Philosophiae Doctor - PhD / The value added statement is published by about 200 of the 400 companies listed in the industrial sector on the Johannesburg Stock Exchange. This is the highest incidence of publication of such statements reported to date. It appears from a literature review that the usefulness of the statement has never been tested in depth from the perspective of the users. The importance of this study stems from the increased incidence of publication of the statement in South Africa and the lack of evidence substantiating its usefulness. The study aims to investigate the usefulness of the value added statement in South Africa from the perspective of all the different users of external financial information. The literature review revealed that, although the value added statement is based on the theory of value added and was aimed at broadening the scope of financial reporting, it did not develop to the point of being governed by statutory requirements. This resulted in diverse accounting treatment in the statement and the resultant loss of consistency and comparability, which gave an early indication from the literature that value added statements might not be very useful. The usefulness of the value added statement was evidenced by users actually using the statement and the explanatory and predictive power of value added information. No reliable evidence of users actually using the statement was found in the literature. Evidence was found that value added information had greater predictive and explanatory power than earnings, but these findings were found to be inconclusive. A questionnaire survey among users representing the South African users of external financial reports revealed little evidence of actual use of the value added statement. The general usage trend from past to present, was to use the statement less rather than more. More than fifty percent of the respondents do not intend to use the statement in future, even if the shortcomings experienced could be overcome. The major reason for this lack of support for the value added statement seems to be the shortcomings experienced by the users when publishing and using the statement, which stems mainly from the lack of statutory requirements. Another reason is that the value added statement introduces very little information that is not already available from the other financial statements. The predictive and explanatory power of value added information was examined by doing statistical analysis on empirical data of South African listed companies. This analysis indicated that value added information did not have additional explanatory and predictive power when compared to earnings and that the high inter-correlation between value added and earnings prevented value added from being used in prediction models in combination with earnings. The predictive and explanatory power of value added information is therefore limited. This research study could not find sufficient evidence of the usefulness of value added statements to justify their continued publication, neither could it find significant support for future use. It is therefore suggested that the publication of the statement be discontinued and that additional information be included in the income statement disclosures to accommodate this.

Aim of this thesis is to introduce questions about trading stocks on global stock exchange. It shows up basics ideas, which are necessary to understand the system of trading stocks, building a bussines strategy and its automatization by simple information technology techniques. In the following, there is a description of concept and implementation of business system for testing a trading strategy, which is based on historical market data analysis. The next part of this work is focused on the demonstration system and its expansion possibilities. Whole aplication is created by means of scripting language PHP and Javascript, markup language HTML, using the MySQL database system.

M. Tech (Department of Accountancy, Faculty of Management Sciences) Vaal University of Technology. / Numerous studies have been conducted to ascertain factors that impact on wealth creation of companies. It has been suggested by various researchers that economic value added (EVA) could be used to measure company wealth creation and a number of factors have been suggested that contribute to wealth creation for company shareholders. The purpose of this study is to determine the company characteristics that influence wealth creation. The study uses EVA, the dependent variable, as a measure of a company’s wealth creation. The company characteristics, independent variables, are operating capital size, capital gearing, export and domestic distribution market segments, sub-sectors and the type of product companies release into the market. Identifying company characteristics that influence wealth creation could enlighten investors on where capital should be directed in order to maximise wealth creation for the companies’ shareholders and the entire economy. Logistic regression analysis models were used to analyse 61 industrial companies listed on the Johannesburg Stock exchange (JSE) for the 10-year period of 2005 to 2014. The use of logistic regression for this analysis was necessitated by the binary nature of the data (EVA positive or negative) and logistic regression analysis is suitable for such binary data. A series of tests were conducted to assess the suitability of logistic regression analysis in evaluating the impact of company characteristics on EVA. The classification accuracy test, which shows the predictive accuracy or the forecast strength of the logistic regression model for this study yielded a forecast strength of the highest of 97.2 percent for 2006 and lowest of 63.2 percent for 2014. The results indicated the appropriateness of the logistic regression model for the study. The data on the EVA of companies were collected from INET-BFA. Other sets of data also obtained from INET-BFA include companies’ volume of operating capital, capital gearing, company product types, distribution channels and sub-sectors to which each company belongs. The historical inflation and exchange rates were also obtained and applied in comparing with EVA. The comparison was to determine if there was any relationship between EVA, exchange rates and inflation. Results of the logistic regression analysis model reveal that the sub-sector factor, capital size factor and capital gearing factor impact on EVA, while market segment and company product type do not impact on EVA. The results show that the sub-sector categories of manufacturing, retail and extraction have significant positive impact on EVA while property management does not impact on EVA. The large capital category of the capital size factor shows significant positive impact on EVA while the medium capital category shows a negative impact on EVA, leaving small capital size having no impact on EVA. The high as well as moderate capital gearing categories of the capital gearing factor show negative impact on EVA, while low gearing shows no impact on EVA. However, some years covered in the study did not have any significant factors. Results of wealth creation evaluation of the industrial companies using EVA as a metric reveals that the industrial companies created more value than was destroyed in terms of EVA. The results show that manufacturing, extraction and retail sub-sectors achieved net positive EVA, while the property management sub-sector achieved net EVA negative in the 10-year period. Furthermore, results of EVA comparison with foreign exchange and inflation rates indicated a relationship between EVA, exchange rate and rate of inflation. The results show that as inflation rises, foreign exchange depreciates, while EVA performance of companies drops during the same period. Findings and recommendations of this study are important to company managers as they offer crucial information regarding the types of activities organisations could engage in and for investors to consider the types of businesses in which to invest. The findings are also important in suggesting how companies could organise their capital structure as well as the size of the capital in order to optimise wealth creation. Such considerations by company managers and investors alike would help to increase wealth creation within the economic system. This study made use of five company characteristics, which were stated into various categories. Additional company characteristics should be used in a further study to identify other company attributes that may impact on EVA. There is also the need to carry out further studies using other methods to find out if different results could be achieved. In addition, a study is recommended to establish why no significant factor was identified in some of the years.

This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks. / Yarmouk University, Jordan.

This study analyzes corporate governance practices of foreign (non-U.S.) issuers listed on the New York Stock Exchange (NYSE) and Nasdaq. Specifically, I examine the extent to which these foreign issuers voluntarily comply with U.S. stock exchange corporate governance requirements applicable to domestic issuers. My sample consists of 201 foreign companies primarily domiciled in Brazil, China, Israel, and the United Kingdom. I find that 151 (75 per cent) of the sample firms do not elect to comply with any of the U.S. corporate governance requirements. Logistic regression analysis generally supports the hypotheses that conformance with U.S. GAAP and percentage of managerial ownership are positively associated, and that percentage ownership by major shareholders is negatively associated with foreign firms electing to comply with U.S. corporate governance rules. This evidence is relevant for regulators and investors.

Research questions: Do surprising disclosures of earnings per share determine price reactions in the corresponding direction as the aspect of the surprise?Is the effect of quarterly reports detectable in the stock price immediately following the date of information disclosure? Purpose: The purpose of the study was to examine the connection between stock prices and quarterly reports among the 30 most actively traded stocks on the Stockholm Stock Exchange. Method: The study was conducted with a deductive approach based on previous research and theories to answer the research questions. Stock data from the 30 most actively traded stocks on the Stockholm Stock Exchange was collected and compared with quarterly reports from the corresponding companies. Conclusion: The research findings confirm corresponding direction between stock price reactions and the aspect of earnings per share surprise. A connection between quarterly reports and stock price was discovered immediately following the date of information disclosure. However, the evidence was unable to be proven statistically and could therefore not be generalized. / Forskningsfrågor: Leder oförväntad EPS (vinst per aktie) till avvikelser i aktiekursen i motsvarande riktning?Är effekten av kvartalsrapporter möjlig att upptäcka i aktiepriset omedelbart efter offentliggörandet av rapporten? Syfte: Syftet med studien är att studera sambandet mellan aktiepriser och kvartalsrapporter hos börsnoterade företag vars aktier tillhör de 30 mest omsatta på Stockholmsbörsen. Metod: Studien grundas på ett deduktivt tillvägagångssätt som baseras på tidigare forskning och teorier i syfte att besvara forskningsfrågorna. Aktiedata från de 30 mest omsatta aktierna på Stockholmsbörsen insamlades och jämfördes med kvartalsrapporter för dem motsvarande företagen. Slutsats: Studien bevisar att oförväntad EPS leder till avvikelser i aktiekursen i motsvarande riktning. Ett samband mellan kvartalsrapporter och aktiepriser upptäcktes omedelbart efter offentliggörandet av rapporten som dock var ej statistiskt signifikant och därmed inte generaliserbar.

This study examines how ESG news affects companies' share values, as well as how the ESG categories individually affect share values. The study focused on Swedish listed companies and covers a total of 150 news articles from the period 2021-2024. This led to share values for 74 different companies being analyzed. The news articles were selected from Dagens Industri and the share values were taken from Avanza. The study was conducted with an event study to examine how specific events affect share values. In accordance with previous studies, a measurement period of 11 days per event was chosen. Four pairs of hypotheses were formulated and tested with two-tailed t-tests. The results showed that ESG news affects companies' share values, especially news within the environmental and governance categories. These categories were found to have a significant impact and created greater market reactions than the social news. / Denna studie undersökte hur ESG-nyheter påverkar företags aktievärden samt hur de enskilda kategorierna inom ESG var för sig påverkar aktievärdena. Undersökningen fokuserade på svenska börsnoterade företag och omfattade totalt 150 nyhetsartiklar under perioden 2021–2024. Detta ledde till att aktievärden för 74 olika företag analyserades. Nyhetsartiklarna hämtades från Dagens Industri och aktievärdena från Avanza. Studien genomfördes med en eventstudie för att undersöka hur de specifika händelserna påverkade aktievärdena. I enlighet med tidigare studier valdes en mätperiod på 11 dagar per händelse. Fyra hypotespar formulerades och testades med tvåsidiga t-test. Resultaten visade på att ESG-nyheter påverkar företagens aktievärden. Detta gällde särskilt nyheter inom kategorierna miljö och styrning, som visade sig ha en signifikant påverkan och väckte större marknadsreaktioner än sociala nyheter.

Syfte: Tidigare forskning kring aktiemarknadens reaktion på VD-byten har fått spridda resultat då reaktionerna har varit positiva, negativa och neutrala. Det saknas även forskning som har undersökt svenska företag. Syftet med denna studie är därför att undersöka hur aktiekursen påverkas av VD-byten. Faktorerna som studeras är kön, extern/intern rekrytering, ofrivillig/frivillig avgång, ägarkoncentration och tidigare framgångar. Vidare ämnar vi att studera hur interaktioner mellan dessa faktorer påverkar aktiemarknadens reaktion på VD-byten. Metod: Studien använder sig av en kvantitativ metod där en eventstudie genomförs. Datan består av 543 observationer mellan år 2002-2023 för företag på Stockholmsbörsen. Studien baseras till stor del på sekundärdata som mottagits av professor Hamberg. Datan har sedan analyserats genom en multipel regressionsanalys som genomförts i statistikprogrammet SPSS. Resultat och slutsats: Studiens resultat visar att marknaden i snitt reagerar svagt negativt på VD-byten. Inget signifikant samband finns mellan marknadens reaktion och företagets tidigare framgångar, eller könet på den nya VD:n. Marknaden reagerar signifikant positivt om den nya VD:n rekryteras externt samt om företaget har en hög ägarkoncentration. Om VD:n avgår ofrivilligt reagerar marknaden signifikant negativt. Resultatet avseende interaktionsvariablerna indikerar att marknaden endast reagerar signifikant svagt positivt om en extern VD rekryteras efter en ofrivillig avgång. Övriga interaktionsvariabler visar inte på något signifikant samband, således förkastas fyra av studiens fem hypoteser. Examensarbetets bidrag: Studien bidrar till en ökad förståelse för aktiemarknadens reaktion på VD-byten i svenska börsnoterade företag. Den ger även en ökad förståelse för hur investerare värderar de olika faktorerna vid ett VD-byte. Studien bidrar också till ökad forskning för det tidigare spridda resultatet. Förslag till framtida forskning: Ett förslag till fortsatt forskning kring VD-byten är att jämföra om marknadsreaktionen skiljer sig mellan företag som frekvent byter VD med de som mer sällan gör det. Ytterligare förslag är att exkludera de företag som släppt andra nyheter i samband med tillkännagivandet av ett VD-byte. / Aim: Previous research on stock market reaction to CEO turnovers has yielded mixed results, as the market reaction has been positive, negative and neutral. There is also a lack of research that has studied Swedish companies. The purpose of this study is to examine how CEO turnovers impact stock prices. The factors considered are gender, internal/external recruitment, voluntary/involuntary CEO departure, ownership concentration and the company's level of success. Furthermore, interactions between these factors are investigated. Method: The study is based on a quantitative research method. An event study has been conducted on a sample of 543 observations. The data consist of Swedish companies listed on the Stockholm Stock Exchange between the years 2002 and 2023. The study is largely based on secondary data provided by Professor Hamberg. A multiple regression analysis has been conducted in SPSS to test for statistical significance among the variables. Results and conclusion: The results show that the market, on average, reacts somewhat negatively to the announcement of a CEO change. There is no significant correlation between the market reaction and the company's level of success, or the gender of the new CEO. The market has a significantly positive reaction to external CEOs, and also to CEO turnover in companies with a high ownership concentration. The results, regarding the interaction variables, indicate that the market reacts with a significantly weak positive response to external CEOs if the previous CEO has left involuntarily. Other interaction variables do not show any significant correlation, thus leading to the rejection of four out of the study’s five hypotheses. Contribution of the thesis: The study contributes to a better understanding of the stock market reaction to CEO turnovers in a Swedish setting. Additionally, it offers insight into how different factors are valued by investors, enhancing the body of research within the field. Suggestions for future research: Compare whether the market reaction differs between companies that frequently change CEOs and those that change CEOs less frequently. Additionally, companies that have confounding effects related to the CEO announcement could be excluded.

Merger & Acquisitions has been one of the more central themes of the financial sphere since the beginning of the 19th century. It is an activity that is necessary for firms since it can give them competitive advantage in their markets. An acquisition can give the acquiring firms the possibility to enforce cost and revenues efficiencies, as well as the prospect of entering new markets in order to differentiate themselves. Due to the increased activity of acquisitions and its impact on global economy, there has been a development of several strategies and procedures of what shall be taken into account before and during the acquistion itself. One of the latest factors that has been on an uprising in this discussion is the importance of sustainable factors for the acquirer.  Sustainable finance has become a topic of high relevance in the past few years due to the effects of climate change, but also in regard to questions that concern the firms social and managerial contributions. New policies, regulations and standards have submerged and has therefore created a new environment for the firms to adapt after. A commonly discussed framework in the area of sustainability is ESG. ESG har the purpose of assessing and measuring a firm's contributions to sustainability from an environmental, social, and governance perspective. This framework has been lifted in many studies as one of the more influential factors among investors and managers when discussing the profitability of a firm, as well as its strategic prospects in the sector. Lately, it has also been a subject discussed among M&A researchers as well as professionals, with many arguing that ESG will be even. more important part of the merger process due to its influence on the value of the firm and its financial performance.  The aim of this study is to see what kind of correlation there is between the financial performance of an acquiring firm and its ESG scores. This will be analyzed among firms that are listed on the New York Stock Exchange and NASDAQ stock exchange that have performed at least one acquisition between 2017 and 2023. This can give the managers a glimpse of a possible pattern that might be present between acquisitions and ESG scores, since the main aim of an acquisition is to improve the firm’s financial performance. The results that can be drawn from this study is that there is a positive and statistically significant correlation between financial performance and ESG scores among these firms. This may create a new, more modern agent problem where the management is opening up more for external stakeholders over their shareholders, which can be viewed as a consequence of stronger corporate social responsibility taken by the firms.

Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie (APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September 1987 en Januarie 1989 tot Junie 1997. Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige stapsgewyse regressie-ontleding is gebruik om die bewegings van die nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir die implementering van 'n tydsberekeningstrategie. Die resultate van die studie is die volgende: • Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6 die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik. • Waar die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou- strategie vir tydperk een en twee onderskeidelik. Die belangrikste gevolgtrekking van die studie is dat die APT en 'n tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet bepaal word. / The study compares the performance of a buy-and-hold strategy with that of a markettiming strategy in the framework of the arbitrage pricing theory (APT) applied to the industrial index of the Johannesburg Stock Exchange (JSE). The study period is divided into two parts, namely January 1970 to September 1987 and January 1989 to June 1997. The long-term trend of the industrial index and every APT factor is determined by finding the best nonlinear model for each time series. Linear multiple stepwise regression analysis, with the lagged time series of the long-term trend error terms of the APT factors, is used to forecast the movement of the industrial index around its long-term trend. Decision lines were developed to implement a market-timing strategy. The results of the study are as follows: • Where the lagged time series of the long-term trend error terms of the APT factors were used as possible predictors, the risk-adjusted return of a markettiming strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand- hold strategy for periods one and two respectively. • Where the lagged time series of the first-order difference of the long-term trend error term of the APT factors were used as possible predictors, the riskadjusted return of the market-timing strategy was 10,40 percent and 1,04 percent higher than that of a buy-and-hold strategy for periods one and two respectively. The main conclusion of the study is that the APT and a market-timing strategy are theoretically and practically reconcilable on the JSE. The main recommendations of the study are the following: (1) systematic risk factors, other than macroeconomic factors, should be identified in order to increase the forecasting value of these factors in the second period of the study; (2) each step of the model developed in this study should be repeated on every index of the JSE; and (3) the influence of transaction costs and dividends on the potential benefits of a market-timing strategy should be determined. / Business Management / DCom (Sakebestuur)