M.Comm. (Financial Management) / Although general studies have been conducted on the agency problem, such studies have not focused on the relationship between executive remuneration and company performance. Many of the studies conducted abroad have focused on quantitative methods using regression analysis to understand the relationships between diverse financial performance measures and a variety of performance appraisal techniques. This study aims at establishing the relationship between executive remuneration and company financial performance on the basis of 20 of the largest companies listed on the Johannesburg Stock Exchange Ltd (JSE). It has been observed that JSE-listed South African companies have almost a standard governance framework for determining salary structures of CEOs and directors. Furthermore it can be seen that most performance-linked payouts for CEO's and directors are based on measurement criteria established which are based on actual performance levels achieved. For this reason, it may be concluded that short-term targets are crucial to keeping a business going, to ensure positive cash flows, manage working capital, and achieve year-on-year growth of revenues and profits. However, to ensure survival and sustainability of the business in the changing global and local environments, long-term strategies should be formulated and various steps should be taken by CEOs, supported by other executive and non-executive directors. This research focuses on short-term goals and their influence on executive remuneration for CEOs and CFOs. The performance measures selected for this study were revenues, profits, share price and net asset value. These performance measures selected are supported by the relevant academic literature. The results of this study reveal that CEOs and CFOs have received lower remuneration in the form of bonuses as a result of companies not achieving their short-term goals.

While the Efficient Market Hypothesis (EHM) has been widely accepted as robust by many researchers in the field of capital markets, the hypothesis’ robustness has been under increased scrutiny and question lately. In the light of the concerns over the robustness of the EMH, the weak form efficiency of the JSE is tested. Stock returns used in the analysis were controlled for thin trading and it was discovered that once returns are controlled for thin trading, they are independent of each other across time. Some of the previous studies found the JSE to be inefficient in the weak form but this research found that the JSE is efficient in the weak form. A comparison is also made between the JSE and four other African stock markets and the JSE is found to be more efficient than the other markets. The developments on the JSE, which have improved information dissemination as well as the efficiency of trading, contributed to the improvement of the JSE’s efficiency. The improvement in operational efficiency and turnover from the late 1990s has also made a major contribution to the improvement in the weak form efficiency of the JSE. Theory proposes that if markets are efficient then professional investment management is of little value if any; hence the position of professional investment managers in efficient markets is investigated. Although the JSE is found to be efficient, at least in the weak form, it is argued that achieving efficiency does not necessarily make the investment manager’s role obsolete. Investment managers are needed even when the market can be proved to be efficient.

This study investigates FTSE/JSE All Share index monthly and daily equity returns for evidence of the January and TY effect. Four different measures of monthly return are analysed for the 1995-2006 period, whilst daily returns are analysed during the 1995-2005 period. In addition to this, analysis is conducted on monthly Fama-MacBeth risk premium estimates tor the FTSE/JSE All Share Index. Descriptive statistics are first analysed, followed by ANOV A or Kruskai-Wallis tests, the paired t-test and finally dummy variable regression analysis in investigating the seasonality of FTSE/JSE All Share Index returns and risk premia. Analysis on monthly returns reveals an absence of the January effect, however a positive slightly statistically significant December effect is found. Thus, investors earn abnormal returns on equity during the month of December. The results from the Fama-MacBeth risk premia estimates reveals highly statistically significant negative risk premia seasonal patterns during March, July and September. Thus, investors are in fact penalised for investing in equities during these months. In addition, the analysis reveals an absence of a December effect in risk premia, which contradicts the risk-return trade-off central to modem finance. The daily return analysis reveals a highly significant Turn-of-the-Year effect (TY), which suggests that investors earn abnormal returns on days at the turn of the year. Therefore, it is concluded that a December effect is apparent in South African equity monthly returns, whilst a March, July and September effect is apparent in South African equity risk premia contradicting the risk-return trade-off central to modem finance. In addition to this, a TY effect is present in South African equity daily returns.

Mycket av forskningen inom den finansiella ekonomin bygger på den effektiva marknadshypotesen som antar att information är korrekt prissatt och att det enda sättet för investerare att systematiskt nå överavkastning är att exponera sig för mer risk. I och med detta blir det relevant att studera om det finns andra sätt för att uppnå detta. En föreslagen metod för att uppnå detta är via De Bondt & Thalers (1985) contrarianstrategi, att köpa översålda respektive blanka överköpta aktier. Det råder dock fortfarande meningsskiljaktighet bland forskare om huruvida dess förekomst är rådande eller ej. Vidare är ett annat outforskat område om dess effekt skiljer sig åt beroende på konjunktur. Syftet med studien är således att undersöka om det existerar överreaktioner på OMXS30 vid stora endagsförändringar på aktiekurser samt om dessa eventuella överreaktioner skiljer sig beroende på rådande konjunkturfas. Data från 1996 till 2017 har använts med en formeringsperiod på 20 dagar och en utvärderingsperiod på 50 dagar.Resultatet mynnade ut i en överreaktionseffekt för de identifierade förlorareventen samt en motsvarande underreaktion för vinnareventen. Konjunkturen visade sig ha en betydande påverkan då överavkastningen var betydligt högre för båda urvalen under perioder av lågkonjunktur. / The efficient market hypothesis is one of the central aspects in financial research which assumes that assets are correctly priced from all available information and that the only way to achieve abnormal return is for investors to expose themselves to more risk. This gives an incentive to investigate whether there are other ways to achieve this. One method could be through De Bondt and Thalers (1985) contrarian strategy, which means that investors buy oversold stocks. The other way around goes for overbought stocks, in which investors consequently short them. There is however a variation in the research whether this method is proven valid or not. Another unexplored subject is regarding its validity in different business cycles. The purpose of this study is to explore if overreactions exists at the Swedish stock index OMXS30. This will be based on substantial daily price movements and whether these potential overreactions differ through the business cycle. Data on all companies included in the index from 1996 to 2017 was analyzed through an event study with an estimation window of 20 days and 50 days post event window.The main findings of this study show that loser stocks did overreact but that winner stocks in an opposite way underreacted. This means that both samples had a positive abnormal return. This abnormal return was substantially higher during recessions than expansions, which indicates that the business cycle has an important role when studying overreactions.

The thesis concerns with securities trade settlement. It is separated into two parts, including four chapters. The first part is a theoretical base, as a preparation for the following, practical part. This part includes stock exchange trades, over the counter trades and their settlement. International settlement process is secured by Euroclear bank. MiFID, MiFID II and MiFIR are very important in this thesis as a directive regulation of the capital market.

Whether investor sentiment has any authority over financial markets has long been a topic of discussion in the field of finance. This study investigates the relationship between investor sentiment and share returns in South Africa. Determining this relationship will add to the existing work which has documented important determinants of share returns on the stock exchange in South Africa, as well adding to the inconclusive link between sentiment and the South African financial markets. Does sentiment influence share returns or do share returns influence sentiment? Using quarterly data for the period 1996-2010, the study makes use of the FNB/BER Consumer Confidence Index as a proxy for investor sentiment, and the FTSE/JSE All Share Index to represent the South African financial markets. A regression analysis was conducted along with granger-causality tests, impulse response functions and variance decompositions in order to determine the nature of this relationship. The results showed that investor sentiment has a statistically significant relationship with share returns in South Africa. However, sentiment is only able to account for a very small portion of the variation in returns, with returns able to account for a larger portion of the variation in sentiment. Therefore investor sentiment is not a suitable predictor of share returns in South Africa. In addition, granger-causality tests indicate that returns are actually the leading indicator, suggesting that changes in South African investors’ confidence levels occur following changes in the state of the JSE. The limitations of the study include the infrequent nature of the sentiment measure used, thereby failing to capture important changes in sentiment and their immediate impact on financial markets. In addition, the sentiment of foreign investors must be taken into account due to the large foreign investment in the JSE.

The day-of-the-week effect in share prices is one of the most extensively researched anomalies, especially in developed markets. However, emerging African stock markets have received little attention in this regard. This study breaks new ground in using non-parametric tests directly on skewness and kurtosis to examine whether the day-of-he-week effect exists in nine listed stock market sector indices of the JSE Securities Exchange of South Africa (JSE). Different day-of-the-week effects were found to be present in the statistical moments of returns of these nine JSE sectors

This study investigates the existence of the value premium in South Africa’s equity market, and tests extrapolation as a possible explanation for it. The value premium refers to the widely reported superior performance of share price returns of value companies compared to growth companies. The value premium represents an anomaly in mainstream rational finance theory, because it should not persist, unless it could be explained as the result of some composite form of risk. What is highly vexing is the fact that the value premium not only persists in most financial markets over a long period, but that the risk explanation cannot be upheld convincingly. This contributed to the rise of behavioral finance, an approach which introduces psychological factors to provide new explanations for financial phenomena. The behavioral finance explanation for the value premium observation is extrapolation (the tendency to project recent experience too far into the future). This study applies propositions and methods from behavioral finance to investigate the South African equity market. The existence of a value premium in South Africa was investigated by using twenty-nine years’ worth of accounting and share price data. The study employed one- and two-dimensional tests for portfolio formation, and tracked share price returns for up to five years after portfolio formation. The results indicated that a statistically and economically significant value premium existed in South Africa for the period between 1972 and 2001. Extrapolation as a potential explanation for the value premium observation was investigated by applying internationally used methods. Extrapolation was found to provide a robust explanation for the South African value premium.

No abstract available. Copyright / Dissertation (MCom)--University of Pretoria, 2011. / Accounting / unrestricted

The Johannesburg Stock Exchange market was tested for the existence of the random walk hypothesis using All Share Index (ALSI) and time series data for the period between 2000 and 2011. The traditionally used methods, the unit root tests and autocorrelation test were employed first and they all confirmed that during the period under consideration, the JSE price index followed the random walk process. In addition, the ARIMA model was built and it was found that the ARIMA ( 1, 1, 1) was the model that best fitted the data in question. Furthermore, residual tests to help determine whether the residuals of the estimated equation show random walk process in the series were done. It was found that the ALSI resembles series that follow random walk hypothesis with strong evidence of RWH indicated in the conducted forecasting tests which showed vast variance between forecasted values and actual indicating little or no forecasting strength in the series. To further validate the findings in this research, the variance ratio test was conducted under heteroscedasticity and it also strongly corroborated that the existence of a random walk process cannot be rejected in the JSE. It was concluded that since the returns follow the random walk hypothesis, it can be said that JSE is efficient in the weak form level of the EMH and therefore opportunities of making excess returns based on out- performing the market is ruled out and is merely a game of chance. In other words, it will be of no use to choose stocks based on information about recent trends in stock prices.