Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: This research involves the study of the relationship between share prices, earnings per share, dividends per share and cash flow per share. The aim is to estimate the extent of the effect of earnings per share, dividends per share and cash flow per share on share prices. A sample of industrial companies, all listed on the Johannesburg Stock Exchange is used. The sample includes 17 sectors, containing a total of 326 companies. The data relating to these companies is sourced from the database of the University of Stellenbosch Business School. Twenty consecutive years of reported financial results are used. This includes (i) share prices as at the company's year-end, (ii) earnings per share, (iii) dividends per share and (iv) cash flow per share for the financial year. The data for each individual company is arranged in three separate structures. One structure, known as levels, is created using the data in their original form. A second structure, first differences, is constructed using the annual changes in the original data. The third structure, first difference percentages, is created using the annual changes in the original data calculated as a percentage of the previous year's figure. Several methods are used to analyse data, by way of statistical models known as linear regression, multiple regression and stepwise regression, which is a variation of multiple regression. Regression analysis is used in deterministic models because the value of one variable is predicted on the basis of other variables. Such models are called deterministic because they allow users of data to determine the value of the dependent variable from the value of the independent variable(s). Linear regression is capable of calculating the relationship between variables, which are dependent on each other and represents the dependency as a percentage. Multiple regression is a statistical model, which calculates and represents the relationship between three or more variables as an equation. Multiple regression is capable of calculating the relationship between the three or more variables which are dependent on each other and represents the dependency as a percentage. The statistical models are applied to each company individually, based on the three structures of the data. The conclusions of this research are based upon the results of the dependency of the variables, calculated by the various statistical models. The conclusions arrived at were that (1) the first differences structure is best suited to this model, (2) by placing the data of individual companies together in one pool, the problem of weighing each company was overcome, and (3) using linear regression results together with the multiple and stepwise regression results added value in terms of comparison of the accuracy of results. A comparison was drawn between the findings of this study and those of previous writers and is referred to in the text. Four researchers namely Strong, Board and Day, Brown and Mara-Tjingaete, regressed the results of earnings versus share price and produced R2 values of 12,8 percent, 13 percent, 7 percent and 7,8 percent respectively. Brown and Mara-Tjingaete found R2 results of 14 percent and 0,6 percent respectively for dividends versus share price and this study also produced an R2 result of 0,4 percent for cash flow versus share price. / AFRIKAANSE OPSOMMING: Hierdie navorsing behels die studie van die verwantskap tussen aandeelpryse, verdienste per aandeel, dividende per aandeel en kontantvloei per aandeel. Die doel daarvan is om die uitwerking van verdienste per aandeel, dividend per aandeel en kontantvloei per aandeel op aandeelpryse te bereken. 'n Steekproef van industriële maatskappye genoteer op die Johannesburgse Effektebeurs is gebruik. Die steekproef strek oor 17 sektore en sluit 326 maatskappye in. Die data van hierdie maatskappye is verkry van die databank van die Universiteit van Stellenbosch Bestuurskool. Twintig opeenvolgende jare se gepubliseerde finansiële state word in die steekproef gebruik. Dit sluit in (i) aandeelpryse soos op die maatskappye se finansiële jaareinde, (ii) verdienste per aandeel, (iii) dividende per aandeel en (iv) kontantvloei per aandeel vir die finansiële jaar. Die data vir elke maatskappy is in drie verskillende strukture gerangskik. Een struktuur, bekend as vlakke, is geskep deur die data in hulle oorspronklike vorm te gebruik. 'n Tweede struktuur, eerste verskille, is saamgestel deur die jaarlikse verandering in die oorspronklike data te gebruik. Die derde struktuur, eerste verskille-persentasies, is geskep deur die jaarlikse veranderinge in die oorspronklike data, bereken as 'n persentasie van die vorige jaar se syfer, te gebruik. Verskeie metodes word gebruik om data te ontleed, deur middel van statistiese modelle bekend as lineêre regressie, meervoudige regressie en stapsgewyse regressie, 'n variasie van meervoudige regressie. Regressie ontledings word gebruik in bepalende modelle omdat die waarde van een veranderlike gebruik word as basis om die waarde van die ander veranderlike te probeer voorspel. Sulke modelle word bepalend genoem vanweë die feit dat dit gebruikers van data in staat stel om die waarde van die afhanklike veranderlike te bepaal deur middel van die waarde van die onafhanklike veranderlike(s). Lineêre regressie kan die verwantskap tussen interafhanklike veranderlikes bereken en die afhanklikheid as 'n persentasie uitdruk. Meervoudige regressie is 'n statistiese model wat die verwantskap tussen drie of meer veranderlikes as 'n vergelyking bereken en voorstel. Meervoudige regressie kan die verwantskap tussen drie of meer interafhanklike veranderlikes bereken en die afhanklikheid as 'n persentasie uitdruk. Die statistiese modelle word toegepas op elke individuele maatskappy, gebaseer op die bogenoemde drie strukture. Die bevindinge van die navorsing is gebaseer op die resultate van die afhanklikheid van die veranderlikes soos deur die verskillende statistiese modelle bereken. Die uiteindelike gevolgtrekking was dat (1) die eerste verskille-struktuur die mees gepaste vir hierdie model is, (2) deur die data van die afsonderlike maatskappye in een poel te plaas, is die probleem van die gewig per maatskappy oorkom, (3) die gebruik van lineêre, meervoudige en stapsgewyse regressie het baie waarde ten opsigte van die vergelyking van akkuraatheid van die resultate toegevoeg. Vergelykings is getref tussen bevindinge in hierdie werkstuk en die van ander navorsers. Vier navorsers, naamlik Strong, Board en Day, Brown en Mara- Tjingaete het R2 resultate vir verdienste per aandeel teenoor aandeelpryse van onderskeidelik 12,8 persent, 13 persent, 7 persent en 7,8 persent gekry. Brown en Mara-Tjingaete het R2 resultate van onderskeidelik 14 persent en 0,6 persent bevind vir dividende per aandeel teenoor aandeelpryse en hierdie studie het ook R2 resultate van 0,4 persent vir kontantvloei per aandeel teenoor aandeelpryse gelewer.

Study project (MBA)--University of Stellenbosch, 2003. / ENGLISH ABSTRACT: The objective of this study is to verify the cumulative factors developed by the Graduate School of Business of the University of Stellenbosch when calculating prices per share (price) over the period 1970 to 2000, earnings per share (EPS), cash flows per share (CFS) and net asset values per share(NA V). All four are done in a time series format. This study project forms part ofa larger research project of the Graduate School of Business ofthe University of Stellenbosch (USB). The data was extracted from the database of the USB and also from companies' financial annual reports and/or directors' reports of the annual financial statements of each company included in the research for the specified periods. The aim of this study is to compare the calculated implicit cumulative factors used in practice with the specific cumulative factor calculated/used by the USB. The !NET prices were compared with the prices of the USB (after using the USB specific cumulative factors). The study also compares the NAV published by companies with the NAV obtained by the USB by dividing equity/weighted average number of shares duly adjusted by the cumulative factor. Companies with minor and major differences were observed but for the purpose of this study only the examples of companies with major differences have been indicated and properly documented. / AFRIKAANSE OPSOMMING: Die doel van hierdie studie is om die kumulatiewe faktore wat deur die Nagraadse Bestuurskool van die Universiteit van Stellenbosch ontwikkel is, te verifieer, wanneer pryse per aandeel (prys) oor tydperk 1970 tot 2000, verdienste per aandeel, kontantvloei per aandeel en netto batewaardes per aandeel bereken word. Al vier word in 'n tydreeksformaat gedoen. Hierdie studieprojek vorm deel van 'n groter navorsingsprojek van die Nagraadse Bestuurskool van die Universiteit van Stellenbosch (USB). Die data is van die USB databasis verkry, asook van maatskappye se finansiële jaarverslae en/of direkteure se verslae van die jaarlikse finansiële state van elke maatskappy wat in die navorsing vir die spesifieke tydperke ingesluit is. Die doelwit van hierdie studie is om die berekende implisiete kumulatiewe faktore wat in die praktyk gebruik word met die spesifieke kumulatiewe faktore wat deur die USB bereken/gebruik word, te vergelyk. Die !NET pryse is met die pryse van die USB (nadat die USB spesifieke kumulatiewe faktore gebruik is) vergelyk. Die studie vergelyk ook die netto batewaardes per aandeel wat deur die maatskappye gepubliseer is met die netto batewaardes per aandeel wat deur die USB verkry is, deur die aandeelhouersbelang/geweegde gemiddelde aantal aandele wat behoorlik aangepas is, met die kumulatiewe faktore te deel. Maatskappye met groter of kleiner verskille is waargeneem, maar vir die doel van hierdie studie is slegs die voorbeelde van maatskappye met groter verskille aangedui en behoorlik voorsien.

Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: This study investigates the relationship between dividends and stock returns on the Johannesburg Stock Exchange (JSE). In this mini study project a regression model is used to investigate the relationship between dividend yield portfolios and stock returns. Each of these dividend yield portfolios are further subdivided into dividend stability portfolios which together with a regression model are used to investigate the relationship between dividend stability and stock returns on the JSE. It follows from this study that there is a non-linear relationship between the risk-adjusted returns and dividend yields. A significant finding of this study is the fact that there is an inverse linear relationship between the dividend yield and average stock returns for dividend paying portfolios on the JSE. Investors on the JSE appear to place a premium on capital gains as opposed to dividends. It follows from this study that there is an inverse correlation between dividend stability and the risk-adjusted return with the beta coefficient increasing as dividend stability decreases. Within a particular yield portfolio, it is evident that higher systematic risk is associated with shares with unstable dividend yielding histories. It is clear from the results that this dividend signalling is not limited to high yielding stocks alone. As dividends are not entirely controlled by managers, a low stable dividend yield could signal a low exposure to systematic risk to outsiders. / AFRIKAANSE OPSOMMING: In hierdie studie word die verband tussen dividende en aandeelopbrengste op die Johannesburgse Effektebeurs ondersoek. 'n Regressiemodel is in hierdie mini werkstuk gebruik om die verwantskap tussen dividend opbrengsportfolios en aandeelopbrengs te ondersoek. Elk van hierdie opbrengsportfolios is vervolgens verder verdeel in dividendstabiliteitsportfolios wat tesame met 'n regressiemodel gebruik is om die verband tussen dividendstabiliteit en aandeelopbrengs te bepaal. Dit volg uit hierdie studie dat daar 'n nie-lineêre verband tussen risiko aangepaste aandeelopbrengs en dividendopbrengs bestaan. 'n Noemenswaardige bevinding is die inverse lineêre verwantskap tussen dividend en gemiddelde aandeelopbrengs vir dividend betalende aandele op die Johannesburgse Effektebeurs. Dit blyk asof beleggers op die Johannesburgse Effektebeurs 'n premie plaas op kapitaalgroei ten koste van dividendopbrengs. Dit volg ook uit hierdie studie dat daar 'n inverse korrelasie is tussen dividendstabiliteit en risiko aangepaste aandeelopbrengs met die beta koëffissiënte wat toeneem soos dividendstabiliteit afneem. Binne 'n spesifieke dividendopbrengsportfolio is dit duidelik dat hoër sistematiese risiko geassosieer word met onstabiele historiese dividendopbrengste. Dit volg uit die resultate dat hierdie inligtingoordrag deur middel van dividende, nie beperk is tot hoë dividendopbrengs aandele nie. Aangesien dividende nie uitsluitlik deur bestuurders beheer word nie, kan 'n aandeel met lae maar stabiele dividendopbrengs, 'n boodskap van lae blootstelling aan sistematiese risiko aan die mark oordra.

Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: The dream of finding the ultimate tool for forecasting market instruments like share prices has long eluded investors throughout the world. Various forecasting techniques have been examined with a view to helping the investor or analyst to gain a better understanding of price behaviour in the open market. These techniques have been based mainly on traditional statistical analysis of data to forecast price behaviour. Though used by almost all serious investors, these techniques have yielded limited success as investment instruments. The reason for this is that most of these methods explored linear relationships between variables in the forecasting model, while in fact, most relationships found between variables in the share market are non-linear. Neural networks present a unique opportunity for the investor to overcome this problem. Neural networks are mathematical models of the human brain and have the ability to map complex nonlinear relationships between data sets. This study focuses on developing a neural network model to predict the price changes of the ALSI index on the JSE one and five days into the future. The results of the neural network model were then compared to forecasting results obtained by using a traditional statistical forecasting technique namely ARIMA modelling. The study found that the neural network models did not significantly perform better than the ARIMA models. A further test was done to determine the performance of the five-day forecasting model when analysing different time windows within the given data set. The test indicated that the model did perform better when using the inputs of certain time frames. This indicates that the neural network model needs to be updated regularly to ensure optimum model performance. The results of the neural network models were also used in a trading simulation to determine whether these results could be applied successfully to trading the ALSI index on the JSE. Unfortunately, the results of the trading simulation showed that using the neural network results as trading strategy yielded poorer results than using a buy/hold investment strategy. It can therefore be concluded that, although the neural network models performed relatively well relative to traditional forecasting techniques in forecasting the ALSI index, the forecasts were still not accurate enough to be useful as inputs in a trading strategy. / AFRIKAANSE OPSOMMING: Die droom om die perfekte vooruitskattingsinstrument te vind om die prysgedrag van verskillende markinstrumente vooruit te skat, ontwyk al generasies lank die meeste beleggers. Verskillende tegnieke is al ondersoek om die belegger te help om ’n beter gevoel van prysveranderinge in die vrye mark te verkry. Die meeste van hierdie tegnieke het gefokus op tradisionele statistiese vooruitskattingstegnieke. Alhoewel hierdie tegnieke wêreldwyd deur investeerders gebruik word, was hierdie metodes se sukses as investeringsinstrument beperk. Die rede vir hierdie beperkte sukses lê in die feit dat hierdie tegnieke slegs die lineêre verwantskappe tussen veranderlikes gebruik het om voorspellings te maak, terwyl die meeste verwantskappe wat tussen veranderlikes in die vrye mark bestaan, nie-lineêr is. Neurale netwerke bied ’n unieke geleentheid vir beleggers om bogenoemde probleme te oorkom. Neurale netwerke is wiskundige modelle wat op die werking van die menslike brein gebaseer is en besit die vermoë om komplekse nie-lineêre verwantskappe tussen datastelle te herken. Hierdie studie fokus op die ontwikkeling van ’n neurale netwerk(e) om die prysverandering van die ALSI indeks op die JEB een en vyf dae in die toekoms vooruit te skat. Die resultate van die neurale netwerk model is verder vergelyk met die resultate van tradisionele statistiese vooruitskattingstegnieke soos byvoorbeeld ARIMA tegnieke. Die studie het gevind dat die neurale netwerk modelle nie beduidend beter gevaar het as die ARIMA modelle in die vooruitskatting van die ALSI indeks in beide die een- en vyfdag vooruitskattings nie. ’n Verdere toets is gedoen om die toepaslikheid van die gekose vyfdagmodel op verskillende tydvensters van die tydreeks te bepaal. Die toets het aangetoon dat die model baie meer akkuraat is vir sekere tydvensters as vir ander tydvensters. Dit dui dus daarop dat die neurale netwerk model gereeld heropgelei behoort te word om seker te maak dat die model optimaal presteer gegewe die spesifieke insetdata. Die resultate van die neurale netwerk model is ook gebruik in ’n simulasie om te bepaal of die resultate die belegger kan help om beter investeringsbesluite rakende die ALSI indeks op die JEB te maak. Ongelukkig het die simulasie resultate gewys dat ’n beleggingstrategie gebaseer op die neurale netwerk resultate swakker opbrengste gerealiseer het as ’n koop/hou beleggingstrategie. Ten slotte het die studie getoon dat alhoewel die neurale netwerk modelle relatief goed in vergelyking met tradisionele statistiese modelle gevaar het in die vooruitskatting van die ALSI indeks, hierdie vooruitskattings nie akkuraat genoeg is om as inset tot ’n investeringstrategie gebruik te word nie.

Thesis (MBA)--Stellenbosch University, 2003. / Some digitised pages may appear illegible due to the condition of the original hard copy / ENGLISH ABSTRACT: Investors often question the extent to which the state of the market affects returns in investment finance, and seek answers as to whether the market response to bad and good news is dependent on the level of the market. If this is true, investors who have the ability to identify events can make substantial amounts of money by identifying the state of the market before investing. This would then be in violation of the efficient market hypothesis. This study used the Conrad, Cornell and Landsman (2002) model to investigate whether the share price's response to bad news in South Africa changes with the relative level of the market. Conrad, et al. (2002) found enough evidence that the market's response to bad news increases with the increase in relative level of the market. Bhana (1996) supported this notion when he reported that investors overreacted to companies that announced negative earnings. A sample analysis of this study produced regression equations with insignificant unexpected earnings coefficients. One of the notable factors was that, for some observations, the retained earnings moved in the opposite direction with the unexpected earnings shocks. Malan (1998) found similar market reaction when he investigated the overreaction theory using three indices from Johannesburg Stock Exchange and he reported that the market could not distinguish between bad and good news as the results for both bad and good news yield either positive or negative abnormal returns. After introducing additional variables to allow for these opposite movements, CHANGE, the regression equation produced significant regression coefficients. The results of the study were directly opposite to the findings of Conrad, et al. (2002) and those in other existing literature. These indicated that the market responds strongly to good news in both good and bad market states. The study concludes by suggesting further areas for future research. / AFRIKAANSE OPSOMMING: Beleggers bevraagteken dikwels die mate waarin die opbrengste in beleggingsfinansies deur marktoestande beïnvloed word, en wil weet of die markreaksie op slegte of goeie nuus van markvlakke afhang. Indien dit waar is, kan beleggers wat die vermoë het om vooraf gebeure te identifiseer, aansienlike hoeveelhede geld maak deur die toestand van die mark te bepaal voor hulle geld belê. Dit sal dan teenstrydig wees met die Doeltreffende markhipotese. Hierdie studie gebruik die Conrad, Cornell en Landsman-model (2002) om uit te vind of die aandeleprys se reaksie op slegte nuus in Suid-Afrika saam met die relatiewe vlak van die mark verander. Conrad, et al. (2002) het voldoende bewyse gevind dat die mark se reaksie op slegte nuus toeneem soos die relatiewe vlak van die mark toeneem. Bhana (1996) het hierdie gedagte ondersteun toe hy berig het dat beleggers oorreageer wanneer maatskappye negatiewe verdienste aankondig. 'n Steekproefontleding in hierdie studie het regressievergelykings met onbeduidende onverwagte verdienste-koëffisiënte gelewer. Een van die belangrikste faktore was dat die teruggehoue verdienste by sommige waarnemings in die teenoorgestelde rigting beweeg het met onverwagte verdienste-skokke. Malan (1998) het 'n soortgelyke markreaksie gevind toe hy die oorreaksie-teorie ondersoek het deur drie indekse van die Johannesburgse aandelebeurs te gebruik. Hy het berig dat die mark nie tussen slegte en goeie nuus kon onderskei nie omdat die resultate vir slegte sowel as goeie nuus positiewe of negatiewe abnormale opbrengste lewer. Nadat bykomende veranderlikes ingebring is om voorsiening vir hierdie teenoorgestelde bewegings te maak, het die regressievergelyking beduidende regressiekoëffisiënte opgelewer. Die resultate van hierdie studie staan lynreg teenoor die bevindinge van Conrad, et al. (2002) en dié van ander bestaande literatuur. Dit dui daarop dat die mark sterk reageer op goeie nuus in goeie sowel as swak marktoestande. Die studie word afgesluit met voorstelle vir verdere navorsing op hierdie gebied.

Thesis (M.Com. (Finance))--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2017 / This dissertation investigates the inclusion of volatility into the asset allocation decision, first as an asset class, and second as a tool for dynamic equity allocation. An examination on whether volatility exposure as an asset class has the necessary characteristics to form part of the broader investment universe is conducted. This is accomplished by comparing the risk-return characteristics of three naked option-selling strategies, a bull put spread strategy and a VIX futures strategy with the S&P 500 Index. Each volatility strategy is also included as part of a 30/30/40 volatility/equity/bond portfolio and compared to a traditional 60/40 equity/bond portfolio. Historically, the results indicate that all individual volatility strategies generated superior Sharpe ratios and exhibited less severe drawdowns than the S&P 500 Index, particularly during the 2008 Global Financial Crisis. Additionally, all volatility blended portfolios experienced better tail-risk profiles than the 60/40 equity/bond portfolio, with the naked option-selling strategies also generating similar returns as the 60/40 portfolio both over the full sample period as well during the period of recovery following the 2008 Global Financial Crisis. The results suggest that the returns associated with option-selling strategies are consistent, and have resulted in strong long-run risk-adjusted performance, qualifying short volatility exposure attained through option-selling strategies as an asset class. It however remains unclear whether the VIX futures strategy qualifies as an asset class given that it aims to exploit a market anomaly in the form of potentially non-priced volatility clustering in the S&P 500 Index. While the strategy generated considerable outperformance from 2004 to 2009, it underperformed from 2009 to 2016 suggesting that much of the non-priced volatility clustering has since been traded away. Drawing on the evidence of volatility clustering in equity markets, a managed volatility trading rule that regulates portfolio exposure between cash and equity based on how high the prevailing volatility level was relative to historical volatility levels is developed. Although transaction costs were not accounted for, the results indicated that the managed volatility trading rule has historically generated considerably superior Sharpe ratios than equity in developed and developing markets. In conclusion, volatility exposure attained through option-selling strategies has proven to be an attractive asset class, and historical evidence suggests that its inclusion into a traditional 60/40 equity/bond portfolio is likely to reduce the risk of future risk-adjusted underperformance relative to what had been achieved in the past. Additionally, the managed volatility trading rule remains an attractive alternative to investors who are precluded from investing in volatility as an asset class. / GR2018

This study investigates whether stock prices in South Africa are influenced by macroeconomic variables, and furthermore, the effects of financial crises on stock prices. The relationship between stock prices and the macroeconomy is a particularly important issue for investors, since a thorough understanding of such a relationship is likely to yield profitable or risk mitigating opportunities. Using monthly data for the period 1995 to 2010 the study focused at a macro level using the FTSE/JSE All Share Index, and at a micro level using sector indices. These included the construction and materials, financial, food producers’, general retailers, industrial, mining and pharmaceuticals indices. The Johansen and Juselius (1990) multivariate cointegration approach was employed, along with impulse response and variance decomposition tests to address the issue. The results showed that macroeconomic variables do have a significant influence on stock prices in South Africa. Also, the influences of these variables were found to have an inconsistent effect across the sectors under investigation. For example, inflation was found to negatively influence the All Share Index, but impacted the industrial index positively. These inconsistent influences on the various sectors were seen to have important diversification implications for investors. The impact of past financial crises proved to be significant on certain indices, however, indices such as that of the pharmaceuticals sector was found to be largely unaffected by such crises. The findings of the study were discussed through an investor’s perspective, and recommendations on investment decisions were given. The limitations of the study were such that certain results may have been influenced by a mis-specification of variables, particularly the Treasury bill rate.

Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The price earnings multiple is a ratio of valuation and is published widely in the media as a comparative instrument of investment decisions. It is used to compare company valuation levels and their future growth/franchise opportunities. There have been numerous research studies done on the price earnings multiple, but no study has been able to design or derive a model to successfully predict the future price earnings multiple where the current stock price and following year-end earnings per share is used. The most widely accepted method of share valuation is to discount the future cash flows by an appropriate discount rate. Popular and widely used stock valuation models are the Dividend Discount Model and the Gordon Model. Both these models assume that future dividends are cash flows to the shareholder. Thomas K. Philips, the chief investment officer at Paradigm Asset Management in New York, constructed a valuation model at the end of 1999, which he published in The Journal of Portfolio Management. The model (Philips price earnings multiple model) was derived from the Dividend Discount Model and calculates an implied future price earnings multiple. The Philips price earnings multiple model includes the following independent variables: the cost of equity, the return on equity and the dividend payout ratio. Each variable in the Philips price earnings multiple model is a calculated present year-end point value, which was used to calculate the implied future price earnings multiple (present year stock price divided by following year-end earnings per share). This study used a historical five year (1995-2000) year-end data to calculate the implied and actual future price earnings multiple. Out of 225, Johannesburg Stock Exchange listed companies studied, only 36 were able to meet the criteria of the Philips price earnings multiple model. Correlation and population mean tests were conducted on the implied and constructed data sets. It proved that the Philips price earnings multiple model was unsuccesful in predicting the future price earnings multiple, at a statistical 0,20 level of significance. The Philips price earnings multiple model is substantially more complex than the Discount Dividend Model and includes greater restrictions and more assumptions. The Philips price earnings multiple model is a theoretical instrument which can be used to analyse hypothetical (with all model assumptions and restrictions having been met) companies. The Philips price earnings multiple model thus has little to no applicability in the practical valuation of stock price on Johannesburg Stock Exchange listed companies. / AFRIKAANSE OPSOMMING: Die prysverdienste verhouding is 'n waarde bepalingsverhouding en word geredelik gepubliseer in die media. Hierdie verhouding is 'n maatstaf om maatskappye se waarde vlakke te vergelyk en om toekomstige groei geleenthede te evalueer. Daar was al verskeie navorsingstudies gewy aan die prysverdiensteverhouding, maar nog geen model is ontwikkel wat die toekomstige prysverdiensteverhouding (die teenswoordige aandeelprys en toekomstige jaareind verdienste per aandeel) suksesvol kon modelleer nie. Die mees aanvaarbare metode vir waardebepaling van aandele is om toekomstige kontantvloeie te verdiskonteer teen 'n toepaslike verdiskonteringskoers. Van die vernaamste en mees gebruikte waardeberamings modelle is die Dividend Groei Model en die Gordon Model. Beide modelle gebruik die toekomstige dividendstroom as die toekomstige kontantvloeie wat uitbetaal word aan die aandeelhouers. Thomas K. Philips, die hoof beleggingsbeampte by Paradigm Asset Management in New York, het 'n waardeberamingsmodel ontwerp in 1999. Die model (Philips prysverdienste verhoudingsmodei) was afgelei vanaf die Dividend Groei Model en word gebruik om 'n geïmpliseerde toekomstige prysverdiensteverhouding te bereken. Die Philips prysverdienste verhoudingsmodel sluit die volgende onafhanklike veranderlikes in: die koste van kapitaal, die opbrengs op aandeelhouding en die uitbetalingsverhouding. Elke veranderlike in hierdie model is 'n berekende teenswoordige jaareinde puntwaarde, wat gebruik was om die toekomstige geïmpliseerde prysverdiensteverhouding (teenswoordige jaar aandeelprys gedeel deur die toekomstige verdienste per aandeel) te bereken. In hierdie studie word vyf jaar historiese jaareind besonderhede gebruik om die geïmpliseerde en werklike toekomstige prysverdiensteverhouding te bereken. Van die 225 Johannesburg Effektebeurs genoteerde maatskappye, is slegs 36 gebruik wat aan die vereistes voldoen om die Philips prysverdienste verhoudingsmodel te toets. Korrelasie en populasie gemiddelde statistiese toetse is op die berekende en geïmpliseerde data stelle uitgevoer en gevind dat die Philips prysverdienste verhoudingsmodel, teen 'n statistiese 0,20 vlak van beduidenheid, onsuksesvol was om die toekomstige prysverdiensteverhouding vooruit te skat. Die Philips prysverdienste verhoudingsmodel is meer kompleks as die Dividend Groei Model met meer aannames en beperkings. Die Philips prysverdienste verhoudingsmodel is 'n teoretiese instrument wat gebruik kan word om hipotetiese (alle model aannames en voorwaardes is nagekom) maatskappye te ontleed. Dus het die Philips prysverdienste verhoudingsmodel min tot geen praktiese toepassingsvermoë in die werkilke waardasie van aandele nie.

Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The relationship between asset markets and economic growth is well documented in economic literature. Harvey (1989), conducted a study of the relationship between interest rate spreads, share market prices and real economic growth in the USA. He developed a model to forecast real economic growth using interest rate spreads and share market prices and concluded that interest rate spreads produced superior forecasts to those based on share market information. He further established that the forecasts obtained from his simple model, which made no provision for serial correlation, compared favourably with those of leading economic forecasters in the USA. Van der Mescht (1991) undertook a similar study based on interest rate spreads and share market prices in South Africa. He concluded that there were no significant differences between the capital market and share market as predictors of economic growth in South Africa when provision was made in Harvey's model for the effects of serial correlation. His results indicated that both the capital and share markets were able to explain more than 65 percent of the variation in economic growth over the period of his study and that the forecasts were able to accurately predict the turning points in the economy and compared favourably with other leading economic forecasters. A similar study to Van der Mescht's using updated South African data found that in general the conclusions reached by Van der Mescht remain valid. A difference which is evident, however, is that, whereas previously, there was little difference between the results of the interest rate spread and share market index model, the interest rate spread model produced better results over the period of this study (1981 - 1998). / AFRIKAANSE OPSOMMING: Die verwantskap tussen die kapitaal- en aandelemark en ekonomiese groei is deeglik in die ekonomiese literatuur ge-dokumenteer. Harvey (1989) het navorsing gedoen oor die verwantskap tussen die termynstruktuur van rentekoerse, aandelepryse en reële ekonomiese groei in die VSA. Hy het 'n vooruitskattingsmodel ontwikkel vir ekonomiese groei, gebaseer op die termynstruktuur van rentekoerse en aandelepryse en het tot die gevolgtrekking gekom dat die termynstruktuur van rentekoerse 'n beter vooruitskatter van ekonomiese groei is as die aandelemark, en dat sy model, wat geen voorsiening vir outokorrelasie maak nie, goed vergelyk met ander ekonometriese modelle wat ekonomiese groei in die VSA vooruitskat. Van der Mescht (1991) het 'n soortgelyke studie, gebaseer op die termynstruktuur van rentekoerse en aandelepyse in Suid Afrika, onderneem. Hy het tot die gevolgtrekking gekom dat daar geen betekenisvolle verskil is tussen die kapitaal en aandelemark as vooruitskatters van ekonomiese groei indien daar vir outokorrelasie in die modelle voorsiening gemaak word nie. Sy resultate dui aan dat die kapitaal- en aandelemark meer as 65 persent van die persentasieverandering in die ekonomiese groei kon verklaar oor die termyn van sy studie, dat dit akkurate vooruitskattings van die draaipunte in die Suid Afrikaanse ekonomie gelewer het, en dat dit gunstig vergelyk met ander ekonomiese vooruitskatters. 'n Soortgelyke studie as die van Van der Mescht is onderneem, met die jongste inligting omtrent termynstruktuur van rentekoerse en aandelepryse in Suid Afrika. In die algemeen is die gevolgtrekkings van Van der Mescht steeds van toepassing. Daar is egter aangetoon dat, waar daar voorheen geen betekenisvolle verskil tussen die kapitaal- en aandelemark as vooruitskatters van ekonomiese groei was nie, die termynstruktuur van rentekoerse beter resultate oor die termyn van hierdie studie gelewer het. (1981 -1998).

Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006. / In recent times many theories have surfaced posing challenging threats to the Efficient Market Hypothesis. We are entering an exciting era of financial economics fueled by the urge to have a better understanding of the intricate workings of financial markets. Many studies are emerging that investigate the relationship between stock market predictability and efficiency. This paper studies the existence of calendar-based patterns in equity returns, price momentum and earnings momentum in the South African securities market. These phenomena are commonly referred to in the literature as security market imperfections, financial market puzzles and market anomalies. We provide evidence that suggests that they do exist in the South African context, which is consistent with findings in various international markets. A vast number of papers on the subject exist in the international arena. However, very few empirical studies on the South African market can be found in the public domain. We aim to contribute to the literature by investigating the South African case.