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published_or_final_version / abstract / toc / Economics and Finance / Master / Master of Philosophy

published_or_final_version / abstract / toc / Economics and Finance / Doctoral / Doctor of Philosophy

Terry A. Marsh, Robert C. Merton. / "August 1984." / Bibliography: p. 37-38.

M.Com. (Investment Management) / The study investigates the effects of final dividend announcements on the share prices of the FTSE/JSE Top 40 Index for the period 2003-2012. A classical event study methodology was applied to test the data. Over the sample period the Abnormal Returns (AR), Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR) were calculated. The final sample consisted of 13 companies that included 144 dividend announcement events. The results indicated that although dividend announcements seem to have a positive effect on share prices, the returns yielded from these effects are not significant and close to zero. Evidence relating to the dividend signalling hypothesis was also present in the South African market.

Thesis submitted in fulfillment of the requirements for the degree of Master of Management in Finance & Investment Faculty of Commerce, Law and Management Wits Business School University of Witwatersrand 2017 / The aim of this paper is twofold. First, it aims to investigate whether or not there are both short run and long run bilateral linkages between the Zimbabwe Stock Exchange (ZSE) and the Johannesburg Stock Exchange (JSE) markets. Secondly, it aims to find out whether or not the extent of linkages between the two markets has been changing over time. The results of the study can be stated simply: - correlation coefficients calculated for the two sub-periods 1980(1)–1990(12) (apartheid in South Africa and independence in Zimbabwe, but still some controls on the economy) and 1991(1)–1999(12) (death of apartheid in South Africa and financial liberalization in Zimbabwe) show that they were not constant overtime. The extent of the linkage has been increasing overtime. Bivariate co-integration tests indicate that there is a common trend linking the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange stock price indices in the period 1991–1999, but none was found for the period 1980-1990. The results suggest that the interrelations between the two markets have increased overtime. They are in line with macroeconomic trends that have taken place since 1991, which were sufficient to strengthen the linkages between the markets, including capital market liberalization, securitization of national markets and a significant increase in cross - listing of stocks of multinational and national companies. This paper thus provides new empirical evidence on international stock market linkages between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange / MT 2018

The Public Company Accounting Oversight Board (PCAOB) has recently required auditors to disclose critical audit matters (CAMs), which are financial statement matters that involve especially challenging, subjective, or complex auditor judgments. The PCAOB contends that CAMs will increase the decision usefulness of the auditor’s report and indirectly benefit investors by increasing audit and financial reporting quality. I examine whether investors react to CAM disclosures and whether they perceive any change in adopting firms’ financial reporting quality. Using a difference-in-differences design, I find that (1) while there is no significant stock price reaction to CAMs on average, investors react negatively to CAMs disclosed by firms with high levels of short interest; (2) there is a significant increase in the quarterly earnings response coefficient for adopting firms. The effect is driven by big-N audit firms, and increases with the number of CAMs reported. Collectively, the evidence suggests that investors use CAMs to confirm their pre-existing opinions about a firm, and that they perceive an improvement in audit quality and financial reporting reliability due to the CAM disclosure requirement.

The study is primarily concerned with the verification, and subsequent explanation, of the existence of the phenomenon of new issue underpricing. The primary purposes of the research conducted in this study were to: (1) determine if investors may earn excess returns on new issues by purchasing at the prevailing market price in the immediate after-market rather than at the offer price, (2) develop a simultaneous equation model to explain underpricing, percentage cash spread, and the relationship between the two using various firm, issue, and market characteristics, and ( 3) analyze the effects of institutional constraints concerning percentage cash spread on the relationship between underpricing and percentage cash spread. The examination of excess returns indicates that efficiency prevails in the new issues market beginning with the second trading day. Therefore, investors purchasing new issues in the immediate after-market may expect to not earn excess returns. The results of the estimation of the econometric model using the entire sample of new issues does not indicate a simultaneous relationship between underpricing and cash spread. However, in order to analyze the effects of the institutional constraint on percentage cash spread, it is hypothesized that the most severely underpriced issues are most seriously affected by constraint. The sample is divided into quartiles on the basis of magnitude of underpricing and the econometric model is estimated separately for each quartile. The upper quartile exhibits a recursive relationship suggesting that percentage cash spread is first set and underpricing is adjusted accordingly to lessen risk of distribution and thereby compensate for the lower level of percentage cash spread. A simultaneous relationship does occur in the middle quartiles, but the relationship is positive indicating that higher percentage cash spread offerings also experienced greater underpricing. These results furnish evidence that new issues are affected by institutional constraints on percentage cash spread and the guidelines could be the cause of a portion of the underpricing occurring in the new issues market. / Ph. D.

What significance can be attached to changes in the level of common stock prices? Ceteris paribus we usually assume that common stock prices are an external reflection of the performance of the firm in comparison with its profitability and growth.¹ This notion is generally referred to as the Baumol Hypothesis. The fact remains, however, that the usefulness of this hypothesis rests upon its ability to explain and predict stock price changes. In other words, it must be possible to discern a statistically significant relationship between the variables which reflect the activity of the firm (i.e., internal measures of performance) and the price of its stock (i.e., external measure of performance). This paper reports the results of an extended study of the relationship between stock price and the internal measures of firm performance. It employs annual financial data (over the period 1948-1966) for 99 of the 200 largest manufacturing corporations. The individual company stock price index used was computed from a monthly company stock price series. This base series contains the market price and the number of shares outstanding of each issue on the last Friday of each month. The other financial data was gathered from Moody's Industrials. Using this data, a series of simple regressions was computed to test for any significant relationship between stock prices and the selected measures of performance. The results were analyzed by cross~section analysis and by two- and three-digit industry analysis. It was found that assets, sales, net worth and profits all exhibit consistently significant and high r² values, whereas the profit ratios are much less important in explaining stock price variations. / Master of Arts