Submitted as a Requirement of the Master of Management (Finance and Investment Management) University of the Witwatersrand Business School Johannesburg / The mid 2000’s saw the materialization of research into the financial engineering field of high frequency trading. It is arguable that the most prominent model to emerge from the research has been pairs trading. This idea can be extended to allow for more than two assets in a modelling method now known as statistical arbitrage. The research identifies a collection of assets with a deterministic component; it then follows a multiple linear regression to exploit persistent mispricings among these assets. Further, multiple linear regression metrics are used to identify the analytic form of the trading rule and to validate the performance of the model. The first part of model constructs combinations of assets which contain a significant predictable component by co-integration, the second part builds a predictive models for the dynamics of the mispricing using statistical model. The success of the model is demonstrated with reference to a statistical analysis of 5-minute closing prices on the Johannesburg Stock Exchange (JSE) TOP40 Index and the constituent shares of the JSE TOP40 Index. / MT2017

This paper aims to investigate the apparent existence of two anomalies in the South African stock market based on regular strike action, namely the month of the year effect and seasonality across specific sectors of the Johannesburg Stock Exchange.

A research report submitted to the Faculty of Commerce, Law and Management at the University of the Witwatersrand in partial fulfilment of the requirements for the degree of MM in Finance and Investment March 2015 / Individual investors often do not have access to share trading information and even if they do, they may not be able to understand or accurately interpret this information. Investors rely on financial analysts’ forecasts and stock recommendations in order to make profitable investment decisions. The role of the financial analyst is an important one with two key objectives: earnings forecasts and stock recommendations (Loh and Mian 2006). These financial analysts play a significant role in the efficient functioning of global stock markets. The aim of the financial analyst is to evaluate shares trading on the stock market and their future price appreciation or depreciation to develop new buy, hold or sell recommendations to maximize shareholder wealth. The extant literature recognizes that new buy, hold and sell recommendations made by financial analysts have a substantial impact on the market (Womack, 1996). Research on financial analysts has become prevalent in financial literature with the promotion of financial analysts to the level of integral economic proxies worthy of individual examination (Bradshaw, 2011). The aim of this research report is to investigate whether financial analysts’ stock recommendations enhance or destruct shareholder wealth. The extant literature on financial analysts’ stock recommendations and forecasts suggests that the analysts’ recommendations have both a significant and an insignificant effect on stock prices in the market following the months after the change in recommendation is made. The accuracy of the financial analysts’ stock recommendations are measured in the months following the change in recommendation through determining if the recommendation outperforms the market benchmark. This report examines the effects of analysts’ recommendations on the performance of stocks on the Johannesburg Stock Exchange and concludes through determining if the share underperforms or outperforms the market benchmark surmising that to a varying degree there is value to be found in financial analysts’ stock recommendations for the individual investor.

A research report submitted to the Faculty of Commerce, Law and Management, in partial fulfilment of the requirements of the Degree of Master of Management in Finance and Investments / The aim of this study is to determine if companies listed on the Johannesburg Stock Exchange that comply with Broad Based Black Economic Empowerment (“BBBEE”) policy exhibit abnormal operating financial performance. Whereas previous studies focused on the impact of BBBEE on shareholder wealth by measuring abnormal returns on share prices, this study focuses on the impact of BBBEE on operating financial performance of BBBEE companies. Further, previous studies have focused on just the ownership element of the scorecard; this study BEE considers all the elements of the scorecard by using BEE scores to measure compliance. BBBEE scores, which are used to determine compliance, are obtained from Empowerdex website as well as publications of the Financial Mail Top Empowered Companies (“TEC”) for the years 2004 to 2013. This study uses operating cash flows return as a proxy for operating financial performance. Industry adjusted cash flow returns are used to detect abnormal operating performance. The study uses a sample of 203 companies. The findings show that BBBEE compliant companies achieve a positive abnormal cash flow return of 2.31% over a 10 year period. Further, the findings show that the industry in which a company operates also influences whether or not a company benefits from BBBEE compliance. The study also reveals that BBBEE compliance mostly benefits companies during favourable economic periods as BBBEE companies achieve positive excess returns of 4.15% in the period prior to the economic crisis. Finally, the study reveals that the highest compliant firms are not necessarily the highest performers

A research report submitted to the School of Economics and Business Science, Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment (50%) of the requirements for degree of Master of Commerce in Finance Johannesburg, South Africa May 2016 / The empirical literature provides conflicting assessments about how firms choose their capital structure and how macroeconomic variables influence capital structure decision making. There has been a minimal research of the impact of macroeconomic conditions on the adjustment of capital structure towards target, specifically in the context of South Africa. This study employs a sample of South African companies listed on JSE Limited stock exchange from 2000 - 2014 to investigate: (1) the relationship between corporate leverage and firm characteristics as well as macroeconomic variables; (2) the impact of extreme capital market frictions on capital structure decisions; and (3) the relation between macroeconomic conditions and capital structure adjustment speed using an integrated partial adjustment dynamic capital structure model. The research results find evidence that certain firm characteristics and macroeconomic factors have pronounced influence on the capital structure of the sample of listed companies. The empirical results are compared to previous international evidence from developed markets and are in line with the international evidence. Results show that profitability, size and tangibility are significant determinants of firms’ capital structure in the pre- extreme capital market friction periods. The rand crisis of 2001 – 2002 and the global financial crisis period of 2007 – 2009 are considered extreme capital market friction periods. The findings highlights that profitability and size have a different relation to leverage during these extreme capital market friction periods. The extreme capital market friction dummy is significant which means that capital supply conditions are also amongst important factors that need to be considered while determining the financing mix during periods where the supply of capital is disrupted. The findings highlight that demand-side and supply-side factors need to be considered in firms’ financial decision making processes, especially during periods where there is extreme capital markets friction. The research also finds evidence supporting the prediction of theoretical framework that firms adjust to target leverage slower in good states than in bad states, where states are defined by real GDP growth rate and inflation rate. / MT2017

Thesis (M.Com. (Accounting))--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Accountancy, 2017. / This study investigates whether there is a significant difference between the capital structures of firms listed on the JSE’s main board and those listed on the AltX. The factors influencing the differences are also explored in detail. Non-financial firms listed on the JSE and AltX respectively between 2011 and 2015 were chosen for the study. A panel data regression model was used and five measures of leverage were tested. The findings indicate that the exchange on which a firm is listed has an impact on its capital structure, with firms listed on the AltX having significantly higher levels of leverage than those listed on the JSE’s main board. In support of the pecking order theory, AltX firms are found to be more likely to draw on their internal funds as a first source of finance, even though they are generally less profitable than JSE firms and have less internal funds available. Moreover, AltX firms are found to be more reliant on more accessible short term financing than JSE firms, making them more susceptible to liquidity risks. This higher risk is congruent with the finding that the availability of tangible assets to offer as collateral appears to be a more significant determinant of leverage for AltX firms. The AltX was established to support growth of small and medium enterprises (SMEs) by enabling access to finance. Thus despite the establishment of the AltX, SMEs still face considerable constraints to accessing capital. Keywords: Capital structure, AltX, JSE, SME, information asymmetry / GR2018

A metrópole de São Paulo posiciona-se como principal praça financeira do território brasileiro. Nela, situa-se a Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBovespa), que é, atualmente, a única bolsa de valores em operação no país. Avaliando o processo de desenvolvimento do mercado de capitais brasileiro, buscamos entender o surgimento e a transformação das bolsas de valores, discutindo a centralização e a concentração das instituições financeiras no território e suas implicações. Buscamos também entender como se dá o processo de expansão e de internacionalização da bolsa de valores brasileira, observando como São Paulo se insere como participante de peso no mercado financeiro internacional e questionando as consequências da concentração dessas atividades em poucos pontos do território brasileiro, assim como os efeitos da expansão das atividades financeiras no mundo contemporâneo. / The metropolis of São Paulo stands as the main financial center in the Brazilian territory. The São Paulo Stock, Commodities and Futures Exchange is currently the only stock exchange operating in the country. Evaluating the process of development of the Brazilian capital market, we seek to understand the emergence and expansion of the stock exchanges, discussing the centralization and concentration of financial institutions on the territory and its implications. We also intend to understand the process of Brazilian stock exchanges expansion and internationalization. For this, we observe how São Paulo inserts itself as a heavy participant of the international financial markets, questioning the consequences of the concentration of this activity in a few points of the Brazilian territory, and also the effects of the expansion of financial activities in the contemporary world.

Neste trabalho analisa-se a relevância de saltos no apreçamento de derivativos de commodities através da comparação de dois modelos. O primeiro leva em consideração um convenience yield com reversão à média, enquanto o segundo é uma generalização do primeiro com saltos no preço à vista. Ambos os modelos são estimados por meio de uma abordagem Bayesiana, sendo as distribuições a posteriori simuladas com o uso de técnincas da família MCMC. Dados de petróleo, trigo e cobre são utilizados para fins de estimação. A análise econométrica indica significância estatística para saltos, mas não encontrou-se evidência significativa de que saltos melhoram o apreçamento de derivativos. / In this work we analyze the relevance of jumps in the pricing of commodity contingent claims by comparing two models. The first takes into account mean-reverting convenience yields, and the second is a generalization of the first with jumps in spot prices. Both models were estimated using a Bayesian approach, and posterior distributions where simulated using MCMC techniques. Oil, copper and wheat data where used for estimation proposes. Econometric analysis indicates statistical significance for jumps, but we found no strong evidence that jumps improve derivative pricing.

O objetivo deste estudo foi responder se, entre 1995 e 2000, a captação de recursos para os fundos de investimentos em ações esteve condicionada aos crescentes ganhos de capital conseguidos na BOVESPA ou se, ao contrário, os ganhos de capital da BOVESPA foram influenciados pela crescente captação de recursos através dos fundos de investimentos em ações. Para responder a estas duas questões foi aplicado o teste de causalidade de Granger (1969) sobre os retornos dos investimentos na BOVESPA e os volumes de recursos captados pelos administradores de fundos de ações, no período estudado. / The goal of this study was to answer if, between 1995 and 2000, the flow of resources to the stock mutual funds has been conditioned to the capital market profits made by investors of the Sao Paulo Stock Exchange (BOVESPA) or, on the contrary, the capital market profits have been influenced by the ever growing resources flow from the mutual funds industry. To answer those two questions the Granger (1969) causality test was used with the rates of return of the investments in BOVESPA and the flow of resources from the asset managers, during the sample period.

Este trabalho descreve o comportamento do Judiciário brasileiro com relação aos derivativos. Para tanto, exploramos decisões dos Tribunais de Justiça entre os anos de 2006 e 2010, conforme metodologia específica. Como suporte da pesquisa jurimétrica, analisamos os aspectos financeiros (utilidade e risco, espécies e estratégias, locais de negociação) e as características jurídicas (jogo e aposta, natureza contratual, valores mobiliários) dos derivativos. / This paper describes the position of the Brazilian courts on derivatives. For this purpose, we examine decisions rendered by the Courts of Appeals between the years of 2006 and 2010, in accordance with a specific methodology. As a foundation for jurimetrics research, we analyse the financial aspects (utility and risk, species and strategies, trade environment) and the legal characteristics (gambling, contractual nature, securities) of derivatives.