published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration

A research report submitted to the School of Economic and Business Sciences, Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment (50%) of the requirements for degree of Master of Commerce in Finance. Date of submission: April 2016 / International studies have widely documented the long-run underperformance of firms conducting secondary equity offerings (SEOs), a phenomenon commonly referred to as the ‘new issues puzzle’. Understanding the market’s reaction to SEOs is vital for managers who are commonly tasked with deciding on how to finance their firm’s operations. This study investigates the short-run and long-run performance of firms conducting SEOs on the Johannesburg Stock Exchange (JSE) over the period of 1998 to 2015, by exploring both rational and behavioural models in predicting SEO behaviour. Event-study analysis reveals that the market generally reacts negatively to the announcement of SEOs with a statistically significant average two-day cumulative abnormal return of -2.6%. Using a buy-and-hold abnormal return approach, as well as factor regression analysis to study the long-run share performance of issuing firms, there is no evidence that issuing firms significantly underperform relative to non-issuing firms over a five-year period when testing for abnormal share return performance with the Capital Asset Pricing Model. Furthermore, issuing firms exhibit no consistent signs of operating underperformance in comparison to non-issuing firms over a fiveyear period. Finally, in evidence contradicting the market timing theory, investor sentiment appears to bear no consistently significant influence on either a firm’s decision to issue equity, or on the short-run and long-run performance of SEOs. Overall, the results imply that the longrun performance of SEOs conducted in South Africa is best described by rational explanations centred on the risk-return framework. There is no consistent evidence of any ‘new issues puzzle’ on the JSE. / MT2017

Thesis submitted in fulfilment of the requirements for the degree of Masters of Management in Finance and Investments in the Faculty of Commerce, Law and Management Wits Business School at the University of the Witwatersrand , 2016 / We use a comprehensive HedgeNews Africa data set from January 2007 to October 2016 to examine the performance of South African Hedge Funds in relation to JSE All share Index and All Bond Composite Index. We do so using Capital Assets Pricing Model (CAPM), Fama and French three-factor model and four factor model. Research on South African hedge funds are scarce, which motivate this research and in the light of the new regulation that provide for two categories of hedge funds, namely Qualified Investor hedge funds and Retail Investors hedge funds, to see how ordinary investor can benefit from this unique industry. The results show that South African hedge fund have low correlation with the All Bond Composite Index, but do not outperform the JSE All Share Index. We also find that South African hedge fund outperforms the All Bond Composite Index. We further test whether South African hedge fund managers have market timing ability and find that they do not have any significant market timing ability. / MT2017

A research report submitted to the Faculty of Commerce, Law and Management in partial fulfilment of the requirements for the degree of Master of Commerce / The debt reduction provisions contained in s 19 and para 12A of the Eighth Schedule to the Income Tax Act 58 of 1962 seek to reverse the tax benefits claimed or enjoyed by debtors in relation to debt which has been forgiven, wholly or in part. In most cases, the application of these provisions should not lead to any difficulty. Nevertheless, some scenarios are not adequately provided for by the legislation, including debt reduction in favour of debtors carrying on mining operations, as well as partial debt reductions. Furthermore, the applicability of some of the exemptions to these provisions is unclear. Despite recent amendments to these provisions, which will apply to years of assessment commencing on or after 1 January 2013, the legislature has not addressed these issues. Key words: allowance assets; base cost; capital assets; capital gains tax; debt forgiveness; debt reduction; debt waiver; deemed donation; donation; donations tax; exemption; group of companies; operating expenditure; mining capital expenditure; tracing of expenditure; trading stock.

Thesis (M.Com. (Finance))--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2016 / The purpose of the study is to investigate the effects of relaxing the assumption of multivariate normality typically utilised within the traditional asset pricing framework. This is achieved in two ways. The first involves the introduction of higher moments into the linear Capital Asset Pricing Model while the second involves a Monte Carlo experiment to determine the impact of skewness and kurtosis on test statistics traditionally employed to assess the validity of asset pricing models. We commence by establishing non-normality for the majority of sample portfolios. A cross-sectional regression approach is employed to estimate factor risk premia and test higher moment Capital Asset Pricing Models. Unconditional coskewness and unconditional cokurtosis are found to be priced within the market equity (size) sorted and book equity/market equity (value) sorted portfolio sets over the period January 1993 to December 2013. Conditional coskewness and conditional cokurtosis are found to be priced for only the size sorted portfolios over the period January 1997 to December 2013. Factor risk premia estimated for coskewness are generally positive while risk premia estimated for cokurtosis are negative. This suggests a positive relationship between coskewness and expected return and a negative relationship between cokurtosis and expected return. The results of the asset pricing model tests are mixed. The pricing errors for higher moment Capital Asset Pricing Models are shown to be significantly different from zero for size sorted portfolios while pricing errors on the value sorted, dual size-value sorted and industry portfolios are found to be statistically insignificant. This suggest that none of the asset pricing models tested are the true model as it would explain variation in expected returns regardless of the data generating process. Finally we show that the Ordinary Least Square Wald test statistic has the most desirable size characteristics while the Generalised Least Squares J-test statistic has the most desirable power characteristics when dealing with non-normal data.

Thesis submitted in fulfilment of the requirements for the Masters in Finance and Investments in the Faculty of Commerce, Law and Management Wits Business School At the University of Witwatersrand / The study focuses on determining the driving factors of the performance of different hedge fund strategies in the South African industry. This is done through the application of an augmented capital asset pricing model. The model is predicated on the original (Sharpe, 1964) and (Lintner, 1965) Capital Asset Pricing Model. The researcher uses the excess market returns and the South African Volatility index as independent variables in the explanation of hedge fund returns at strategy and portfolio level. Through the analysis, the researcher finds that the excess market returns and the South African Volatility Index characterize the hedge fund expected returns for some of the strategies using OLS and GMM techniques. The second section uses a system of seemingly unrelated regressions for both the OLS and GMM techniques to determine if the two explanatory variables are priced into the different strategies; this indeed is shown to be the case for some of the strategies examined in the analysis. / MT2017

Thesis. 1980. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Bibliography : leaves 182-186. / Ph.D.

Thesis (M.S.)--Massachusetts Institute of Technology, Alfred P. Sloan School of Management, 1981. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Bibliography: leaves 336-339. / by Josephine S. Jimenez. / M.S.