Detection of 'anomalies', empirical regularities that are inexplicable within a preeminent or accepted paradigm, is a key aspect of the operation of scientific endeavour. The dominant theories of financial economics, those deriving from the CAPM/APT literature, hold that there should not exist persistent differences in the returns to assets across calendar frequencies. An extensive review of the literature reveals that in a wide variety of assets and markets there is evidence that returns differ according to the calendar frequency, in particular across days of the week and months of the year and around recurrent holidays. However, this review also reveals considerable room for increased methodological and statistical sophistication. In particular, the nature and extent of the data indicate that techniques based on robust regression, non-parametric statistics and Bayesian inference are more appropriate than the predominantly OLS based approaches displayed in the literature. Papers that adopt these more sophisticated approaches generally find much weaker evidence for such calendar anomalies. In essence, the Irish Stock Exchange operated free from exchange controls and in a broadly homogenous monetary and economic environment from 1988 to 1998. Daily returns from 1988 to 1998, on official equity indices, and from 1993 to 1998 on equal and value weighted equity indices, are examined. The evidence is that even when more sophisticated and appropriate techniques are used there is still some evidence for a daily pattern in the returns to these indices. However this pattern is dissimilar to that found elsewhere, consisting of a midweek positive peak as opposed to the more commonly found low returns at the start of the week and higher returns on Friday. This pattern is not a function of the settlement system, does not appear to be related to the pattern of either microeconomic (firm-specific) or macroeconomic information releases, nor does it appear to be a function of endogenous news generation. Previous international research indicates a January peak in returns, while previous research on the Irish market had also found an April peak. While the investigation here of the monthly pattern of returns confirms, in a statistically and methodologically robust manner, the January peak no evidence is found of an April peak. Examination of the return pattern around exchange holidays indicates that, in common with other markets referenced in the literature, there is a rise in returns before a holiday. However, on decomposition into local and international components we find that although the local effect is strong this effect is negative, which is a major point of departure from previous research findings.

The capital asset pricing model (CAPM) has for half a century been considered a pillar of modern finance in describing the relationship that is deemed to exist between the risk of owning an asset and the expected future returns from that asset. The model has however been subject to criticisms and attacks in the literature and some doubt remains about the validity and successful application of the model. This research builds on previous empirical testing of the CAPM with a specific focus on the cost of equity of companies listed on the Johannesburg Stock Exchange. The approach of this research was to use market values, as indicated by the share price of a listed company and discounted free cash-flow valuations to determine both an estimated and implied cost of equity. The aim was to test the validity of the CAPM empirically and potentially find an accurate, implied cost of equity for the South African equity market, by comparing the different rates and looking for statistical correlation between them. While no correlation could be found, this study did provide evidence that the cost of equity and the market risk premium in South Africa is potentially higher than previously thought. / Dissertation (MBA)--University of Pretoria, 2013. / ccgibs2014 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted

M.Comm. / The Johannesburg Stock Exchange provides an opportunity for investors to realise huge returns. A variety of tools are used by these investors to invest capital in shares for growth in excess of the market movement. Technical analysis is one of the techniques claimed by some parties to be the key aspect in investment decision making. A trading system can be derived from technical indicators to provide the investor with buying and selling signals. It is the objective of this investigation to make a judgement on the effectiveness of a few technical trading systems based on performance relative to the normal market movement. The trading systems under investigation are the basic moving average system, multiple moving average crossing system, real strength indicator system, multiple moving average convergence-divergence trading system, moving average chord system and the market momentum system. The results show that these trading systems all performed worse than the normal market movement on the 95% statistical confidence interval. It is therefore concluded that the use of technical analysis in isolation will not insure a good investment decision on the Johannesburg Stock Exchange.

Recent media reports surrounding the 2010 Soccer World Cup infrastructure, and the fines imposed by the Competition Commission drew the public’s attention to the impact that regulatory fines have on the returns earned by shareholders in these convicted companies. The purpose of the research was to establish if any significant impact on shareholder returns can be identified as a result of regulatory fines. By using event study methodology, the researcher aimed to establish if an impact can be identified at the various stages of the regulatory process. Statistical tests were conducted via the implementation of Monte Carlo Simulations at the various stages of the process, to ensure that the findings were significant. The studies revealed that shareholder returns were neutrally affected at the initiation and payment stages of the process, but that the returns were positively affected at the conviction stage. A style analysis (longitudinal study) was undertaken to determine if a portfolio consisting of stocks of convicted companies would out-perform the market over certain determined timeframes. As a baseline test, a portfolio was constructed of stocks of companies which have never been fined. The results revealed that both portfolios out-performed the market (ALL160) over a 24-year period, but that the portfolio consisting of convicted companies did not out-perform the portfolio of companies which have never been fined. / Dissertation (MBA)--University of Pretoria, 2014 / zkgibs2015 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted

Tobin’s q ratio employs a fundamental principle that enterprise values cannot deviate excessively from, namely the replacement value of the assets required to generate the future cashflow of the business. This ratio formed the cornerstone of this research that investigated whether an index based on the ratio would indicate time periods of market missed valuations; determined whether the q effect exists and the probability of its persistence over a 24 year period across different ranked quintile portfolios. Finally the research examined a new supply approach valuation technique that altered the q ratio, and could improve the spread in the q effect to improve investment yields. The Tobin’s q index was compiled using the most recent estimate and the index included the top 160 shares by market capitalisation, excluding the resources and financial sector for firms listed from 1990, to create a representative index for the Johannesburg Stock Exchange. Tobin’s q long term average was 1,83 at December 2013, indicating a consistent upward bias mainly due to share valuations. A time serious approach was followed to compare cumulative returns between different ranked quintile portfolios, ranked by Tobin’s q to analyse for style effects. Tobin’s q displayed style characteristics, although it was not as prominent as other value indicators. The adjustment from the supply approach could not improve investment yields. / Dissertation (MBA)--University of Pretoria, 2014. / zkgibs2015 / Gordon Institute of Business Science (GIBS) / Unrestricted

京都大学 / 0048 / 新制・課程博士 / 博士(地域研究) / 甲第22674号 / 地博第276号 / 新制||地||105(附属図書館) / 京都大学大学院アジア・アフリカ地域研究研究科東南アジア地域研究専攻 / (主査)教授 三重野 文晴, 教授 高橋 基樹, 准教授 町北 朋洋 / 学位規則第4条第1項該当 / Doctor of Area Studies / Kyoto University / DGAM

This thesis deals with the implementation of the software for automated stock trading based on trend indicators and oscillators. It describes the various signals that are provided by formations in charts and technical indicators, but also the possibility of using advanced artificial intelligence methods. This document describes entire development process of the software from individual parts to the folding of these parts into one system. It focuses on the optimization processes of individual parts, as well as a complete system. This thesis also deals with the testing of the system on historical data and its application on the latest data. It introduces the future plans, deployment options to the real market and its further improvement in order to develop ideal business system capable of autonomous thinking and trading.

Financial market anomalies are constant subjects of debate because of their devotion form the foundational financial theories. Fama and French (2008) referred to the momentum effect as the premier anomaly. Thus, this study sought to apply the concept of momentum to examine three investment strategies. The first strategy was price momentum, an existing investment strategy but which was used as a comparison to the returns of the second and third strategies. The second strategy applied momentum to return on equity, operating cash flow and earnings before interest, tax, depreciation and amortisation, whilst the third strategy combined stocks with momentum in both stock price and respective fundamental variable.Using a non-probability sampling method, a total of 109 stock listed on the JSE over the period 1999-2010 were tested. Momentum in stock price and respective fundamentals was used to rank stocks into quintiles. The viability of each investment strategy was measured by comparing its average and risk adjusted returns to the market.The results revealed that fundamental momentum can beat market returns, with the highest amount of significant differences found using momentum in return on equity. The combination strategy also reported results of beating the market, with the higest amount of significant differences found using the 12 month fundamental momentum combined with 6 month price momentum. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

The ANC government has implemented various mechanisms to promote inclusivity of all economic citizens over the past 15 years. The main objectives of all the policies was to promote economic transformation in order to enable meaningful participation of black people in the economy and to change the racial composition of ownership and management structures of existing and new enterprises. The purpose of the research was to determine the contribution of Broad-Based Black Economic Empowerment (BBBEE) to the financial performance of companies on the Johannesburg Stock Exchange (JSE) during the economic recession. The underlying assumption was that companies with greater overall BBBEE compliance rating should outperform companies with a lower overall BEE compliance rating. The top BBBEE rated companies on the JSE were analysed to determine whether these companies outperformed that sector indices. Market-to-book-value, Price-Earnings Ratio and Annual Return were used as financial performance measures. The results showed that there was a positive correlation between the companies’ BBBEE rating and the financial performance. On further investigation it was revealed that on average the companies with greater BBBEE ratings did not outperform companies with lower BBBEE ratings nor did they outperform the sector indices Copyright 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. Please cite as follows: Van Heerden, JH 2011, Contribution of broad-based black economic empowerment to the financial performance of companies listed on the JSE during a recession, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-03202012-121101 / > F12/4/211/gm / Dissertation (MBA)--University of Pretoria, 2011. / Gordon Institute of Business Science (GIBS) / unrestricted

The paper evaluates whether the Lusaka Stock Exchange (LuSE) is weak form efficient, and whether stock price movements conform to the random walk hypothesis of non-predictability in future price movements based on past price information. The methods employed are the parametric and non-parametric individual as well as multiple variance ratio tests. In addition, the study incorporates the Runs Test. The study further examines seasonality in Zambian stock returns of the day of the week effect as well as monthly related effects. The period of analysis is from 3rd January, 2006 to 17th February, 2014. The study incorporates daily data as well as monthly data of the LuSE All share Index in order to investigate the random walk hypothesis as well as seasonality effects of the Zambian market. The period of analysis is broken down into two sub periods after accounting for multiple structural breaks in the data. The results of the study are mixed, the results of the Runs test finds the Zambian stock market price series to be mutually independent and conform to a random sequence, and are as such unpredictable. While the variance ratio tests reject the random walk hypothesis for the Zambian market, and as such, support the view of the use of technical trading strategies in order to outperform buy-and-hold strategies. The study finds no evidence of any seasonality in the data, either for daily data as well as monthly data. As such there is evidence that investors may acquire returns greater than those of the market, however, transaction costs and commissions would have to be minimal in order to exploit any patterns in the stock price series of the Lusaka stock exchange.