Thesis (MDF)--Stellenbosch University, 2011. / In the past it was believed that the payment of dividends would decrease the funds available to finance growth, and would therefore lead to lower future earnings growth. This belief was challenged in recent years with research that tested the relationship between dividend payout and future earnings growth, both on the individual company and aggregate market level in different countries. The results contradicted popular belief, and showed that companies with high payout ratios tend to realise stronger future earnings growth. This study tested the same relationship in South Africa and concluded that even in a developing country, dividend payout will still lead to higher future earnings growth.

A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand in partial fulfilment of the requirements for the degree Masters of Management Finance and Investments / There is plenty of research examining the relationship between surprise macroeconomic data and financial returns, however, in a South African context, such research is scarce. This paper adds to the event study body of knowledge by studying the effects of South African macroeconomic announcements on South African financial returns and juxtaposing that with the relationship of surprise macroeconomic announcements released in the United States with the same local financial instrument returns. In this study, the review period is 10 years starting the beginning of 2006 and ending at the end of 2015. Two strands of economic news are studied, monetary news and real activity news against an equity futures index as a proxy for the South African Stock market; the R186 government bond as a proxy for the South African bond market and the spot US dollar to South African rand exchange rate. The monetary announcements studied are the interest rate adjustments of the South African and United States Central Banks and the consumer price index. The real activity data studied are the unemployment rate; the retail sales and the gross domestic product releases. Many of the findings in this paper were in line with much of the literature where evidence shows that monetary policy has a significant effect on fixed income and forex rates. Stocks were also to be shown to be sensitive to both types of data. The regression specification used in this study shows that local equities are more sensitive to both types of news, although mainly to South African news. Only monetary surprises are shown to be sensitive to the bond market and surprises from both countries. Evidence is that the rand is only sensitive to the interest rate announcements released in the United States. / MT2017

The research paper is an analysis of the South African equity market and sector return-risk relationship. The following two basic questions, addressed in the research paper, pertain to the South African equity market for the period January 1990 to December 2002: (1) how did equity prices behave; and (2) what were the fundamental factors that caused these price movements? Two contrasting sub-periods are identified, namely, Period 1 (January 1990 to June 1997 and Period 2 (July 1997 to December 2002. Period 1 is the pre-Asian financial crisis period and Period 2 is the post-Asian financial crisis period. During the thirteen-year period (1990 to 2002) a market index explained most of the effect on market and sector returns. However, the composition of this market index varied between Period 1 and Period 2. During Period 1, when equity prices and the rand exchange were relatively stable, the market index was composed of domestic systematic risk. This signified that investors were looking 'inwards' or were more concerned about domestic fundamentals i.e. domestic financial stability. Contrastingly, during Period 2, when equity prices and the rand exchange were relatively volatile, the market index was composed of foreign systematic risk. This signified that investors were looking 'outwards' or were more concerned about global fundamentals i.e. global financial stability. It was further found that over the course of January 1990 to December 2002, South African equity sector returns from the resource, financial and non-resource/financial sectors had experienced abnormal returns. The abnormal returns indicate sector inefficiency and/or cognitive biases in investor behaviour. / Thesis (M.Com.)-University of KwaZulu-Natal, Pietermaritzburg, 2004.

This study sought to empirically investigate the existence of calendar effects and market anomalies on the JSE using monthly and daily closing prices of the ALSI, Top 40, Mid Cap and Small Cap index; as well as, daily closing prices on the Value, Growth and Dividend Plus index during the sample period 2002 – 2013. The anomalies analysed are the January effect, the weekend effect, the size effect, the value effect, and the dividend yield effect. The empirical analysis uses a number of MSAR with a different number of regimes and lag orders. The results from the investigation of the January effect show the non-existence of the January effect and the value effect on the JSE during the periods 2002 – 2013 and 2004 – 2013, respectively. However, the weekend effect was found significant in the Mid Cap and the Small Cap index, and the size effect was also found significant during the same period 2002 - 2013. Finally the results from a Granger causality test concluded that there is a relationship between the returns on the Dividend Plus index and the ALSI, effectively proving the existence of the dividend yield effect on the JSE between 2006 and 2013. Additionally, the anomalies found imply the opportunity for investors to make returns above buy-and-hold.

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.

The analysis undertaken, firstly aims to identify the extent to which equities, their indexes and their derivatives priced in accordance with their fair value. Secondly, presuming that the traded values of the instruments do not in all instances equate to the fair value, the research aims to develop an effective means to identify and manage profitable opportunities arising from the mispricing. General concepts relating to profitability, trade identification, risk and continuous improvement of the processes are addressed. This includes recommendations on the management of the risks through a structured reporting process. The research looks at arbitrage trading in the South African market from the perspective of an empirical review into the market's participation in equity and equity derivative arbitrage. In addition to this empirical analysis, a time series analysis into various arbitrage strategies is conducted with the view to determining their relative profitability. The first component of the empirical research focuses on the arbitrage trading strategies adopted by a sample of 80 institutions. Where the institutions trade arbitrage strategies, the research undertook to establish what methods are used to identify, trade and manage the index arbitrage, single stock futures arbitrage, risk arbitrage, statistical arbitrage and volatility arbitrage trading opportunities that present themselves within the South African Market. Information gathered did not only focus on the actual trading strategies but also determined the relative cost structures, profitability and risk management processes that are employed to support these trading initiatives. The time series analysis focused on index futures, single stock futures, risk, dual listed and statistical arbitrage methods, and reflects the results before and after transaction costs. These arbitrage strategies were applied to the ALSI Top 40 index or its associated shares and generally spanned a period of about four years. Finally the research presents an arbitrage business model that is aimed at providing a blue print for arbitrage trading which covers: new arbitrage strategy, implementation, market risk, execution, profit, traders, cost Finally, the research provides a multiple regression method for application in identifying further arbitrage trading opportunities within the South African environment. / School of Business Leadaership / DBL

Thesis (MBA)--Stellenbosch University, 2004. / ENGLISH ABSTRACT: A number of financial variables have received extensive attention from those analysts determined to obtain that significant set of variables that improve their forecasts of expected returns. Barbee. Mukherji and Raines (1996: 56-60) suggested that the focus shift to the sales-to-price (S/P) ratio. Their findings indicated that the S/P ratio exhibited greater explanatory power in assessing share returns on Standard and Poars (S&P) American data compared to those variables already in the spot light. This study focuses on a seventeen-year period extending from 1985 to 2002, and includes a sample of industrial sector JSE-listed companies. The set of variables assessed are referred to as the "explanatory variables" and include the following: • Debt-to-equity (D/E) ratio, • Book-to-market value (B/M) ratio, • Market value of equity (MVE) variable; and • Sales-to-price (S/P) ratio. Correlation tests and regression analyses on permutations of these explanatory variables against percentage share return data revealed the MVE variable to possess the dominant relationship with percentage share returns. All models were shown (through inference) to exhibit some validity, with the exception of that model which excluded the MVE variable as an independent variable. The coefficient of the B/M ratio becomes significant when combined with the MVE variable in a regression analysis, accounting for most of the explanatory power of the model. Results from this study were compared with those in Barbee, et al., (1996), Fricker (1996) and Mouton (1998). The comparison revealed that Barbee, et al., (1996) is the only study (of the authors considered) with sufficient evidence to infer significance in the S/P ratio as a more powerful explanatory variable for determining share returns. This study has therefore shown no support for the S/P ratio as an explanatory power in determining percentage share returns, based on JSE data. The MVE variable was instead shown to have the greatest explanatory power, specifically when combined with the BlM ratio. / AFRIKAANSE OPSOMMING: 'n Aantal finansiele veranderlikes het aansienlike aandag van die analiste gekry ten einde 'n betekenisvolle stel van veranderlikes daar te stel wat help om hul vooruitskattings van opbrengste te verbeter. Barbee, Mukherji and Raines (1996: 56-60) het voorgestel dat die fokus verskuif na die verkope tot prys (S/P) verhouding. Hul het bevind dat die S/P verhouding groter verduidelikingsvermoe het by die beoordeling van aandeel opbrengste op Standard en Poors (S&P) se Amerikaanse data as daardie veranderlikes wat reeds onder die soeklig was. Die studie fokus op 'n sewentienjaar-periode van 1985 tot 2002, en dek 'n monster van genoteerde industriele aandele op die Johannesburg se Effektebeurs. Hierdie stel veranderlikes word na verwys as die "verduidelikende veranderlikes" en sluit in: • Skuld tot aandeelhouersfondse (D/E) verhoudings, • Boek tot markwaarde (B/M) verhouding, • Markwaarde van aandeelhouersbelang (MVE) veranderlike, en • Verkope tot prys (S/P) verhouding. Korrelasietoetse en regressie-analises op permutasies van hierdie verduidelikende veranderlikes teenoor persentasie aandeel opbrengste het aangetoon dat die MVE die dominante veranderlike met die persentasie aandeel opbrengste getoon het. Alle modelle (deur gevolgtrekking) het 'n mate van betekenisvolheid openbaar, behalwe die model wat die MVE veranderlike as onafhanklike veranderlike uitgesluit het. Die koeffisient van die B/M verhouding het betekenisvol geword toe dit met die MVE-veranderlike in 'n regressie-analise gekombineer is, en wat dan die grootste gedeelte van die verduidelikingswaarde van die model verklaar. Die resultate van die studie is vergelyk met die van Barbee, et aI., (1996), Fricker (1996) en Mouton (1998). Die vergelyking het aangedui dat Barbee, et al., (1996) die enigste studie is (van die skrywers ondersoek) wat genoegsame getuienis verkry het om die belangrikheid van die S/P verhouding as 'n sterk veranderlike vir die aandeel opbrengste te verklaar. Hierdie studie kon dus geen ondersteuning vind dat die S/P verhouding as 'n verduidelikende veranderlike by die vasstelling van persentasie-opbrengste op die JSE data gebruik kan word nie. Daarenteen het die MVE-veranderlike die grootste voorspellingswaarde gehad, veral as dit gekombineer is met die B/M verhouding.

Thesis (MBA)--Stellenbosch University, 2001. / The objective of this mini study project is to record dividends of de-listed companies from copies of Annual Reports. It forms part of a larger research project at the Graduate School of Business of the University of Stellenbosch that aims at setting up a database containing published financial information on dividends for listed and de-listed companies. Dividends are a valuable source of information content. Recording, and thereafter employing an analysis of basic descriptive statistics on dividends, is one way to decipher such information. Calculating the average and median of dividends declared by companies sheds an insight to the nature of dividend payout. The purpose of the mini study project is to capture the interim, special, and final dividends per share. The method employed is to calculate dividend values and to compare them against those published. Total Rand values of dividends are calculated by multiplying the number of shares issued, by the dividends declared in cents, per share as noted on the directors' report, and notes to the income statement. This is achieved by means of an Excel spreadsheet model.

Thesis (MBA)--Stellenbosch University, 2001 / ENGLISH ABSTRACT: This focus of this study is to analyse trends between three different performance variables for all listed industrials on the Johannesburg Stock Exchange. The three variables are earnings per share, headline earnings per share and operating cash flow per share. Sample A represents data from 1974 to 1999, and Sample B from 1990 to 1999. There are many companies that still do not report headline earnings per share in their financial reports as at the end of their financial year for 1999. A list of these companies is attached as Appendix A. A total of 21 different combinations of the variables were tested for correlations. From this investigation three significant relationships were noted. Firstly, there is a high correlation between earnings per share and operating cash flow per share. The pooled result from 1974 to 1999 is 0,636, that confirms a positive relationship between the two variables. Secondly, the result of the same two variables from the Sample B dataset also shows a high correlation of 0,601 (pooled result). Thirdly, there is a very strong negative pooled result of -0,897 when analysing the difference between (EPS-HEPS) and (HEPS-CFPS). An interesting observation was that although individual yearly results were showing high correlations, the pooled results did not reflect the same tendency. Validated findings attained through statistical testing in this study will in future allow analysts to predict the behaviour of one variable based on the performance of another variable. / AFRIKAANSE OPSOMMING: Die fokus van hierdie studie is om tendense tussen drie verskillende prestasieveranderlikes vir alle genoteerde nywerheidsaandele op die Johannesburgse Effektebeurs te ontleed. Die drie veranderlikes is verdienste per aandeel (VPA), wesensverdienste per aandeel (WVPA) en kontantvloei uit bedryfsaktiwiteite per aandeel (KBAPA). Steekproef A verteenwoordig data vanaf 1974 tot 1999 en Steekproef B vanaf 1990 tot 1999. Teen die einde van 1999 was daar steeds maatskappye wat nie die wesensverdienste per aandeel in hulle finansiële verslae rapporteer nie. 'n Lys van hierdie maatskappye is aangeheg as "Bylae A". In totaal is 21 verskillende kombinasies van die veranderlikes getoets vir onderlinge afhanklikheid. Die ondersoek het drie betekenisvolle verhoudings gelewer. Eerstens is daar 'n hoë onderlinge afhanklikheid tussen verdienste per aandeel en kontantvloei uit bedryfsaktiwiteite per aandeel. Die saamgevoegde resultate vanaf 1974 tot 1999 is 0,636, wat 'n positiewe verhouding tussen die twee veranderlikes bevestig. Tweedens toon die resultate van dieselfde twee veranderlikes van Steekproef B se datastel ook 'n hoë onderlinge afhanklikheid van 0,601 (saamgevoegde restultate). Derdens is daar 'n baie sterk negatiewe resultaat van -0,897 wanneer die verskil tussen (VPA-WVPA) en (WVPA-KBAPA) ontleed word. 'n Interessante waarneming was dat, alhoewel individuele jaarlikse resultate hoë onderlinge afhanklikheid getoon het, die saamgevoegde resultate nie dieselfde neiging weerspieël het nie. Geldige bevindinge, verkry deur statistiese proefneming in hierdie studie, sal analiste in die toekoms toelaat om die gedrag van een veranderlike te voorspel gebaseer op die prestasie van 'n ander veranderlike.

Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: The objective of this study is to determine the optimum number of shares to be included in a well-diversified portfolio of small-capitalised companies listed on the Johannesburg Securities Exchange. A previous study by Jordan (1998) on South African companies falling in this category found that at least 20 shares should be included in a well-diversified portfolio. Neu-ner and Firer (1997) conducted a similar study of naïve diversification on all shares listed on the JSE with findings that at least thirty shares should be included in a well-diversified portfolio, which concurred with the findings of the study done by Statman (1997) on the NYSE. Findings of numerous studies conducted in the USA yielded different results with suggestions that between eight and twenty random selected stocks make a welldiversified portfolio. Fama and French (1992) conducted a research on risk and return with findings that size of a company is a better proxy for risk than beta. Small companies tend to produce returns that are greater than the returns from portfolios of larger companies. The research for determining the number of shares to be included in a portfolio of small company shares was conducted using naïve or random diversification and efficient diversification based on Markowitz efficient frontier. The results of the study indicate that random diversification of a portfolio in small company shares requires between twenty and thirty shares for a portfolio to be well diversified. The findings also showed consistency for the different investment periods investigated in terms of risk reduction. The research findings concur with the studies done by Statman, and Neu-ner and Firer, which suggest that a well-diversified portfolio should contain approximately thirty shares. The efficient diversification or Markowitz diversification resulted in fewer shares included in a well-diversified portfolio. However the optimum portfolio depends on the investors' preference as to the trade-off between risk and return. Efficient diversification is primarily based on the degree of covariance between asset returns in a portfolio. The results found using this technique indicate that a well-diversified portfolio should have approximately sixteen shares. The CAPM TUTOR programme used for efficient diversification conducted the research on an ex ante basis. / AFRIKAANSE OPSOMMING: Die doel van hierdie studie is om die optimale getal aandele van 'n goed gediversifiseerde portefeulje wat saamgestel is uit klein gekapitaliseerde maatskappye wat op die Johannesburgse Effektebeurs noteer is, te bepaal. 'n Vorige studie deur (Jordan, 1998) van Suid-Afrikaanse maatskappye wat in hierdie kategorie val, het bevind dat ten minste 20 aandele ingesluit behoort te word in 'n goed gediversifiseerde portefeulje. Neu-ner en Firer (1997) het 'n soortgelyke studie onderneem van naïewe diversifikasie van al die aandele wat op die Johannesburgse Effektebeurs noteer is. Hulle het bevind dat ten minste 30 aandele ingesluit behoort te word in 'n goed gediversifiseerde portefeulje, wat ooreenstem met die bevindings van die studie deur Statman (1997) oor die New Yorkse Effektebeurs. Bevindings van talle studies wat in die VSA gedoen is, het verskillende resultate opgelewer en dui daarop dat tussen agt en 20 lukraak geselekteerde aandele 'n goed gediversifiseerde portefeulje verteenwoordig. Fama en French (1992) het navorsing gedoen oor risiko en opbrengs, en het bevind dat die grootte van 'n maatskappy 'n beter aanduiding vir risiko is as beta. Klein maatskappye neig om opbrengste te lewer wat groter is as die opbrengs van portefeuljes wat bestaan uit groter maatskappye. Navorsing om die getal aandele te bepaal wat ingesluit behoort te word in 'n portefeulje wat bestaan uit aandele van klein maatskappye, is gedoen deur gebruik te maak van naïewe of lukrake diversifikasie en doeltreffende diversifikasie, gebaseer op die Markowitz doeltreffendheidsfront. Die resultate van hierdie studie dui aan dat lukrake diversifikasie, van 'n portefeulje wat uit aandele van klein maatskappye bestaan, tussen 20 en 30 aandele vereis vir die portefeulje om goed gediversifiseerd te wees. Hierdie bevindings het ook gedui op konsekwentheid vir die verskillende beleggingsperiodes wat ondersoek is in terme van risikoverlaging. Hierdie navorsingsbevindings stem ooreen met die studies van Statman, Neu-ner en Firer, wat daarop dui dat 'n goed gediversifiseerde portefeulje uit ongeveer 30 aandele behoort te bestaan. Die doeltreffende diversifikasie, of Markowitz diversifikasie, het tot gevolg gehad dat minder aandele ingesluit is in 'n goed gediversifiseerde portefeulje. Die optimale portefeulje word egter bepaal deur beleggersvoorkeur ten opsigte van die verrekening tussen risiko en opbrengs. Doeltreffende divesifikasie is hoofsaaklik gebaseer op die mate van kovariansie tussen bate-opbrengs in 'n portefeulje. Die resultate dui daarop dat deur hierdie tegniek te gebruik, 'n goed gediversifiseerde portefeulje ongeveer 16 aandele moet insluit. Die CAPM TUTOR-program wat gebruik is vir doeltreffende diversifikasie, het die navorsing op 'n ex ante (vooruitgeskatte ) basis gedoen.