Magister Legum - LLM / South Africa

The folowing work deals with primary public issue of stocks - an external financial source of business activities. This source of finance is defined to the reader as: there are explained advantages and disadvantages of IPO Process, including supposition of succesful enter to the stock exchange. This work is concretly oriented on Pre-filing phase of a company for an enter to the stock exchange with the aim to set a procedure of IPO Process and apply it to a concrete company.

Most of the prior research in the area of monthly regularities has been based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures. This thesis examines monthly calendar anomalies in the Pakistani stock market for both the Gregorian calendar and its Islamic counterpart. This is one of the first studies to investigate both calendars for monthly seasonality in one investigation on the same dataset. Empirical studies of the Pakistani stock market that have examined monthly calendar anomalies are relatively sparse when compared with investigations from other emerging markets throughout the world. Even the findings from the small number of Pakistani investigations that have examined for the presence of monthly calendar anomalies have arrived at different conclusions about the predictability of equity returns at different times within a year. Since the conclusions of these findings have been mixed, the current study undertakes further work on this topic to offer some clarity in this area; this thesis arrives at a firm conclusion about the monthly calendar anomaly. For the purpose of this thesis, both qualitative and quantitative research methods were employed. Firstly, 19 face-to-face interviews were conducted with brokers, regulators and individual investors to ascertain their views about share price regularities with regards to monthly calendar anomalies and to gain some insights about the role of investor sentiment in the Pakistani stock markets. Secondly, share returns for a sample of 106 companies listed on the KSE over the 17 year period from 1995 to 2011 were analysed to determine whether Pakistani stock markets are weak-form efficient or whether security price changes can be predicted from knowledge of the month when the return is earned; it also investigates whether there is a change in the risk (volatility) of shares in different months which might explain any pattern in returns. To answer these questions various research methods were employed. The results of the interviews suggest that most respondents believed that share prices exhibit patterns in certain months of the year. The most common pattern highlighted by the interviewees related to the month of January for the Gregorian calendar and Ramadan for the Islamic calendar. Interviewees also argued that volatility declined during the religious month of Ramadan; they attributed these changes to investor sentiment and religious duties. Overall, the results suggested that monthly calendar anomalies may be present in the market and that these are studied by investors in an attempt to earn profit. The results from the quantitative analyses supported the findings from the interviews. Initial analyses suggested that returns varied significantly during certain months which indicate that the market might not be efficient. Further, investigations for seasonality in both the mean and volatility of returns offered conflicting evidence; very little statistical evidence of monthly seasonal anomalies was identified in average returns. However, monthly patterns were present in the variance of equity price changes in Pakistan. Overall, the results confirm that whatever monthly seasonality may be present in the equity prices of Pakistani companies, it is more pronounced in the volatility data than in the mean return numbers. These findings may have useful implications for trading strategies and investment decisions; investors may look to gain from managing the risk of their portfolios due to time varying volatility documented in the findings of this thesis. Further, the results of this thesis have interesting implications for our understanding of the dynamics of equity volatility in the Pakistani stock market.

The study examined the impact of earnings announcements on the share price of selected mining companies using the most recent data from the Johannesburg Stock Exchange. This study covered a period from 1 January 2011; to 31 December 2015. Using the classical event study methodology, the speed of reaction of the market to annual earnings information releases for a sample of 27 companies listed on the exchange is tested. Over the sample period, the Abnormal Returns (AR), Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR) were calculated. The AR, AAR and CAAR show positive results obtained during the earnings announcement period. The returns yielded from these results are significantly different from zero. / Financial Accounting / M. Phil. (Accounting Sciences)

Práce se věnuje informačním požadavkům pražské burzy na regulované společnosti. V úvodu práce je obecně zpracováno téma burzovních trhů, jejich fungování a jsou zde uvedeny základní informace o Burze cenných papírů Praha, a. s. Dohled v oblasti kapitálového trhu v druhé kapitole pojednává o regulaci burzovního trhu Českou národní bankou. Ve třetí kapitole jsou uvedeny informační požadavky pražské burzy. Další kapitoly uvádějí základní informační požadavky londýnské a newyorské burzy cenných papírů a závěr práce je věnován porovnání informačních požadavků těchto tří uvedených burz.

Cette thèse étudie le rôle et le fonctionnement des marchés boursiers régionaux, et en particulier de la Bourse de Lyon, au cours de la période 1800-1945. Le cadre d'analyse retenu correspond à celui de la littérature sur la concurrence entre bourses. La thèse est structurée autour de cinq chapitres ou papiers indépendants. Le chapitre 1 présente les conditions de l’émergence des bourses régionales dans leur forme moderne au milieu du XIXe siècle, soit près de 40 années après celle de Paris. Les chapitres 2 et 3 abordent le premier point des dynamiques concurrentielles entre les bourses en France, c’est-à-dire la concurrence sur les émetteurs, et fournissent deux mesures du développement financier: le nombre de sociétés cotées sur chaque marché boursier entre 1870 et 1913 et le nombre d’introductions en bourse sur une période plus courte, 1898-1909. Les chapitres 4 et 5 portent sur la concurrence sur l’activité boursière, c’est-à-dire sur les ordres reçus par les agents de change, intermédiaires financiers nommés par le gouvernement. Alors que le chapitre 4 est consacrée à la période de la fin du XIXe siècle et en particulier au krach de l'Union Générale, le chapitre 5 se concentre sur les deux guerres mondiales. Ces deux chapitres proposent deux mesures des volumes boursiers. / This thesis studies the role played by regional stock markets as well as their functioning between 1800 and 1945, in particular the Lyon Stock Exchange. The analytical framework draws on the literature on competition among stock exchanges. The thesis is structured in five papers. Chapter 1 deals with the creation of regional stock markets during the mid-nineteenth century, i.e. nearly 40 years after the reopening of the Paris Stock Exchange. The second and third chapters address the first aspect of the competitive dynamics between stock exchanges in France, i.e. the competition on issuers, and provide two measures of financial development: the number of companies listed on each stock market between 1870 and 1913 and the number of IPOs between 1898 and 1909. Chapters 4 and 5 deal with competition on stock market activity, i.e. on orders received by stockbrokers. While Chapter 4 is devoted to the end of the nineteenth century and and focuses specifically onthe crash of the Union Générale, Chapter 5 adresses the two World Wars. These two chapters offer two measures of stock market volumes.

Subject of this thesis is initial public offering and it’s main goal is describing of obtaining external funds for company’s funding. In the first part of the thesis is description of basic structure of financial markets, especially stock markets. The term IPO and it’s advantages and disadvantages are described. The last part is focused on individual steps of IPO realization. This thesis is focused on evaluation of chosen company’s entry on stock market. Especially macro-economic presumptions for IPO, readiness of chosen company and choice of suitable market are evaluated.

Thesis (MBA)--Stellenbosch University, 2004. / ENGLISH ABSTRACT: A number of financial variables have received extensive attention from those analysts determined to obtain that significant set of variables that improve their forecasts of expected returns. Barbee. Mukherji and Raines (1996: 56-60) suggested that the focus shift to the sales-to-price (S/P) ratio. Their findings indicated that the S/P ratio exhibited greater explanatory power in assessing share returns on Standard and Poars (S&P) American data compared to those variables already in the spot light. This study focuses on a seventeen-year period extending from 1985 to 2002, and includes a sample of industrial sector JSE-listed companies. The set of variables assessed are referred to as the "explanatory variables" and include the following: • Debt-to-equity (D/E) ratio, • Book-to-market value (B/M) ratio, • Market value of equity (MVE) variable; and • Sales-to-price (S/P) ratio. Correlation tests and regression analyses on permutations of these explanatory variables against percentage share return data revealed the MVE variable to possess the dominant relationship with percentage share returns. All models were shown (through inference) to exhibit some validity, with the exception of that model which excluded the MVE variable as an independent variable. The coefficient of the B/M ratio becomes significant when combined with the MVE variable in a regression analysis, accounting for most of the explanatory power of the model. Results from this study were compared with those in Barbee, et al., (1996), Fricker (1996) and Mouton (1998). The comparison revealed that Barbee, et al., (1996) is the only study (of the authors considered) with sufficient evidence to infer significance in the S/P ratio as a more powerful explanatory variable for determining share returns. This study has therefore shown no support for the S/P ratio as an explanatory power in determining percentage share returns, based on JSE data. The MVE variable was instead shown to have the greatest explanatory power, specifically when combined with the BlM ratio. / AFRIKAANSE OPSOMMING: 'n Aantal finansiele veranderlikes het aansienlike aandag van die analiste gekry ten einde 'n betekenisvolle stel van veranderlikes daar te stel wat help om hul vooruitskattings van opbrengste te verbeter. Barbee, Mukherji and Raines (1996: 56-60) het voorgestel dat die fokus verskuif na die verkope tot prys (S/P) verhouding. Hul het bevind dat die S/P verhouding groter verduidelikingsvermoe het by die beoordeling van aandeel opbrengste op Standard en Poors (S&P) se Amerikaanse data as daardie veranderlikes wat reeds onder die soeklig was. Die studie fokus op 'n sewentienjaar-periode van 1985 tot 2002, en dek 'n monster van genoteerde industriele aandele op die Johannesburg se Effektebeurs. Hierdie stel veranderlikes word na verwys as die "verduidelikende veranderlikes" en sluit in: • Skuld tot aandeelhouersfondse (D/E) verhoudings, • Boek tot markwaarde (B/M) verhouding, • Markwaarde van aandeelhouersbelang (MVE) veranderlike, en • Verkope tot prys (S/P) verhouding. Korrelasietoetse en regressie-analises op permutasies van hierdie verduidelikende veranderlikes teenoor persentasie aandeel opbrengste het aangetoon dat die MVE die dominante veranderlike met die persentasie aandeel opbrengste getoon het. Alle modelle (deur gevolgtrekking) het 'n mate van betekenisvolheid openbaar, behalwe die model wat die MVE veranderlike as onafhanklike veranderlike uitgesluit het. Die koeffisient van die B/M verhouding het betekenisvol geword toe dit met die MVE-veranderlike in 'n regressie-analise gekombineer is, en wat dan die grootste gedeelte van die verduidelikingswaarde van die model verklaar. Die resultate van die studie is vergelyk met die van Barbee, et aI., (1996), Fricker (1996) en Mouton (1998). Die vergelyking het aangedui dat Barbee, et al., (1996) die enigste studie is (van die skrywers ondersoek) wat genoegsame getuienis verkry het om die belangrikheid van die S/P verhouding as 'n sterk veranderlike vir die aandeel opbrengste te verklaar. Hierdie studie kon dus geen ondersteuning vind dat die S/P verhouding as 'n verduidelikende veranderlike by die vasstelling van persentasie-opbrengste op die JSE data gebruik kan word nie. Daarenteen het die MVE-veranderlike die grootste voorspellingswaarde gehad, veral as dit gekombineer is met die B/M verhouding.

Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: Academics, analysts and investors have always been intrigued by, and have always sought to identify with certainty, factors that determine investment returns and share price movements. In 1953 Maurice Kendall, following on the work of Louis Bachelier, made the revelation that share price movements followed a random pattern, i.e. they could not be predicted with certainty. Through continual research, two schools of thought emerged - fundamental and technical analysis. The fundamentalists' perspective is that through thorough due diligence analysis of current and historical data, one will be able to identify good investment prospects.The latter stipulates that future price movements can be predicted from previous price movements, i.e. historical patterns replicate themselves over time. The random walk theory suggested by Kendall was followed by the Capital Asset Pricing Model (CAPM) as developed and refined by Sharpe (1964), Lintner (1965) and Black (1972). The CAPMrecognised risk (beta) as the key explanatory variable of returns. The CAPMremains the backbone of modern financial theory and is the basis against which all new developmentsare measured. Subsequent studies have attempted to find other explanatory variables of return other than beta. Banz (1981) found evidence of a relationship between size and returns later referred to as the size effect. Chen (1981 and 1983) found that after adjusting for risk factors, the size effect did not yield high returns adequately, thus challenging Banz's findings. In 1985, Chan, Chen and Hsieh using macro and micro economic variables found that given more accurate estimates of beta, no sized-based differences in returns could be observed. Reinganumin 1981 found evidence of high earnings-price (EjP) shares yielding abnormally high returns. He further found a strong relationship between size and earnings-to-price (EjP) ratio. Bhandari (1988) suggested that in addition to beta and size, leverage also played an important explanatory role of returns. Related studies by Basu (1977), Chan, Hamao and Lakonishok (1991) and Jegadeesh (1992) found a multi-variable explanation of returns - market equity, beta, EjP ratio, size and other non-market factors. The combination of these factors led to the conclusion that the CAPM model had been misspecified. Fama and French (1992 and 1995) expanded the research and sought to establish the multi-dimensionality of beta. They found, inter alia, that equities with a high book value vis-a-vis their price realised higher returns than their counterparts. They further found profitability to be positively related to size. This led to a new ratio in financial analysis, the price book ratio (PB). The PB ratio has never emerged as a prominent analytical tool in the financial sector and has historically been superseded by the price earnings (PE) ratio. The author therefore seeks to establish the raison d' etre for the status quo by undertaking an empirical study of the JSE Securities Exchange for the period commencing 1989 and ending 1998. Using financial data obtainable from annual financial statements, the author proceeded to calculate PE and PB ratios. Tracing the mathematical derivation of the two ratios and using the Pearson correlation coefficient, trend analysis and the Spearman Rank correlation test, the author found that there exists prima facie evidence to suggest that the PE ratio could be used as a proxy for the PB ratio. This offers a partial explanation of the inconspicuous role of the PB ratio as an explanatory tool. / AFRIKAANSE OPSOMMING: Akademici, analiste en beleggers stel steeds belang in en strewe om faktore wat beleggingsopbrengste en aandeleprysbewegings bepaal, met sekerheid te identifiseer. In 1953 het Maurice Kendal, gebaseer op die werk van Louis Bachelier, getoon dat aandelepryse 'n ewekansige patroon volg en as gevolg hiervan nie met sekerheid voorspel kan word nie. Navorsing het twee denkrigtings tot gevolg gehad naamlik fundamentele ontleding en tegniese analise. Fundamentele ontleding veronderstel dat winsgewende beleggingsgeleenthede vanuit 'n deeglik oorweegde impak analise van huidige en historiese data gemaak kan word. Tegniese analise stel voor dat toekomstige prysbewegings uit vorige prysbewegings afgelei en voorspel kan word, óf anders gestel, dat patrone hulself oor 'n sekere periode herhaal. Die stogastiese lopie teorie van Kendall is gevolg deur die markpryswaarderingsmodel (MPM) wat deur Sharpe (1964), Lintner (1965) en Black (1972) ontwikkel en verfyn is. Die MPM stel risiko (beta) as 'n sentrale veranderlike wat opbrengste voorspel. Die MPM vorm steeds die primêre uitgangspunt van finansiële teorie en die basis waaraan nuwe ontwikkelings gemeet word. Voortspruitend uit die voorafgaande studies, is daar gepoog om verdere veranderlikes anders as beta te ondersoek wat opbrengste voorspel. Banz (1981) toon aan dat daar 'n verhouding bestaan tussen grootte en opbrengste - naamlik die grootte-effek. Chen (1981 en 1983) het die gevolgtrekking gemaak dat die grootte-effek nie genoegsame hoë opbrengste lewer nadat risikofaktore in berekening gebring is nie. Gevolglik is Banz se bevindinge bevraagteken. In 1985 het Chan, Chen en Hsieh deur die gebruik van makro en mikro-ekonomiese veranderlikes bevind dat, gegewe 'n meer akkurate bepaling van beta, geen grootte gebaseerde opbrengste waargeneem kon word nie. Reinganum (1981) bevind dat bewyse bestaan dat aandele met hoë verdienste-prys abnormaal hoë opbrengste getoon het. Sterk verhoudings tussen grootte en die aandeel se prysverdienste verhouding is waargeneem. Bhandari (1988), in verdere navorsing in hierdie verband, stel dat in aanvulling tot die gebruik van die beta-koëffisient en grootte, hefboomwerking ook 'n belangrike bydrae lewer in die bepaling van opbrengste. Verbandhoudende studies deur Basu (1977), Chan, Hamao en Lakonishok (1991) en Jegadeesh (1992) stel dat opbrengste verduidelik kan word aan die hand van verskeie veranderlikes, naamlik markekwiteit, beta, prysverdienste verhouding, grootte en ander nie-markverwante faktore. Die kombinering van hierdie faktore het gelei tot die gevolgtrekking dat die MPM model verkeerd gespesifiseerd was. Fama en French (1992 en 1995) se navorsing poog om die multi-dimensionaliteit van beta te bepaal. Hulle bevind onder andere dat aandele wat 'n hoë boekwaarde teenoor prys, 'n hoër verdienste of opbrengs oplewer as ander aandele. Verder is bevind dat 'n positiewe korrelasie tussen winsgewendheid en grootte bestaan. Dit het gelei tot 'n nuwe verhouding in finansiële analise, naamlik die prys-tot-boek verhouding (PB). Die PB-verhouding het egter nooit in die finansiële sektor gerealiseer as 'n prominente analitiese metode nie en word histories deur die prysverdienste verhouding oorskadu. Die skrywer wil gevolglik die raison d' etre vasstel vir die status quo deur 'n empiriese studie van die Johannesburgse Effektebeurs vir die periode 1989 tot 1998 te onderneem. Deur jaarlikse finansiële state te ontleed, is die prysverdienste en prys-tot-boek verhoudings bereken. Deur 'n wiskundige afleiding van die twee verhoudings te maak, die Pearson korrelasiekoëffisient, tendensanalise en die Spearman rang korrelasiekoëffisienttoets te gebruik, het die skrywer bevind dat daar prima facie getuienis bestaan dat die prysverdienste verhouding ook gebruik kan word as 'n ekwivalent vir die prys-tot-boek verhouding. Dit bied 'n gedeeltelike verklaring van die ontoereikende rol van die prys-tot- boek verhouding as 'n verklarende veranderlike.

Thesis (MBA)--Stellenbosch University, 2001. / The objective of this mini study project is to record dividends of de-listed companies from copies of Annual Reports. It forms part of a larger research project at the Graduate School of Business of the University of Stellenbosch that aims at setting up a database containing published financial information on dividends for listed and de-listed companies. Dividends are a valuable source of information content. Recording, and thereafter employing an analysis of basic descriptive statistics on dividends, is one way to decipher such information. Calculating the average and median of dividends declared by companies sheds an insight to the nature of dividend payout. The purpose of the mini study project is to capture the interim, special, and final dividends per share. The method employed is to calculate dividend values and to compare them against those published. Total Rand values of dividends are calculated by multiplying the number of shares issued, by the dividends declared in cents, per share as noted on the directors' report, and notes to the income statement. This is achieved by means of an Excel spreadsheet model.