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The purpose of this study is to gain answers an opinions from both companies offering stock ownership plans for their employees and from unions who participate or have members that participate in plans. In order to obtain answers from both companies and unions concerning plans, this study describes broadly the types of plans that are now in existence. An attempt was made to determine the most popular features of stock plans from both company and union viewpoint, and where possible, to gain recommendations leading to the formulation of more efficient and more popular plans.

This thesis discusses the criticism of the businessman of the 1920s from the twenties through the 1960s.

Most asset pricing theories suggest that asset prices are forward looking and reflect market expectations of future earnings. By aggregating across companies, aggregate market prices may then be used as leading indicators of future Real GDP, Real Industrial Production and the level of Inflation. A Hodrick & Prescott (1981) filter is used to detrend the data, which is compiled on an annual and quarterly basis from the JSE, to test whether stock returns are in fact useful for indicating economic activity. An autoregressive model is constructed, yielding strong evidence of significance, in the first four quarters on a quarterly basis, and two years on an annual basis, for Real Stock Prices. Therefore, in terms of a South African context, the Cycle of Real Stock Prices are a leading indicator on the JSE.

Stochastic portfolio theory is a novel methodology, developed by Fernholz (2002), for analysing stock and portfolio behaviour, and equity market structure, constructing portfolios and understanding the structure of equity markets. It thus has immediate applications to equity portfolio management and performance measurement. This theory successfully generalises well-known models for the stock price to provide models for portfolios and markets, leading to a better and more precise understanding of equity market structure. The aim of this dissertation is to present an exhaustive review of stochastic portfolio theory by imitating the work done and contributions made by Fernholz (2002) thus far. A detailed discussion of stochastic portfolio theory as well as how the implications di er from the conclusions and results of classic portfolio theory will be provided. In this dissertation, we will undertake a thorough investigation into stochastic portfolio theory; by focusing on the central, innovative ideas of the excess growth rate, long-term stock market and portfolio behaviour, stock market diversity of equity markets, portfolio generating functions, the concept of how to select stocks by their rank and the existence of relative arbitrage opportunities within the context of stochastic portfolio theory. Thus, we shall review the central concepts of stochastic portfolio theory, this will include a detailed explanation of the excess growth rate, long-term behaviour of portfolios, stock market diversity, portfolio generating functions and stocks selected by rank. We will also present examples of portfolios and markets with a wide variety of di erent properties. We will also show how this new and fast-evolving theory can be applied, in particular, to equity management, by considering the performance of certain functionally generated portfolios. Furthermore, several results and implications of stochastic portfolio theory will be discussed, and in this dissertation, we shall examine these results in far greater depth. Keywords and Phrases: Stochastic portfolio theory, Portfolios, Stock market and portfolio behaviour, Stock market diversity, Portfolio generating functions, Functionally generated portfolios, Rank-dependent portfolio generating functions, Local time, Relative arbitrage opportunities, Performance of functionally generated portfolios.

One of the fundamental tenets of finance is the relationship between risk and return. This research report contributes to the debate by testing the conditional risk-return relationship of shares on the Johannesburg Stock Exchange (JSE) for the period 2001 to 2011. More specifically, the extent to which beta, standard deviation, semi-deviation and value-at-risk (VaR) are individually able to explain total share return, taking into account the conditional framework of up and down markets and sub-periods, is investigated. Portfolios based on these risk measures have been tracked and regressed. The robustness of the relationships are tested by using value and equal weighted portfolios. The study indicates that standard deviation was able to explain the risk-return relationship across all scenarios (overall, up/down markets and sub-periods), while beta proved to be an ineffective measure of risk under all scenarios. The testing of downside risk measures revealed that semi-deviation produced weak results under all scenarios, while value-at-risk proved to be an effective measure of risk both during poor market conditions and on an overall basis.