Thesis (Ph. D.)--University of Washington, 2008. / Includes bibliographical references (leaves 120-124).

Thesis (M. Econ.)--University of Hong Kong, 1996. / Includes bibliographical references (leaf 76-79).

Thesis (M.Econ.)--University of Hong Kong, 1996. / Includes bibliographical references (leaf 76-79). Also available in print.

Thesis (Ph. D.)--UCLA, 2009. / Vita. Description based on print version record. Includes bibliographical references (leaves 135-138).

Thesis (Ph. D.)--University of Texas at Austin, 2003. / Vita. Includes bibliographical references. Available also from UMI Company.

Thesis (MBA)--Stellenbosch University, 2015. / ENGLISH ABSTRACT:The main aim of this study was to determine the effect of unanticipated information, or noise, on the returns of cap-weighted portfolios in various segments of the JSE for the period 1995 to 2014. Capital Market Theory states that the optimal ex ante portfolio comprises all shares in a market/segment weighted by ex ante market capitalisation. The optimal ex ante portfolio is however rarely the optimal ex post portfolio, because it is underweighted in shares that will unexpectedly become ‘winners’ during the investment period and overweighted in those that will become ‘losers’. According to Fuller, Han and Tung (2012), all investors in a segment would gain maximum alpha from a portfolio weighted by ex post market capitalisation – in other words, a ‘perfect foresight’ (PF) portfolio. The excess return of the PF portfolio over the benchmark portfolio therefore is an estimate of the negative effect of noise on the return of the benchmark portfolio. In this study, the returns of PF portfolios were compared with the All Share, Large Cap, Mid Cap, Small Cap, Financials, Industrials and Resources segments of the JSE. Intuitively, information to guide decisions on portfolio weighting would be more valuable and deliver more profit when the cross-sectional standard deviation of share returns is high. A secondary aim was therefore to investigate the correlation between cross-sectional standard deviation and PF excess return. It was found that a strong positive correlation (more than 88%) existed between cross-sectional standard deviation and PF excess return in all segments. In ascending order of cross-sectional standard deviation and PF excess return, the results for the segments were Financials (25% and 5%), Resources (28% and 6%), Large Cap (29% and 8%), Industrials (30% and 9%), All Share (32% and 9%), Mid Cap (36% and 13%) and Small Cap (43% and 17%).

Thesis (Ph. D.)--University of Washington, 1998. / Vita. Includes bibliographical references (leaves [163]-168).

Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2004. / Includes bibliographical references. Also available in electronic version. Access restricted to campus users.

Study project (MBA) -- University of Stellenbosch, 2001. / University of Stellenbosch Business School / ENGLISH ABSTRACT: This study considers share tips published in a respected publication, and determines whether an investment strategy based on the recommendations of its journalists could allow investors to exceed the stock market average. Six journalists were selected, and the recommendations that they made over a 30-month period grouped into “buy” and “do not buy” recommendations. The change in price of the recommended shares was measured after periods of one week, one month, three months and six months after the date of publication and after inclusion of dividends paid during those periods, returns were calculated. The returns attained for each share was compared to the return on the JSE-Overall Index during that period, the difference between the two being the excess return of the share. The excess returns of the shares recommended by each journalist were used to calculate portfolio excess returns, on which tests of statistical significance carried out. The portfolio of one journalist showed statistically significant excess returns in all four periods under review. One other achieved a statistically significant excess return over 1 week. No other portfolios achieved significant excess returns over the market. / AFRIKAANSE OPSOMMING: In hierdie werkstuk word die aandeelwenke wat in ‘n gerespekteerde tydskrif gepubliseer is, ondersoek om vas te stel of ‘n beleggingsstrategie wat op die wenke van die joernaliste gebaseer is, die mark gemiddlede opbrengs kan klop. Ses joernaliste is gekies, en hul wenke oor ‘n periode van 30-maande is geklassifiseer in “koop” en “nie koop” wenke. Vir die “koop” wenke is die prys-verandering oor tydperke van een week, een maand, drie maande en ses maande gemeet. Opbrengste met insluiting van dividende is bereken. Die opbrengste is met die JE-algehele indeks se opbrengs vir elk van die periodes vergelyk, en die verskil is as bo-opbrengste gedefinieer. Die bo-opbrengste vir elke aandeel is gebruik om portfolio bo-opbrengste te bereken, weereens vir elk van die periodes. Hierdie bo-opbrengste is vir statistiese betekenisvolheid getoets. Die portfolio van een joernalis het statisties beteksnisvolle bo-opbrengste vir al vier periodes getoon. Die portfolio van een ander joernalis het statisties betekenisvolle bo-opbrengste vir ‘n hou-periode van een week getoon. Geen ander portfolios het bo-opbrengste getoon nie.

Thesis (MBA)--Stellenbosch University, 2007. / ENGLISH ABSTRACT: When considering the expected returns from an investment, investors often focus on the appreciation of the share price (capital appreciation) and ignore the contribution of dividends paid, thus overlooking a potentially significant contributor to returns. The objectives of this study are to determine the respective contributions of dividends and capital appreciation to the total returns of South African equities over a 10-year period, beginning 31 July 1996 and ending 31 July 2006, by using the Top 40 index of shares listed on the Johannesburg Securities Exchange over that period. The study also aims to determine whether dividend policy should be considered as carefully as the share's potential capital appreciation by investors when constructing portfolios. The study determined that dividends paid contributed more than 50% of the total return for 10% of the shares in the sample tested. In total, dividends contributed more than 25% of the total return for 33% of the shares. The study also concludes that a share's dividend policy should be considered carefully, as dividends paid may be a significant contributor to a share's expected return. / AFRIKAANSE OPSOMMING: Wanneer die verwagte opbrengste van 'n belegging in ag geneem word, Ie beleggers dikwels klem op die waardestyging van die aandeleprys (kapitaalappresiasie) en ignoreer die bydrae van dividende wat betaal word. Hulle sien nie dividende as 'n potensieel belangrike bydraer tot opbrengste raak nie. Die doelwitte van hierdie studie is om die onderskeie bydraes van dividende en kapitaalappresiasie tot die totale opbrengs van Suid-Afrikaase aandele oor 'n tydperk van 10 jaar - vanaf 31 Julie 1996 tot 31 Julie 2006 - te bepaal deur die Top 40 indeks van aandele te gebruik wat in daardie tydperk op die Johannesburgse Aandelebeurs genoteer was. Die ondersoek wil ook bepaal of beleggers net so versigting na dividendbeleid as na aandele se potensiele kapitaalappresiasie behoort te kyk wanneer portefeuljes saamgestel word. Die studie het bepaal dat dividende wat betaal is, meer as 50% van die totale opbrengste vir 10% van die aandele in die toetsvoorbeeld uitgemaak het. Dividende het altesaam meer as 25% van die totale opbrengs vir 33% van die aandele uitgemaak. Die studie het ook tot die gevolgtrekking gekom dat 'n aandeel se dividendbeleid baie versigtig oorweeg moet word omdat dividende wat betaal word 'n belangrike bydraer tot 'n aandeel se verwagte opbrengs kan wees.