geldige bewyse het waarvolgens bestedingsprioriteite gemaak kan word. Hierdie studie gebruik die bekende produksie-funksie benadering om die ekonomiese voordele van navorsing in die Suid-Afrikaanse sagtevrugte bedryf te evalueer. Die studie begin met 'n oorsig oor die sagtevrugtebedryf, insluitend 'n analise van die navorsingstruktuur wat tans heers. Bogenoemde word gevolg deur 'n beskrywing van die bestaande ex post metodes om ekonomiese voordele van navorsing te evalueer, sowel as die wyse waarop die data vir die analiese ingesamel is. Die resultate wys dat daar 'n beduidende statiese verhouding is tussen besteding op navorsing en pryse en die opbrengs behaal deur produsente in die bedryf Hierdie resultate moet egter met sorg gelnterpreteer word, en meer moeite moet gedoen word om te verseker dat die nodige data ingesamel word. Nietemin toon die resultate dat verhoogde navorsingsbesteding in die bedryf geregverdig is

Thesis (MComm)--Stellenbosch University, 2013. / ENGLISH ABSTRACT: This study examines the role of cross-sectional return dispersion in portfolio management by examining two topics. To begin with, the study considers why return dispersion changes over time. Given the influence of return dispersion on active portfolio return opportunity, it is important for managers to understand why return dispersion changes over time. For a sample of South African listed shares over the period June 1996 to December 2011, univariate time-series analysis reveals significant serial correlation in return dispersion which may be modelled using ARMA (1, 1) and GARCH (1, 1) processes. Further analysis within a rational economic framework reveals that return dispersion is countercyclical to aggregate economic activity and related to both local and foreign economic uncertainty. The study then considers the relationship between return dispersion and the return to investment strategies. If substantial association between return dispersion and any investment strategy exists, then it is possible for managers and fund sponsors to augment an understanding of when active return opportunity is high with strategies for exploiting return opportunities. Continuing within the rational economic framework, the study uses Spearman‟s rank correlation coefficients to show a significant positive relationship between return dispersion and the value premium. In aggregate, these findings suggest that it is possible for South African investors to understand why return dispersion changes over time, as well as how to take advantage of changes in return dispersion. / AFRIKAANSE OPSOMMING: Hierdie studie ondersoek die rol van opbrengsverspreiding oor die kruissnit van „n mark in portefeuljebestuur deur twee onderwerpe te bestudeer. Eerstens bestudeer die studie hoekom opbrengsverspreiding oor tyd verander. Gegewe die invloed van opbrengsverspreiding op aktiewe beleggingsgeleentheid is dit belangrik vir bestuurders om te verstaan hoekom opbrengsverspreiding oor tyd verander. Vir „n steekproef van Suid Afrikaanse aandele oor die periode Julie 1996 tot Desember 2011 dui enkelvoudige tydreeks analise aan dat opbrengsverspreiding beduidende outokorrelasie het, waar die outokorrelasie beskryf word deur ARMA (1, 1) en GARCH (1, 1) prosesse. Verdere analise binne „n rasionele ekonomiese raamwerk dui daarop dat opbrengsverspreiding kontra-siklies aan makro-ekonomiese aktiwiteit is en verwant is aan beide plaaslike en buitelandse ekonomiese onsekerheid. Die studies ondersoek daarna die verhouding tussen opbrengsverspreiding en die opbrengs van beleggings strategieë. Indien daar „n noemenswaardige verhouding is tussen opbrengsverspreiding en enige beleggings strategie, dan kan bestuurders beter oordeel watter strategieë hoë opbrengste lewer wanneer beleggingsgeleenthede hoog is. Die studie hou binne „n rasionele ekonomiese raamwerk en gebruik Spearman se rang-orde korrelasie koeffisiënte om „n beduidende positiewe verwantskap tussen opbrengsverspreiding en die opbrengs van die waardepremie aan te dui. As „n geheel dui hierdie bevindinge daarop aan dat dit moontlik is vir Suid-Afrikaanse beleggers om te verstaan hoekom opbrengsverspreiding oor tyd verander asook hoe om voordeel uit die verwantskappe te trek.

For more than three decades, the World Economic Forum’s annual Global Competitiveness Reports have studied and benchmarked the many factors underpinning national competitiveness. The quality of higher education and training is considered particularly crucial to ensure national competitiveness. The globalizing economy requires countries to nurture pools of well-educated workers who are able to perform complex tasks and adapt rapidly to their changing environment and the evolving needs of the economy. Vocational and continuous on-the-job training and the constant upgrading of workers’ skills is critical to sustain the economical status of the country. Despite the acknowledgement that education, training and development (ETD) is a key driver for a country's economical sustainability and growth, the contributions that companies make to this effect are a concern. This is ascribed to the difficulties experienced in companies regarding the management of ETD. In this study it is postulated that communication problems are at the heart of the challenges which are experienced in managing ETD. Strategic conversation is proposed as one of the methods to address the communication and performance shortcomings experienced by business and ETD managers. It is argued that if the level of conversations is raised to make them strategic, the potential to optimise results and make an impact at organisational and national level is increased. Hence, the purpose of this study was to propose a Strategic ETD Conversation (SETDC) model to optimise Return on Occupational Training Expectations (ROTE) that would contribute towards the achievement of organisational and national strategic goals. In lieu of the limited empirical research available on the strategic conversation phenomenon in general, the purpose of this study was inter alia to conduct empirical research to explore the essence of strategic ETD conversations in order to propose a model of practical value to ETD managers. Hence, the empirical research was situated in both an explorative paradigm and a pragmatic paradigm with the aim to provide practical solutions and an instrument to successfully engage in strategic ETD conversations which would enhance the quality of ETD and thus contribute to global competitiveness. / Educational Leadership and Management / D. Ed. (Education Management)

Thesis (MSc)--University of Stellenbosch, 2002. / See article for abstract