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Can market volume help in predicting share market volatilityHagba, Dorbor M. 12 1900 (has links)
Thesis (MBA)--University of Stellenbosch, 2007. / ENGLISH ABSTRACT: This paper explores a number of statistical models for predicting the daily stock
return volatility of an aggregate of all stocks traded on the Johannesburg Stock
Exchange (JSE). The study is largely inspired by the work of Chris Brooks
(1998). The volume of shares traded might be as important as the change in a
market index since substantial price increases and decreases are often
accompanied by heavy trading activity. An application of linear and non-linear
Granger causality tests highlights evidence of bidirectional causality, although the
relationship is stronger from volatility to volume than from volume to volatility.
The out-of-sample forecasting performance of various linear and non-linear
models of volatility are evaluated and compared. The models are also
augmented by the addition of a measure of lagged volume to form more general
ex-ante forecasting models. The results indicate that augmenting models of
volatility with measures of lagged volume leads only to fairly small improvements
in forecasting performance. The report also shows that the Johannesburg Stock
Exchange is vulnerable to financial turmoil in other major markets. / AFRIKAANSE OPSOMMING: Hierdie navorsingsverslag verken 'n aantal statistiese modelle vir die
vooruitskatting van die daaglikse onbestendigheid in aandeleopbrengste van die
totaal van alle aandele wat op die Johannesburgse Aandelebeurs (JSE)
verhandel word. Hierdie studie is grotendeels geinspireer deur die werk van
Chris Brooks (1998). Die volume aandele wat verhandel word, kan net so
belangrik wees soos die verandering in 'n markindeks omdat beduidende
prysverhogings en -verlagings dikwels met swaar verhandelingsaktiwiteite
gepaard gaan. 'n Toepassing van liniere en nie-liniere Grangeroorsaaklikheidstoetse
lewer bewys van tweerigting-oorsaaklikheid, hoewel daar
'n sterker verband van onbestendigheid na volume is, as van volume na
onbestendigheid. Die buite-steekproef vooruitskattingsprestasie van verskeie
liniere en nie-liniere modelle van onbestendigheid word geevalueer en vergelyk.
Die modelle word aangevul deur die byvoeging van gesloerde volumes om meer
algemene vooruitskattingsmodelle te vorm. Die resultate dui daarop dat
aangevulde modelle van onbestendigheid met sloerings in volume slegs tot
betreklik klein verbeteringe in vooruitskattingsprestasie lei. Die resultate dui
daarop dat die Johannesburgse Aandelebeurs kwesbaar is vir finansiele
turbulensie in ander belangrike markte.
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JSE securities exchange : is there a justification for low voting shares?Gelderblom, Christo 03 1900 (has links)
A Research Report presented to the Graduate School of Business of the University of Stelienbosch in partial fulfilment of the requirements for the degree of Master of Business Administration / Thesis (MBA)--Stellenbosch University, 2006. / ENGLISH ABSTRACT: Certain companies in South Africa have dual classes of shares listed on the
JSE Securities Exchange i.e. ordinary shares and N shares.
Ordinary listed shares, nonmally holds one vote per share, are referred to as
superior voting shares. Restricted voting shares have restricted voting
benefits to the shareholders, in some cases one vote casting for thousand
shares held. Some companies have listed N shares on the JSE Securities
Exchange; these are the South African shares with restricted voting powers.
A total of 34 companies have issued low voting shares in South Africa, 2
companies started as far back as 1990. Naspers Limited is the only company
that has listed only low voting shares.
This study investigates the justification for companies issuing low voting
shares by comparing the price performance of these shares and also
investigates the justification for shares with restricted voting rights.
Tests are conducted to detenmine whether a premium is paid for South
African superior voting shares by comparing the share prices of superior
voting shares and restricted voting shares on the same day of trading on the
JSE Securities Exchange. Various parties in the South African business
community have opinions and arguments against and in favour of low voting
shares; the reasons for the issuing of low voting shares are under scrutiny.
In addition to the above mentioned tests the factors influencing the voting
premium have also been investigated. The benefits of restricted shares are
also investigated.
The results of tests conducted on dual share classes trading in South Africa
are compared with the results of similar studies on share price information of
dual share classes trading on international stock exchanges.
The findings of the study are:
Ordinary listed shares are trading at a premium comparing to restricted voting
shares, in South Africa the premium is calculated at 9.83%;
The payment of dividends to shareholders does not influence the share
premium;
The ratio of ordinary shares in relation to total shares issued does not
influence the VRP of a company;
The capitalisation of company, in other words the outstanding number of
ordinary shares valued at the market price, does not influence the voting
premium; and
Companies being controlled by families or major shareholding groups are
more likely to issue shares with restricted voting rights;
The conclusion of the study is that the limited benefits are offered to the
owners of the companies that have issued the dual classes of shares and not
to the investors' public. These owners of superior voting shares have utilised
restricted voting shares to remain in control of the companies and get access
to relative cheap investors funding.
Restricted voting shares' popularity declined to the end of 1992, the
phenomenon is consistent with demise of restricted voting shares in France / AFRIKAANSE OPSOMMING: Sommige Suid Afrikaanse genoteerde maatskappye het verskillende klasse
aandele genoteer op JSE Securities Exchange.
Daar word tel kens na gewone genoteerde aandele verwys as aandele met
superieure stem reg, die aandele sal sonder uitsondering een stem hou vir
elke uitgereikte gewone aandeel. In Suid-Afrika staan aandele met beperkte
stem reg bekend as N-aandele. Die betrokke aandele het nie dieselfde
stem reg voordele as gewone aandele nie en kan tot een stem per duisend
uitgereikte aandele dra.
'n Totaal van 34 maatskappye het beide klasse aandele genoteer, Naspers
Beperk is die enigste maatskappy wat slegs aandele met beperkte stemreg
genoteer het.
Die verhandeling ondersoek of daar enige geldige rede is vir die uitreiking van
aandele met beperkte stem reg. 'n Ondersoek word geloods deur te kyk na die
prysgedrag van die twee verskillende tipes aandele naamlik gewone en Naandele.
Die redes vir enige prysafwykings word ook ondersoek.
'n Vergelykings tussen die aandelepryse van aandele met superieure stemreg
en aandele met beperke stemreg (soos genoteer op die JSE Securities
Exchange) word gedoen om te bepaal of aandele met superieure stem reg
teen 'n premie verhandel.
Verskeie partye het argumente en opinies teen en ten gunste van die gebruik
van aandele met beperkte stemreg. die redes vir die uitreiking van aandele
met beperkte stem reg word onder die vergrootglas geplaas.
In Verdere ondersoek na die faktore wat verantwoordelik kon wees vir die
premieverskil tussen aandeelpryse van aandele met superior stemregte en
aandele met beperkte stemregte word ook gedoen. Daar word ook ondersoek
of daar enige voardele is vir die uitreik van aandele met beperkte stemreg.
Die studie sluit af met 'n vergelyking van die resultate in 'n Suid-Afrikaanse
beleggingingomgewing met die resultate van soorgelyke studies wat gedoen
is op aandeleinligting van verskeie intemasionale aandelebeurse waar
aandele met beide superieure en beperkte stem reg genoteer is.
Die bevindinge van die studie is as volg:
Gewone genoteerde aandele (aandele met superieure stemreg) soos
genoteer op die JSE Securities Exchange verhandel teen 'n premie van
9.83% oor die tydperk onder oorskou in vergelyking met aandele met
beperkte stemreg.
Die beta ling van dividende aan aandeelhouers speel geen rol op die grootte
van die pryspremie in die verhandeling van gewone genoteerde aandele en
aandele met beperkte stem reg.
Die verhouding tussen gewone aandele in verhouding to totale aandele
uitgereik speel nie 'n rol in die grote van die pryspremie nie;
Die kapitalisasie van die maatskappye, met ander word die uitstaande
gewone genoteerde aandele teen markprys, speel geen rol in die graolle van
die pryspremie nie; en
Die aandeelhouersstruktuur speel 'n ral in die uitreiking van aandele met
beperkte stemreg. Maatskappye wat beheer word deur families of graot
houermaatskappye is geneig om aandele met beperkte stemreg uit te reik.
Die gevolgtrekking van die studie is dat aandele met beperkte stemreg wei
voordele het, in die geval nie vir die breer beleggingspubliek nie maar wei vir
persone of instansies in beheer van die spesifieke maatskappye met beide
klasse aandele. Aandele met beperkte stemreg is gebruik am toegang te
verkry tot goedkoop befondsing sander am beheer van die maatskappye te
verloor.
Aandele met beperkte stemreg se gewildheid het begin afneem, nie net in
Suid-Afrika nie maar oak in Frankryk waar baie maatskappye besluil hel om
weg Ie doen mel die soort aandele.
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Macroeconomic determinants of stock market behaviour in South AfricaJunkin, Kyle January 2012 (has links)
This study investigates whether stock prices in South Africa are influenced by macroeconomic variables, and furthermore, the effects of financial crises on stock prices. The relationship between stock prices and the macroeconomy is a particularly important issue for investors, since a thorough understanding of such a relationship is likely to yield profitable or risk mitigating opportunities. Using monthly data for the period 1995 to 2010 the study focused at a macro level using the FTSE/JSE All Share Index, and at a micro level using sector indices. These included the construction and materials, financial, food producers’, general retailers, industrial, mining and pharmaceuticals indices. The Johansen and Juselius (1990) multivariate cointegration approach was employed, along with impulse response and variance decomposition tests to address the issue. The results showed that macroeconomic variables do have a significant influence on stock prices in South Africa. Also, the influences of these variables were found to have an inconsistent effect across the sectors under investigation. For example, inflation was found to negatively influence the All Share Index, but impacted the industrial index positively. These inconsistent influences on the various sectors were seen to have important diversification implications for investors. The impact of past financial crises proved to be significant on certain indices, however, indices such as that of the pharmaceuticals sector was found to be largely unaffected by such crises. The findings of the study were discussed through an investor’s perspective, and recommendations on investment decisions were given. The limitations of the study were such that certain results may have been influenced by a mis-specification of variables, particularly the Treasury bill rate.
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An empirical analysis of the long-run comovement, dynamic returns linkages and volatility transmission between the world major and the South African stock marketsChinzara, Zivanemoyo January 2008 (has links)
The international linkages of stock markets have important implications for cost of capital and portfolio diversification. Recent trends in globalization, financial liberalization and financial innovation raises questions with regard to whether African stock markets are being integrated into world equity markets. This study examines the extent to which the South African (SA) equity market is integrated into the world equity markets using daily data for the period 1995-2007. The study is divided into three main parts, each looking at the different ways in which integration can be considered. The first investigates whether there is long run comovement between the SA and the major global equity markets. Both bivariate and multivariate Johansen (1988) and Johansen and Juselius (1990) cointegration approaches were utilised. Vector Error Correction Models (VECMs) are then estimated for portfolios which show evidence of cointegration. The second part analyses returns linkages using the Vector Autoregressive (VAR), block exogeneity, impulse response and variance decomposition. The third part examines the behaviour of volatility and volatility linkages among the stock markets. Firstly volatility is analysed using the GARCH, EGARCH and GJR GARCH. Simultaneously, the hypothesis that investors receive a premium for investing in more risky stock markets is explored using the GARCH-in mean. The long term trend of volatility is also examined. Volatility linkages are then analysed using the VAR, block exogeneity, impulse response and variance decomposition. The first part established that no bivariate cointegration exists between the SA and any of the stock markets being studied, implying that pairwise portfolio diversification is potentially worthwhile for SA portfolio managers. However, multivariate cointegration exists for some portfolios, with the US, UK, Germany and SA showing evidence of error correction for some of these portfolios. Findings on return linkages is that there are significant returns linkages among the markets, with the US and SA being the most exogenous and most endogenous respectively. Findings regarding volatility are that the volatility in all the markets is inherently asymmetric and that except for the US there is no risk premium in any of the markets. The long term trend of volatility in all the stock markets was found to be relatively stable. The final finding was that significant volatility linkages exist among the markets, with the US being the most exogenous and SA and China showing evidence of bidirectional linkages. Overall, except for volatility linkages, the integration of SA into the global equity markets is still quite low. Thus, both SA and international investors can capitalise on this portfolio diversification potential. On the other hand, policy makers should capitalise on this and make policies that will attract the much needed foreign investors.
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Business cycles and stock market performance in South AfricaMuchaonyerwa, Forward January 2011 (has links)
The study investigates the relationship between stock market performance and business cycles in South Africa for the period 2002-2009 using monthly data. This is done by constructing a Vector Error Correction Model (VECM). The study specifies a business cycle model with the business cycle coincident indicator (BC) regressed against, the All Share Price Index (ALSI), Real Effective Exchange Rate (REER), Money Supply (M1), Inflation (CPIX) and the Prime Overdraft Rate (POR). The ALSI represents stock market performance whilst the rest of the variables are to enhance model specification. The study found a positive relationship between stock market performance and business cycles in South Africa. The results also indicated that business cycles are positively related to the lagged variable of the coincident indicator and money supply. In addition, the findings also reveal that BC is negatively related to interest rates and the real effective exchange rate.
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Market strategies applied by selected JSE-listed SA food manufacturers (major group meat, fish, fruit, vegetables, oils and fats) in the period 1996 to 1999: an exploratory studyNienaber, Hester 05 1900 (has links)
The observation that similar firms faced with a similar situation and seemingly applying similar market strategies and achieving differing degrees of success sparked the study. The question that arose was whether the market strategies applied by these firms adhered to the principles of a sound market strategy put forward in the literature. The
study found that the market strategy applied by the firms in question complied with the principles of market strategy, to varying degrees. The firms that adhered to these principles to a greater degree appeared to have been more successful than the others. It
appeared that the latter firms neglected the principle "sustainable competitive advantage''. It was concluded that the adherence to the principles of a sound market strategy could lead to improved performance. / Business Management / D. Comm. (Business Management)
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The application of fundamental indexing to the South African equity market for historical data dating back to 1996Ferreira, Rickus 03 1900 (has links)
Thesis (MComm (Business Management))--University of Stellenbosch, 2009. / Measuring the performance of any financial portfolio is only relevant if
compared relative to another similar portfolio. Over the years the norm in the
industry has been to use market capitalisation indices as benchmarks to
measure performance.
Market capitalisation indices, such as the FTSE/JSE ALSI, create a natural
return drag because of the overweighting of overvalued stocks and the
underweighting of undervalued stocks. It is this return drag that led to the
creation of the Fundamental Indexing concept by Research Affiliates in 2005.
Fundamental Indexing weights stocks based on their economic footprint in the
market rather than their market capitalisation. The Fundamental Indexing
approach uses four metrics, namely sales, book values, dividends and cash
flows to calculate this economic footprint. The Fundamental Index is referred
to as the RAFI (Research Affiliates Fundamental Index) Index
The Fundamental Index concept delivered very good results when applied to
the South African stock market. The South African RAFI Composite Index
outperformed the FTSE/JSE All Share Index by 5.55% p.a. compounded
annually during the period 1995 to 2006. This return was achieved with a
similar risk profile as the FTSE/JSE All Share Index. This index also had
similar turnover rates relative to the FTSE/JSE All Share Index. The South
African RAFI Composite Index also outperformed the FTSE/JSE All Share
Index by 5.48% p.a. compounded during the measurement period when
investment income is included.
The Fundamental Index outperformance clearly disproves the efficient market
hypothesis. According to modern portfolio theory it is impossible to earn
abnormal profits in excess of a market capitalisation index. The success of
Fundamental Indices proves that market capitalisation indices are not optimal
and deliver sub-optimal returns. Specifically, it can be seen that the South
African market is inefficient and that the FTSE/JSE All Share Index is not the
best tool for measuring the performance of the financial markets in South
Africa.
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An empirical investigation into cross-sectional return dispersion on the South African equity marketVan Reenen, Reenen James 12 1900 (has links)
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.
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South African security market imperfectionsJooste, Dirk 03 1900 (has links)
Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006. / In recent times many theories have surfaced posing challenging threats to the Efficient Market Hypothesis. We are entering an exciting era of financial economics fueled by the urge to have a better understanding of the intricate workings of financial markets. Many studies are emerging that investigate the relationship between stock market predictability and efficiency.
This paper studies the existence of calendar-based patterns in equity returns, price momentum and earnings momentum in the South African securities market. These phenomena are commonly referred to in the literature as security market imperfections, financial market puzzles and market anomalies. We provide evidence that suggests that they do exist in the South African context, which is consistent with findings in various international markets. A vast number of papers on the subject exist in the international arena. However, very few empirical studies on the South African market can be found in the public domain. We aim to contribute to the literature by investigating the South African case.
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Country risk and contagion : an investigation into Argentina, Malaysia, Poland and South AfricaTaylor, John (John Francis) 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2004 / ENGLISH ABSTRACT: This paper investigates the vulnerability of four key emerging markets to crises
originating in Asia in 1997; Russia in 1998; Brazil in 1999 and Argentina in 2001. The
emerging markets examined, Argentina, Malaysia, Poland and South Africa have
been chosen to represent different geographic continents. Stock market data is used
to measure for changes in unconditional correlation coefficients during and after the
crisis periods. This is to establish whether the volatility shocks generated by the
crises are what would reasonably be expected. Results suggest that there is
evidence of contagion during the Asian crisis but there is little support of significant
cross-market correlations transmitted during the Russian, Brazilian or Argentinean
crises.
Granger Causality tests are calculated to identify the existence of a relationship
between stock market returns of countries in crisis and each of the four emerging
markets. There is no evidence of causality emanating from the Thai stock market
during the Asian crisis or from the Argentinean index during the Argentinean.crisis.
Findings show that there is Granger causality from the Russian index during the
Russian crisis to the Argentinean stock market but there was no impact on the
markets in Malaysia, Poland or South Africa. Interestingly, there is no evidence that
the Polish stock market returns were affected by the Russian crisis, the Argentinean
returns by the Brazilian crisis or the Malaysian market by the Asian crisis.
The paper further examines whether there is a relationship between stock market
returns and country credit ratings and if credit risk can explain stock market returns.
Significantly for active investment management, past values of country credit ratings
can help predict stock market returns in Argentina, Malaysia and South Africa.
Therefore, country credit risk contains information about expected stock market
returns and potential investors would benefit by devising an asset allocation strategy
that incorporates the explanatory powers of credit risk. / AFRIKAANSE OPSOMMING: Hierdie verslag ondersoek die kwesbaarheid van vier sleutelontwikkelende markte
ten opsigte van krisisse wat onstaan het in Asië in 1997; Rusland in 1998; Brasilië in
1999 en in Argentinië in 2001. Die Argentynse, Maleisiese, Poolse en Suid
Afrikaanse markte is gekies om verskillende geografiese kontinente te
verteenwoordig. Effektebeurs data is gebruik om die verandering in onkondisionele
korrelasie koeffisiente gedurende en na die krisis tydperk te meet. Dit is gedoen om
vas te stel of die wisselvalligheid-skokke wat veroorsaak is deur die krisis
ooreenstem met wat wesenlik verwag sal word. Resultate dui daarop dat daar
getuienis is van besmetting ("contagion") gedurende die Asiatiese krisis, maar dat
daar min ondersteuning gebied word vir die oordraging van beduidende kruis-mark
korrelasie gedurende die Russiese, Brasiliaanse of Argentynse krisisse.
Granger "causality" toetse is uitgevoer om die bestaan van 'n verwantskap tussen die
effektemark opbrengste van die lande in krisis en elkeen van die vier opkomende
markte te identifiseer. Daar is geen bewyse van enige veroorsakende verband
voortgebring vanuit die Thai effektebeurs gedurende die Asiatiese krisis, of van die
Argentynse indeks gedurende die Argentynse krisis nie. Die bevindinge toon dat
daar Granger veroorsaking is vanaf die Russiese indeks na die Argentynse
effektebeurs gedurende die Russiese krisis, maar dat daar geen impak was op die
markte in Maleisië, Pole of Suid Afrika nie. Dit is interessant dat daar geen bewyse
is dat die Poolse effektebeurs opbrengste beïnvloed is deur die Russiese krisis, die
Argentynse opbrengste deur die Braziliaanse krisis, of die Maleisiese mark deur die
Asiatiese krisis nie.
Die verslag ondersoek verder of daar 'n verwantskap bestaan tussen effektebeurs
opbrengste en die land se kredietgraderings asook of krediet-risiko effektebeurs
opbrengste kan verduidelik. Betekenisvol vir aktiewe beleggingsbestuur is dat die
historiese kredietgraderings kan help met die vooruitskatting van effektebeurs
opbrengste in Argentinië, Maleisië en Suid Afrika. Dus bevat land kredietgraderings
informasie rakende verwagte effektebeurs opbrengste. Potensiële beleggers sal dus
baat vind in die ontwikkeling van 'n bate-allokasie strategie wat die verduidelikende
kragte van krediet risiko inkorporeer.
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