Thesis (MBA)--Stellenbosch University, 1999. / ENGLISH ABSTRACT: This is a comparative study to determine the accuracy of the cumulative factors calculated and used by INET and the University of Stellenbosch, Graduate School of Business (USB). These factors are calculated whilst taking into account the changes in capital structure due to the effects of share splits (splits), consolidations and capitalisation issues in the calculation of dividends per share (both interim and final), and closing share prices. For this purpose the data of 350 listed industrial companies on the Johannesburg Stock Exchange was evaluated over a 28-year period (1970-1997). In cases where a company was delisted before the date of the financial year-end 1997, that company was deleted from the study for the full period. The analysis of share splits, consolidations and capitalisation issues in the calculation of a cumulative factor for the determination of dividends per share and closing share prices, is therefore of critical importance. It is important to the companies as well as parties who are involved in maintaining data of listed companies on the Johannesburg Stock Exchange. It is also important to those who use this data for research purposes. South African studies using dividends per share and share prices from INET or the USB assume that the data is accurate. This study is an effort to verify the accuracy of the two mentioned databases. The results of the study clearly suggest or indicate that there are indeed numerous inaccuracies (differences) between the data kept by both INET and USB databases. It is therefore important that the data be revisited so that these anomalies can be rectified. / AFRIKAANSE OPSOMMING: Hierdie is 'n vergelykende studie om die akkuraatheid te bepaal van die kumulatiewe faktore soos deur INET en die Universiteit van Stellenbosch se Nagraadse Bestuurskool (USB) bereken en gebruik. Hierdie faktore word bereken om die effek van die onderverdeling en konsolidasie van aandele, asook kapitalisasie-uitgifte op die dividend per aandeel (beide interim en finaal) en sluitingsaandeelpryse te bepaal. Vir hierdie doel was die data van 350 industriele maatskappye wat op die Johannesburgse Aandelebeurs genoteer is oor 'n 28-jaar periode (1970-1997) geevalueer. In gevalle waar die maatskappye voor die finansiele jaareinde 1997 gedenoteer is, is die maatskappy uit die studie weggelaat. Die analise van onderverdeling en konsolidasie van aandele en kapitalisasie-uitgifte in die berekening van 'n kumulatiewe faktor vir die bepaling van dividend per aandeel en die sluitingsaandeelpryse, is van kritiese belang. Dit is belangrik vir die maatskappye en ander belanghebbendes wat gemoeid is met die instandhouding van data van genoteerde maatskappye op die Johannesburgse Aandelebeurs. Dit is ook van belang vir diegene wat die data vir navorsingsdoeleindes gebruik. Suid-Afrikaanse studies wat op dividend per aandeel en aandeelpryse van INET of die USB gebaseer is, veronderstel dat die data korrek is. Hierdie studie poog om die akkuraatheid van die genoemde twee databasisse te verifieer. Die resultate van die studie toon duidelik aan dat daar 'n hele aantal onakkuraathede (verskille) tussen die data onderhou deur beide INET en die USB bestaan. Dit is dus belangrik dat die data weer ondersoek word ten einde verskille uit die weg te ruim.

Thesis (MBA)--Stellenbosch University, 2000. / Dividends are probable the most controversial subject in the finance literature. Dividends are paid cent for cent from company profits. Besides having tax implications on the company, they reduce sources of internal finance for the company. On the other hand, the value of a company is the net present value of cash flows. Theoretically a company that does not pay dividends now and at anytime in the future has a value of zero. Companies have dividend policies applicable to themselves. It is therefore valid to argue that the revision of the dividend policy has an underlying reason. This study was done to investigate the effect of unexpected dividend policy changes to daily share price movement. This study seeks to establish the validity of the much-debated subject of information significance of dividends. Past studies at most failed to converge to an agreement on information significance of dividends. The investigation revealed that there were no significant abnórmal returns earned on the announcement date on three out of four instances. However the results of the cumulative abnormal returns revealed that share prices react to dividend changes during the period of investigation i.e. twenty days before and twenty days after the announcement. The overall adjustment in share prices over the period studied is in the same direction as the dividend charge. The investigation also revealed that price adjustments take place before and after the announcement date. Price adjustments on the Johannesburg Stock Exchange were not efficient as compared to adjustments on the New York Stock Exchange. Share price adjustments on the New York Stock Exchange took place during the period of a day before and a day after the announcement. The lack of similarity can be attributed to either sophistication of the market participants or efficiency of the Johannesburg Stock Exchange.

Thesis (MBA)--Stellenbosch University, 2000 / ENGLISH ABSTRACT: An increase in personal wealth and higher emphasis on profitable investments for retirement has materiálised in a search for investment vehicles to produce superior returns. Two main disciplines of analyses are being used in an attempt to forecast future stock returns. These are fundamental analysis and technical analysis. This study will use technical analysis to generate buy and sell signals for a pseudoportfolio. Portfolio returns were analysed to determine their performance relative to a market index, in this case the S&P 500. A backtesting period of nine years was used to "train" the indicator variables, and applied to a tenth year's data, used as forward testing. Backtesting returns were significantly superior than that of the market, and forward testing significantly inferior. These results appear to confirm the efficient market and random walk theories. A .number of differences of opinion were identified, indicating the need for further research. / AFRIKAANSE OPSOMMING: Toenemende strewe na materiële welvaart en 'n groter fokus op gemaklike aftrede het studies ter hoër beleggings opbrengs gestimuleer. Beide fundamentele en tegniese analises word tans gebruik in 'n poging om toekomende mark prysbeweging te kan voorspel. In hierdie studie is tegniese analise gebruik om koop en verkoop wysers te genereer, waarvan die opbrengs in 'n skyn-portefeulje bepaal is. Die opbrengs van hierdie portefeulje is vergelyk met 'n toepaslike mark - indeks, in hierdie geval die S&P 500. 'n Periode van nege jaar se data is gebruik om tegniese parameters se optimum waardes te bereken, en daarna onveranderd op 'n tiende jaar se historiese data toegepas. Die opbrengste is in beide gevalle bepaal, met terugwaartse opbrengste hoër as mark opbrengs en vooruit toetsing statisties beduidenisvol laer as mark opbrengs. Hierdie resultate is beduidenisvol, en bevestig die geldigheid van die doeltreffende markhipotese asook die toevallige prysbewegingsteorie. 'n Aantal leemtes in huidige portefeulje opbrengste teorieë is geïdentifiseer wat in verdere studies aangespreek behoort te word.

Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: Academics, analysts and investors have always been intrigued by, and have always sought to identify with certainty, factors that determine investment returns and share price movements. In 1953 Maurice Kendall, following on the work of Louis Bachelier, made the revelation that share price movements followed a random pattern, i.e. they could not be predicted with certainty. Through continual research, two schools of thought emerged - fundamental and technical analysis. The fundamentalists' perspective is that through thorough due diligence analysis of current and historical data, one will be able to identify good investment prospects.The latter stipulates that future price movements can be predicted from previous price movements, i.e. historical patterns replicate themselves over time. The random walk theory suggested by Kendall was followed by the Capital Asset Pricing Model (CAPM) as developed and refined by Sharpe (1964), Lintner (1965) and Black (1972). The CAPMrecognised risk (beta) as the key explanatory variable of returns. The CAPMremains the backbone of modern financial theory and is the basis against which all new developmentsare measured. Subsequent studies have attempted to find other explanatory variables of return other than beta. Banz (1981) found evidence of a relationship between size and returns later referred to as the size effect. Chen (1981 and 1983) found that after adjusting for risk factors, the size effect did not yield high returns adequately, thus challenging Banz's findings. In 1985, Chan, Chen and Hsieh using macro and micro economic variables found that given more accurate estimates of beta, no sized-based differences in returns could be observed. Reinganumin 1981 found evidence of high earnings-price (EjP) shares yielding abnormally high returns. He further found a strong relationship between size and earnings-to-price (EjP) ratio. Bhandari (1988) suggested that in addition to beta and size, leverage also played an important explanatory role of returns. Related studies by Basu (1977), Chan, Hamao and Lakonishok (1991) and Jegadeesh (1992) found a multi-variable explanation of returns - market equity, beta, EjP ratio, size and other non-market factors. The combination of these factors led to the conclusion that the CAPM model had been misspecified. Fama and French (1992 and 1995) expanded the research and sought to establish the multi-dimensionality of beta. They found, inter alia, that equities with a high book value vis-a-vis their price realised higher returns than their counterparts. They further found profitability to be positively related to size. This led to a new ratio in financial analysis, the price book ratio (PB). The PB ratio has never emerged as a prominent analytical tool in the financial sector and has historically been superseded by the price earnings (PE) ratio. The author therefore seeks to establish the raison d' etre for the status quo by undertaking an empirical study of the JSE Securities Exchange for the period commencing 1989 and ending 1998. Using financial data obtainable from annual financial statements, the author proceeded to calculate PE and PB ratios. Tracing the mathematical derivation of the two ratios and using the Pearson correlation coefficient, trend analysis and the Spearman Rank correlation test, the author found that there exists prima facie evidence to suggest that the PE ratio could be used as a proxy for the PB ratio. This offers a partial explanation of the inconspicuous role of the PB ratio as an explanatory tool. / AFRIKAANSE OPSOMMING: Akademici, analiste en beleggers stel steeds belang in en strewe om faktore wat beleggingsopbrengste en aandeleprysbewegings bepaal, met sekerheid te identifiseer. In 1953 het Maurice Kendal, gebaseer op die werk van Louis Bachelier, getoon dat aandelepryse 'n ewekansige patroon volg en as gevolg hiervan nie met sekerheid voorspel kan word nie. Navorsing het twee denkrigtings tot gevolg gehad naamlik fundamentele ontleding en tegniese analise. Fundamentele ontleding veronderstel dat winsgewende beleggingsgeleenthede vanuit 'n deeglik oorweegde impak analise van huidige en historiese data gemaak kan word. Tegniese analise stel voor dat toekomstige prysbewegings uit vorige prysbewegings afgelei en voorspel kan word, óf anders gestel, dat patrone hulself oor 'n sekere periode herhaal. Die stogastiese lopie teorie van Kendall is gevolg deur die markpryswaarderingsmodel (MPM) wat deur Sharpe (1964), Lintner (1965) en Black (1972) ontwikkel en verfyn is. Die MPM stel risiko (beta) as 'n sentrale veranderlike wat opbrengste voorspel. Die MPM vorm steeds die primêre uitgangspunt van finansiële teorie en die basis waaraan nuwe ontwikkelings gemeet word. Voortspruitend uit die voorafgaande studies, is daar gepoog om verdere veranderlikes anders as beta te ondersoek wat opbrengste voorspel. Banz (1981) toon aan dat daar 'n verhouding bestaan tussen grootte en opbrengste - naamlik die grootte-effek. Chen (1981 en 1983) het die gevolgtrekking gemaak dat die grootte-effek nie genoegsame hoë opbrengste lewer nadat risikofaktore in berekening gebring is nie. Gevolglik is Banz se bevindinge bevraagteken. In 1985 het Chan, Chen en Hsieh deur die gebruik van makro en mikro-ekonomiese veranderlikes bevind dat, gegewe 'n meer akkurate bepaling van beta, geen grootte gebaseerde opbrengste waargeneem kon word nie. Reinganum (1981) bevind dat bewyse bestaan dat aandele met hoë verdienste-prys abnormaal hoë opbrengste getoon het. Sterk verhoudings tussen grootte en die aandeel se prysverdienste verhouding is waargeneem. Bhandari (1988), in verdere navorsing in hierdie verband, stel dat in aanvulling tot die gebruik van die beta-koëffisient en grootte, hefboomwerking ook 'n belangrike bydrae lewer in die bepaling van opbrengste. Verbandhoudende studies deur Basu (1977), Chan, Hamao en Lakonishok (1991) en Jegadeesh (1992) stel dat opbrengste verduidelik kan word aan die hand van verskeie veranderlikes, naamlik markekwiteit, beta, prysverdienste verhouding, grootte en ander nie-markverwante faktore. Die kombinering van hierdie faktore het gelei tot die gevolgtrekking dat die MPM model verkeerd gespesifiseerd was. Fama en French (1992 en 1995) se navorsing poog om die multi-dimensionaliteit van beta te bepaal. Hulle bevind onder andere dat aandele wat 'n hoë boekwaarde teenoor prys, 'n hoër verdienste of opbrengs oplewer as ander aandele. Verder is bevind dat 'n positiewe korrelasie tussen winsgewendheid en grootte bestaan. Dit het gelei tot 'n nuwe verhouding in finansiële analise, naamlik die prys-tot-boek verhouding (PB). Die PB-verhouding het egter nooit in die finansiële sektor gerealiseer as 'n prominente analitiese metode nie en word histories deur die prysverdienste verhouding oorskadu. Die skrywer wil gevolglik die raison d' etre vasstel vir die status quo deur 'n empiriese studie van die Johannesburgse Effektebeurs vir die periode 1989 tot 1998 te onderneem. Deur jaarlikse finansiële state te ontleed, is die prysverdienste en prys-tot-boek verhoudings bereken. Deur 'n wiskundige afleiding van die twee verhoudings te maak, die Pearson korrelasiekoëffisient, tendensanalise en die Spearman rang korrelasiekoëffisienttoets te gebruik, het die skrywer bevind dat daar prima facie getuienis bestaan dat die prysverdienste verhouding ook gebruik kan word as 'n ekwivalent vir die prys-tot-boek verhouding. Dit bied 'n gedeeltelike verklaring van die ontoereikende rol van die prys-tot- boek verhouding as 'n verklarende veranderlike.

Thesis (PhD (Business Management))--University of Stellenbosch, 1992. / ENGLISH ABSTRACT: In this dissertation the association between inflation-adjusted data and the behaviour of share prices is investigated. The primary purpose of this investigation is to make a contribution to the body of knowledge regarding share price behaviour, and more specifically with respect to the relationship between inflation accounting and the share market. The disclosure of inflation-adjusted data is not mandatory in South Africa, and few companies have disclosed supplementary current cost income statements. A somewhat larger number of companies make provision for inflation in their financial results by revaluing their assets and accounting for additional depreciation. Prior to 1984 a fair proportion of the companies listed on the Johannesburg Stock Exchange also used the LIFO method of inventory valuation. The disclosed inflation-adjusted data is very limited, necessitating the estimation of the inflation-adjusted data. To estimate the inflation adjustments, a number of inflation accounting models were developed based either on AC 201 or other suggestions found in the literature. These models were then applied to the financial results of listed industrial companies. In the first empirical analysis contained in this dissertation the inflation adjustments generated by the various models were compared to identify unique models for further use in the market related empirical work. From this analysis it was established that AC 201 is open to such a divergent interpretation that significantly different inflation adjustments are generated. From the literature reviewed, three research designs showed promise for application to the market related empirical analyses. The first design used was the event study which was used to evaluate the share market's reaction to the abolition of the tax benefits associated with the LIFO method of inventory valuation. The share market showed no significant reaction for a period of 21 weeks surrounding the announcement, making possible statements regarding the relative efficiency of the Johannesburg Stock Exchange impossible. It was, however, established that the research design used is very sensitive to sample formation, and it is recommended that special care should be used in market related studies to ensure that both operating and holding companies are not included in the same sample. The second research design used was the incremental information content design. Limited incremental information content was found in the inflation-adjusted income for companies which disclosed no inflation adjustments. For companies that did disclose some aspects of inflation accounting, the inflation-adjusted income was often the better explanatory variable of the residual share returns, but no incremental information content could be detected. Based on analyses performed on single years of data it was found that the inflation-adjusted income was as good an explanatory variable of the residual share returns as the historic cost variable. The final research design used was the income measurement perspective. It was found that in general the historic cost income behaved as expected, but the inflation adjustment to income seldom displayed any income measuring properties. The only inflation accounting model that displayed signs of income measurement properties contained as part of its adjustment unrealised holding gains on fixed assets. This could be a indication that the disclosure of unrealised holding gains could be useful. The lack of results found for AC 201 possibly points to its inadequacy. In general the relationship between the inflation-adjusted data and the share market was found to be very weak. / AFRIKAANSE OPSOMMING: In hierdie proefskrif word die verwantskap tussen inflasie-aangepaste data en die gedrag van aandeelpryse ondersoek. Die primere doel met hierdie studie is om by te dra tot die kennis oor die gedrag van aandeelpryse, en dan meer spesifiek met betrekking tot die verwantskap tussen inflasie-rekeningkunde en die aandelemark. In Suid-Afrika is dit nie verpligtend om inflasie-aangepaste data bekend te maak nie, en min maatskappye publiseer 'n aanvullende inkomstestaat van huidige koste. 'n Ietwat groter aantal maatskappye maak voorsiening vir inflasie in hul finansiele resultate deur hul bates te herwaardeer en addisionele waardevermindering af te skryf. Voor 1984 het 'n aantal maatskappye wat op die Johannesburgse Effektebeurs genoteer is, ook voorraad volgens die LIEU metode gewaardeer. Slegs beperkte inflasie-aangepaste data is dus beskikbaar, wat die skatting van sodanige data noodsaak. Om die inflasie-aangepaste data te kan skat, is 'n aantal inflasie-rekeningkunde modelle ontwikkel, op grond van of RE 201 of ander voorstelle in die literatuur. Hierdie modelle is daarna toegepas op die finansiele resultate van genoteerde nywerheidsmaatskappye. In die eerste empiriese ondersoek wat in hierdie proefskrif vervat is, is die inflasieaanpassings wat deur die onderskeie modelle gegenereer is, met mekaar vergelyk om te bepaal watter uniek is vir gebruik in die markverwante empiriese ondersoek wat volg. Met hierdie ondersoek is vasgestel dat RE 201 so uiteenlopend vertolk kan word dat inflasie-aanpassings wat statisties beduidend van mekaar verskil, gegenereer word. Uit die literatuur wat bestudeer is, blyk dit dat drie verskillende navorsingsontwerpe geskik vir toepassing in die markverwante ondersoeke is. Die eerste ontwerp wat gebruik is, is die gebeurtenisstudie waarmee die effektebeurs se reaksie bepaal is op die afskaffing van die belastingvoordeel wat aan die LIEU-voorraadwaardasie gekoppel was. Die effektebeurs het gedurende die 21 weke rondom hierdie aankondiging geen betekenisvolle reaksie getoon nie. Dit maak enige afleidings oor die relatiewe doeltreffendheid van die effektebeurs onmoontlik. Daar is wel vasgestel dat die navorsingsontwerp baie sensitief vir die samestelling van die steekproef is. Dit word aanbeveel dat sorg gedra behoort te word dat 'n bedryfsmaatskappy nie saam met sy houermaatskappy in dieselfde steekproef opgeneem word nie. Die tweede navorsingsontwerp wat gebruik is, berus op die inkrementele inligtingsinhoud. Die inflasie-aangepaste inkomstesyfers van maatskappye wat geen aanpassings vir inflasie toon nie, bevat beperkte inkrementele inligting. Vir maatskappye wat wel inflasieaanpassings openbaar maak, is die inflasie-aangepaste inkomstesyfer dikwels die beste beskrywende veranderlike van die residuele aandeelopbrengste, maar geen inkrementele inligting kon gevind word nie. Uit ontledings wat op 'n jaarbasis uitgevoer is, kan daar afgelei word dat die inflasie-aangepaste inkomstesyfer net so 'n goeie beskrywende veranderlike van die residuele aandeelopbrengste as die historiesekoste-inkomstesyfer is. Die laaste navorsingsontwerp wat gebruik is, berus op die inkomstemetingsperspektief. In die algemeen is daar gevind dat die historiesekoste-inkomstesyfer volgens verwagting reageer, maar dat die inflasie-aanpassing selde enige inkomstemetingseienskappe bevat. Die enigste inflasie-rekeningkunde model wat tekens van inkomstemetingseienskappe toon, bevat ongerealiseerde houwinste op vaste bates as deel van sy regstelling. Dit kan beskou word as 'n teken dat die openbaarmaking van ongerealiseerde houwinste nuttig kan wees. Die gebrek aan betekenisvolle resultate vir RE 201 hou die moontlikheid in dat dit ontoereikend is. In die algemeen is gevind dat die verwantskap tussen inflasie-aangepaste data en die gedrag van aandele op die effektebeurs baie swak is.

Assignment (MAcc )--University of Stellenbosch, 2002. / ENGLISH ABSTRACT: The price-earnings ratio is one of a series of benchmarks developed after the Great Depression, to measure the fair value of shares on a relative basis. It originated from the idea that investors buy the earnings of a company and that the price-earnings ratio provides a consensus indication of the future growth potential of a company. Therefore, the price-earnings ratio is a rating of a company's future profitability. The price-earnings ratio developed, over the years, firstly, into an indicator of the relative risk associated with a company as the market anomalies associated with the ratio were investigated and clarified, and the theoretical background of the ratio integrated with the portfolio theory. It is now clear that the price-earnings ratio can be a useful indicator of the risk associated with an investment and the uncertainty associated with the duration of the growth phase of a company. Secondly, the price-earnings ratio is also a growth and valuation model with a theoretical background that can be linked to popular dividend discount models and the growth opportunities approach to investment valuation. With the use of the price-earnings ratio it is easy to visualise the relative profitability and the total investment required to raise a company's rating of future profitability. This simplicity allows one the opportunity to evaluate the reasonableness and likelihood of the investment reaching its projected potential profit targets. Lastly, as a result of accounting changes and the different accounting rules in force today, the price-earnings ratio also assists in the identification and elimination of the effects of accounting on investment decisions. It is apparent that the price-earnings ratio possesses the capabilities to assist investors significantly with the analysis of investment opportunities. / AFRIKAANSE OPSOMMING: Die prys-verdienste verhouding is een van 'n reeks relatiewe maatstawwe ontwikkel na die Groot Depressie om die redelike waarde van aandele te bepaal. Dit is gebaseer op die idee dat beleggers die winste van 'n maatskappy koop en dat die prys-verdienste verhouding 'n konsensus aanduiding verskaf van die toekomstige groeipotensiaal van 'n maatskappy. As gevolg hiervan is die prys-verdienste verhouding 'n aanduiding van die relatiewe toekomstige winsgewendheid van 'n maatskappy. Die prys-verdienste verhouding het oor die jare ontwikkel, eerstens as 'n aanwyser van die relatiewe risiko verbonde aan 'n maatskappy soos abnormaliteite wat daaraan verwant is ondersoek en verklaar is, en die teorieë onderliggend aan die verhouding ontwikkel het saam met die portefeulje teorie. Dit is nou duidelik dat die prys-verdienste verhouding 'n bruikbare aanduider is van die risiko wat geassosieer word met 'n belegging en die onsekerheid wat gepaard gaan met die duur van die groeifase van 'n maatskappy. Tweedens is die prys-verdienste verhouding ook 'n waardasie- en groeimodel met 'n teoretiese agtergrond wat verband hou met die populêre dividend verdiskonteringsmodelle en die groeigeleenthede-benadering tot waardasie. Met die gebruik van die prys-verdienste verhouding is dit maklik om die relatiewe winsgewendheid en die totale belegging wat benodig word om die waarde van die relatiewe winsgewendheid van 'n maatskappy te verhoog, tevisualiseer. Hierdie eenvoud verskaf die geleentheid om die redelikheid en die waarskynlikheid van 'n belegging om sy voorsiene winsgewendheidsdoelwitte te bereik, te evalueer. Laastens, as 'n resultaat van die rekeningkundige veranderinge, en die verskillende rekeningundige reëls huidiglik van toepassing in die wêreld, help die prys-verdienste verhouding ook met die identifikasie en die eliminasie van rekeningkundige komplikasies op beleggingsbesluite. Dit is duidelik dat die prys-verdienste verhouding die vermoë het om die belegger by te staan met die ontleding van beleggingsgeleenthede.

Thesis (PhD (Business Management))--University of Stellenbosch, 2006. / ENGLISH ABSTRACT: This study investigates whether any exploitable pauems exist in a sample of ten African stock markets that could lead to abnonnal gains. Southern Africa is represented by Botswana, Namibia. Mauritius and Zimbabwe, East Africa by Kenya, West Africa by Ghana and the BRVM, and North Africa by Egypt, Morocco and Tunisia. Such evidence, if it exists, provides ground for refutation of the weak form of the efficient market hypothesis (EM H) as defined by Farna (1965. 1970). The thesis is predominantly empirical, but also provides an overview of African stock markets, the theoretical framework on which the study is based and the impact of the advancement in information technology on market efficiency. The results show that the distribution of stock returns on African stock markets is not normal, and that the deviation from normality is significantly pronounced with almost all the stocks rejecting nonnality using the Kolmogorov-Smimov test at the I % level of significance. The stock price behaviour of the abovementioned stock markets is investigated by testing the random walk hypothesis using the simple serial correlation and runs tests. The investigation is done using returns calculated on a trade-to-trade basis and adjusted for interval variability by weighting each trade-to-trade return by the number of days between trades. While the first part of this analysis only includes the markets on which dividend information could be obtained, the second part includes all the ten markets with returns referring to capital gains. However, it is shown that dividend information does not have a serious impact on the results. While the majority of stocks, especially those for Mauritius and Ghana, reject the random walk hypothesis, only Namibia, Kenya and Zimbabwe, can be said to be weak form efficient. While thin trading is known to cause econometric and statistical problems in empirical tests, thin trading has been taken as given in most studies. In this thesis, the seriousness of thin trading on African stock markets and its implications for efficiency testing is empirically investigated. A comparison of the random walk test results when returns are calculated normally and when the trade-to-trade approach and its variant, the adjusted trade-la-trade approach, are used is carried out. It is found that thin trading is indeed a severe problem on African markets and that there are some differences in the random walk results due to the different methods used to calculate returns. Investigating in-sample predictability using linear models appears to be the norm in most tests of the EMH. This thesis argues that the return-generating process may not be linear and if that is the case, the nonlinear models may outperform the linear models in out-of-sample forecasting. The random walk is considered a true description of stock price behaviour only if it is not outperformed by any of the alternative models in forecasting stock prices out-of-sample. This is empirically tested using the indices data of the African stock markets in the sample. It is found that alternative models, in most instances, outperform the random walk model in out-of-sample forecasting. The random walk results are substantiated by the results on seasonal patterns and other anomalies to the efficient market hypothesis such as the finn size and price earnings (PIE) effects. Size and PIE ratios have been identified as significant predictors of stock returns in other markets. In particular, it has been suggested that small-size firm portfolios outperform large-size finn portfolios and that low PIE firm portfolios outperform high PIE firm portfolios. The size and PIE effects found in this thesis are mostly exactly the opposite of those hypothesised in the literature. The existence of seasonal patterns contradicts the statement that stock prices behave in a random manner. This phenomenon is investigated on African stock markets using indices returns. The study benchmarks the findings with those of South Africa's Johannesburg Stock Exchange (JSE) Securities Exchange; other emerging markets, namely Brazil, Malaysia, Poland, Slovenia and Finland; and developed markets, such as the United States of America (U.S.), Australia and New Zealand. Seasonal effects are observed on some, but not all African stock markets and in most cases the patterns observed are different from those observed on stock markets elsewhere. / AFRIKAANSE OPSOMMING: Hierdie studie delf na of daar enige ontginbare patrone in 'n proefstuk van tien Afrika aandelemarkte bestaan, wat tot abnormale winste kan lei. Suider-Afrika word deur Botswana, Namibie, Mauritius en Zimbabwe verteenwoordig; Oos-Afrika deur Kenia, Wes-Afrika deur Ghana en die BRVM, en Noord-Afrika deur Egipte, Marokko en Tunisie. Indien sodanige bewyse bestaan, sou dit as grondslag dien vir weerlegging van die prestasie van die doeltreffende mark-hipotese (EMH) soos deur Fama (1965, 1970) gedefinieer. Die tesis is oorwegend empiries, maar bied ook 'n oorsig oor Afrika-aandelemarkte, die teoretiese raamwerk waarop die studie gebaseer is en die impak van die vordering in inligtingstegnologie op markdoeltreffendheid. Dit probeer vasstel of die verspreiding van winste op aandele met die van normaliteit konformeer. Die resultate toon dat die verspreiding van winste op aandele op aandelemarkte in Afrika nie normaal is nie en dat die afwyking van normaliteit aansienlik skerp is met byna al die aandelemarkte wat normaliteit verwerp wanneer die Kolmogorov-Smirnov-toets (teen die 1 %-vlak van beduidendheid) toegepas word. Die gedrag van aandelepryse van bovermelde aandelemarkte is ondersoek deur die ewekansige steekproef-hipotese te toets deur die eenvoudige reeks korrelasie en aanvraag-toetse toe te pas. Die ondersoek is gedoen deur opbrengste te gebruik wat op 'n handel-tot-handel-grondslag bereken is en vir interval wisseling aangepas is deur iedere handel-tot-handel-opbrengs teenoor die aantal dae tussen transaksies op te weeg. Terwyl die eerste deel van die ontleding net die markte insluit waarop inligting oor dividende verkry kon word, het die tweede deel al tien markte ingesluit met opbrengste wat na kapitale winste verwys. Daar word egter bewys dat inligting oor dividende nie 'n ernstige en waardige impak op die resultate het nie. Terwyl die meerderheid aandele, veral die vir Mauritius en Ghana, die ewekansige steekproef hipotese verwerp, kan daar aanvaar word dat net die in Namibie, Kenia en Zimbabwe swak-prestasie doelmatig is. Terwyl dit bekend is dat swak handel statistiese en ekonometriese probleme in empiriese toetse meebring, is swak handel as 'n gegewe in die meeste studies aangedui. In die tesis word die erns van swak handel op aandelemarkte in Afrika en die implikasies daarvan vir doeltreffende toetsing empiries ondersoek. 'n Vergelyking van die resultate vir (ewekansige steekproewe) word getref wanneer winste normaal bereken word en wanneer die handel-tot-handel-benadering en sy variant, die aangepaste handel-tot-handelsbenadering, toegepas word. Daar is bevind dat swak handel inderdaad 'n ernstige probleem op Afrika-markte is en dat daar sommige verskille in die ewekansige steekproef-resultate is as gevolg van die verskillende metodes wat ingespan word om die winste te bereken. Die gebruik van liniere modelle om ondersoek in te stel na die voorspelbaarheid van proefstukke blyk die norm in die meeste toetse van die doeltreffende mark-hipotesis te wees. Die tesis voer aan dat die wins-genererende proses nie noodwendig linier is nie, en indien dit die geval is, kan die nie-liniere modelle die liniere modelle in die proefstuk-voorspelling oortref. Die steekproef word as 'n betroubare beskrywing van die gedrag van aandelepryse beskou, maar net indien dit nie deur enige van die alternatiewe modelle in die voorspelling van aandelepryse in die proefstuk oortref word nie. Dit is empiries getoets deur die toepassing van die indeks-data van die Afrika-aandelemarkte in die proefstuk. Die ewekansige steekproef-resultate word deur die resultate van seisoenale patrone en ander afwykings van die doeltreffende mark- hipotesis gestaaf, soos die grootte van die onderneming en die invloede van prys inkomste. Grootte en prysinkomsteverhoudings is as betekenisvolle voorspellers van aandele-winste op ander markte geidentifiseer. Daar is spesifiek aangedui dat die portfolios van klein maatskappye die van groter maatskappye oortref en dat die portfolios van lae prys inkomstemaatskappye die van hoe prysinkomste oortref. Die grootte en invloede van prysinkomste wat in die tesis bepaal is, is hoofsaaklik presies die teenoorgestelde van die waaroor in die literatuur 'n hipotese oor opgestel is. Die bestaan van seisoenale patrone weerspreek die stelling dat aandelepryse hulle op 'n lukrake wyse voordoen. Die verskynsel is op Afrika-aandelemarkte ondersoek deur indeks-opbrengste te gebruik. Hierdie studie meet die bevindinge aan die hand van Suid-Afrika se Effekte Wisselkoerse op die Johannesburgse Aandelebeurs, ander opkomende markte soos Brasilie, Maleisie, Pole, Slovenie en Finland, en ontwikkelde markte soos die van die VSA, Australie en Nieu-Seeland. Seisoenale invloede word op sommige waargeneem, maar nie op alle aandelemarkte in Afrika nie - in die meeste gevalle verskil die patrone wat waargeneem is van die op aandelemarkte elders.

Thesis (PhD)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: Share repurchases were allowed in South Africa as from 1 July 1999. The concept of repurchasing shares is therefore relatively new in this country, compared to many other countries (e.g. the United States of America and the United Kingdom), where it is an established practice. Considerable research in the field already exists, providing empirical evidence on the extent of share repurchase activities and current theoretical thinking on the motivations for share repurchases and the determinants affecting the choice of payout methods. In South Africa there are indications, as this study demonstrates, that research on payout methods and payout reform has become a matter of urgency. Share repurchase activity by JSE-listed companies is not comprehensively recorded by South African financial data sources. Prior research on South African share repurchases is limited, mainly owing to the fact that a comprehensive share repurchase database is not available. This study sets out to document the extent of share repurchases by companies in selected JSE-listed sectors (for reporting periods including 1 July 1999 to the 2009 year-ends of the companies) and to test whether empirical evidence and current theoretical thinking also applied in South Africa. The results of these tests were used to develop a model to ascertain what the significant determinants were when a JSE-listed company had to decide between repurchasing shares and paying special dividends. This study found that the South African regulatory environment pertaining to share repurchases differed from the regulatory environments of other countries. The main differences related to the share repurchase announcement structure (namely the JSE Listings Requirements that open market share repurchases need to be announced via SENS only once a 3% limit has been reached) and that subsidiaries are allowed to repurchase shares in the holding company (and have a tax benefit when compared to share repurchases made by the holding company itself). These differences affected the results of this study. On compiling a database on share repurchases by companies in selected JSE-listed sectors, it was found that the share repurchase announcements (made via SENS) could not be used as the main source to compile comprehensive share repurchase data (mainly owing to the 3% rule on open market share repurchases). Annual report disclosures were therefore scrutinised to obtain share repurchase data for this study. These disclosures were found to be applied inconsistently by companies (mainly because subsidiaries were allowed to repurchase shares in the holding company; International Financial Reporting Standards and the JSE Listings Requirements did not adequately cater for the differing South African regulatory environment in their disclosure stipulations; and compliance to the disclosure requirements were not adequately monitored). Consequently, an extensive process of verification was applied in order to compile a comprehensive and reliable share repurchase database for this study. When testing whether empirical evidence and current theoretical thinking on share repurchases also applied in South Africa, it was found that the unique South African regulatory environment led to certain aspects of the South African share repurchase experience not mirroring the global precedent. The main differences between the South African and global share repurchase evidence which emerged from the present study are that the open market share repurchase type is not the outright favoured repurchase type (as is the case globally); that subsidiaries repurchasing shares in the holding company are the favoured South African share repurchasing entity (as opposed to subsidiaries not being allowed to repurchase shares in most other countries); and that share repurchases announced via SENS do not represent comprehensive share repurchase data (as opposed to global security exchanges requiring share repurchase announcements on a regular and accurate actual-time basis). When testing the current theoretical thinking on the information-signalling motivation for share repurchases, it was found that the motivation for South African open market and pro rata share repurchases mirrored the current theoretical thinking. Open market share repurchases were found to be motivated by the information-signalling hypothesis, while the short-term abnormal returns of pro rata offers were offset by the negative abnormal returns over the long term. A share repurchase type unique to the South African share repurchase environment (namely the repurchase of treasury shares by the holding company) was found not to be motivated by the information-signalling hypothesis. This study also found that companies repurchasing shares were generally classified as value companies (which tend to be undervalued) prior to the repurchase transaction which mirrored the current theoretical thinking. In developing a model of choice to determine what the main determinants were when a company had to decide between open market share repurchases and special dividends, this study found that some of the South African determinants mirrored the current theoretical thinking, but also identified determinants which were not identified as significant determinants in global research. This study found that ownership structure, size of the distribution and level of company undervaluation were the significant factors which affected a company’s choice of payout method. It was found that smaller companies, with fewer shareholders and more public investors favoured open market share repurchases over special dividends. Open market share repurchases were found to be selected for smaller distributions when compared to special dividends. Companies paying special dividends were found to exhibit lower degrees of undervaluation when compared to companies which repurchased shares in the open market. This study found that share repurchases became a popular means of distributing excess cash as from 2005. A total amount of about R384 billion was spent on share repurchases during the reporting periods including 1 July 1999 to the 2009 year-ends of the companies included in the population of this study. Share repurchases did not exceed dividend payments over the target period and represented about 36 per cent of total payouts. In 2009, the final year of the study, share repurchases represented about 44 per cent of total payouts. The results of this study showed that investors would benefit over the long term when investing in companies which repurchased shares in the open market. It was also found that there were certain characteristics which were evident in companies when choosing open market share repurchases rather than special dividend payments. This study concluded that the South African regulatory environment possesses many characteristics of a developing economy’s financial systems. Suggestions are given on how to improve and better align the South African repurchasing environment to those of developed economies.

Thesis (MComm)--Stellenbosch University, 2013. / ENGLISH ABSTRACT: This study sets out to evaluate the possible influence of increasing and declining markets on the returns of dividend-investing strategies. This study’s objective, therefore, was to evaluate the possible influence dividend pay-out policy has on share return. Secondary objectives serve to investigate how the size of cash dividend payments, measured in dividend yield (DY), influence share value, especially during bull and bear markets respectively. In order to address the stated objectives of this study and prevent possible survivorship bias, the sample included listed and delisted shares for the period 1995 to 2010. Initially, all firms that were listed on the Johannesburg Stock Exchange (JSE) during the period under review were considered, both that were listed at the end as well as firms that delisted. However, due to the nature of the financial structures of firms in the financial and basic industries, the study did not include their data. The final sample consisted of 291 firms, providing 22 927 monthly observations. Dividend-investing strategies were constructed using non-dividendpaying (Portfolio one) and dividend-paying firms (Portfolio two). Portfolio one and two were then further deconstructed into four groups based on monthly DY rankings. Portfolio one was represented by Group 1, whilst Portfolio two was grouped into the lowest, medium, and highest DYs and classified as Group 2 to Group 4 accordingly. The results obtained from statistical analyses performed in this study indicate that the level of DY appears to influence returns positively. Furthermore, after investigating the results obtained during opposing market scenarios, some important findings resulted. During bear markets no significant difference in abnormal risk-adjusted returns was observed for the portfolios and four groups, however, in bull markets the return for Portfolio two, specifically Group 4, was more than double the result for the non-dividend payers. This study, therefore proposes that firms should have a DY in the range of the highest market DY average for bull markets specifically. From the perspective of the potential investors, the study suggests that dividend-investing could allow for the generation of positive risk-adjusted returns during bull markets. / AFRIKAANSE OPSOMMING: Hierdie studie evalueer die moontlike invloed van stygende en dalende markte aangaande opbrengs op dividend-investerings strategie . Die studie se primêre doelwit is om die invloed van dividend uitbetalings op aandeel opbrengste te bestudeer. Sekondêre doelwitte ondersoek hoe die grootte van ‘n kontant dividend, soos gemeet in dividend opbrengs, die aandeel-waarde beïnvloed, spesifiek tydens bul en beer markte. Om oorlewingsydigheid te voorkom, sluit die steekproef genoteerde sowel as gedenoteerde firmas in vir ‘n tydperk van 1995 tot 2010. Aanvanklik was alle sektore van die Johannesburg Aandele-beurs (JSE) ondersoek, maar weens die komplekse kapitaal struktuur van finansi le en die basiese nywerheid sektore was hul aandeel inligiting uitgesluit. Die finale steekproef het ‘n totaal van 291 firmas ingesluit en 22 927 maandelike waarnemings verskaf. Dividend-investerings strategie was saamgestel deur nie-dividend-betalende firmas (Portefeulje een) teenoor dividendbetalende firmas (Portefeulje twee) te vergelyk. Die twee portefeuljes was ook verder onderdeel in vier groepe volgens maandelikse dividend opbrengstes. Portefeulje een was verteenwoordig deur Groep 1, terwyl Portfeulje twee opgedeel was volgends laag, medium, en hoë dividend opbrengstes en geklasifiseer as Groep 2 tot 4 onderskeidelik. Die resultate van die statististiese ontleding van hierdie studie dui moontlik daarop dat die vlak van dividend opbrengs aandeel waarde positief beïnvloed. Nadat die spesifieke bul en beer markte ontleed is, was belangrike resultate waargeneem. Tydens beer markte was daar geen beduidende verskil tussen die risiko-aangepaste opbrengstes van die twee portefeuljes en vier groepe nie, maar tydens bul markte het die opbrengstes van Portefeulje twee, spesifiek Groep 4, meer as dubbel dié van die nie-dividend betalers getoon. Die studie stel dus voor dat ‘n firma tydens bul markte moet poog om ‘n dividend opbrengs te handhaaf wat die hoogste gemiddeld van die mark verteenwoordig. Vanuit die belegger se oogpunt, stel die studie voor dat dividend investering stategie moontlik gebruik kan word om positiewe risikoaangepaste opbrengstes te genereer, veral tydens bul markte.

Thesis (MBA)-- Stellenbosch University, 1995. / ENGLISH ABSTRACT: The price of shares is determined primarily by investors' current expectations about the future values of variables that measure the relevant aspects of a company's performance and profitability, particularly the anticipated growth rate of earnings per share. Empirically, no model estimated with only historical senes data has been found to have greater forecast accuracy than the random walk model in estimating earnings one period ahead. This has led to the conclusion that past and future earnings growth is uncorrelated and that only year t-l earnings are useful in forecasting year t earnings. Research by Mozes in the USA has found the opposite and his model is applied to the South African situation. The aim is to determine whether the Mozes model has greater forecasting accuracy in the prediction of earnings per share than the random walk model. The present study shows that the Mozes model has greater forecast accuracy in the prediction of earnings per share than the random walk model if the following criteria are met: the company must be classified as a large company in terms of market capitalisation; or the percentage increase in earnings per share must be large; and the earnings per share must be classified in the growth mode. It is demonstrated that if these criteria are met, the historical growth in earnings and the future growth in earnings are positively correlated and not distributed at random. If earnings per share is classified in the non~growth mode, the random walk model is more accurate in the prediction of earnings per share than the Mozes model and as such, only the earnings per share of year t-l is important in forecasting year t's earnings per share. The most important conclusion from the study is that earnings per share in the South African market is not always randomly distributed. / AFRIKAANSE OPSOMMING: Die prys van aandele word primer bepaal deur beleggers se huidige verwagtinge rakende die toekomstige waarde van veranderlikes wat relevante aspekte van die maatskappy se prestasie en winsgewendheid beinvloed, meer spesifiek die geantisipeerde groei in verdienste per aandeel. Empiriese studies het bevind dat die toevalslopie-model die grootste akkuraatheid in die vooruitskatting van verdienste vir een periode in die toekoms lewer indien van historiese tydreeksdata gebruik gemaak word. Die gevolgtrekking word dus gemaak dat groei in verdienste van die verlede en die toekoms nie gekorreleerd is nie en dat slegs jaar t-1 se verdienste belangrik is in die vooruitskatting van jaar t se verdienste. Navorsing deur Mozes in die VSA het die teendeel getoon en die model is in die ondersoek toegepas op Suid-Afrikaanse data om te bepaal of dieselfde bevindinge geld. Resultate van hierdie studie toon dat daar aan die volgende kriteria voldoen moet word alvorens die Mozes-model meer akkurate vooruitskattings van verdienste per aandeel lewer as die toevals-Iopiemodel : -die maatskappy behoort as 'n groot maatskappy geklassifiseer te wees volgens markkapitalisasie; of -die persentasieverandering in verdienste per aandeel behoort groot te wees; en -indien verdienste per aandeel as synde in die groeifase geklassifiseer is. Indien aan die kriteria voldoen word, is aangetoon dat historiese groei in verdienste en toekomstige groei in verdienste gekorreleerd is en nie ewekansig versprei is nie. In die gevalle waar verdienste per aandeel as synde in die nie-groeifase geklassifiseer is, lewer die toevalslopie-model oorheersend meer akkurate vooruitskattings van verdienste per aandeel as die Mozes-model en gevolglik is daar bevind dat slegs jaar t ~ 1 se verdienste per aandeel belangrik is vir die vooruitskatting van jaar t se verdienste per aandeel. Die belangrikste afleiding vanuit die studie is gevolglik dat verdienste per aandeel in die SuidAfrikaanse mark nie in aile gevalle sonder meer ewekansig versprei is nie.