This research project investigated the effectiveness of the Piotroski screen to select financially sound stocks from the upper quintile of high book-to-market value (growth) stocks on the Johannesburg Stock Exchange (JSE). The period chosen for this study was all the years since the publication of the Piotroski screen in 2000 until the most recent financial year, 2011.Although no conclusive evidence was found that the mean returns from the portfolio of financially strong firms that were selected by means of the Piotroski screen were significantly better than the portfolio of value stocks, it was strongly suspected that the small group of firms that were signified as financially the strongest by the Piotroski screen had a decreased probability of containing firms with negative one year buy-and-hold returns compared to the other portfolios. Although the outcome was inconclusive due to small sample sizes, it was also strongly suspected that the one year buy-and-hold strategy yielded returns that were in the order of almost four times better than the five year buy-and-hold strategy.It was recommended that, in order to minimise suboptimal investor behaviour caused by psychological biases on the JSE, investors should adopt a mechanical investment method based on objective financial statement analysis, using the Piotroski screen to select financially strong firms from the pool of value firms. It was further recommended that an annual portfolio balancing strategy should be used. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

In this thesis, we have built an optimal portfolio using five assets from the Japanese market. We have investigated the use of GARCH(1,1) when forecasting the volatility of our optimal portfolio. Different time periods have been considered for optimizing our results. An equally-weighted portfolio has been used as a benchmark. Our results show that the optimal portfolio we constructed is more efficient than the equally-weighted portfolio in all chosen situations.

Large institutional actors in the financial arena are moving their capital in a sustainable direction. This implies a change of the institutional norms and rules regarding sustainable investing. One of the problematic aspects of sustainable investing is how investors use different strategies to influence their holdings and what implications this choice might have on a sector level. The purpose of this paper is to empirically examine how the strategies from institutional investors are an expression of the current norms and rules in the field of sustainable investing. It also intends to illustrate how institutional pressures influence the strategies of investors and their holdings. By interviewing respondents from eleven institutional investors, we present data regarding norms and rules for sustainable investing and the consequences of the investor’s strategies. Our findings indicate there has been an immense increase in demand for sustainable products in recent years, resulting in institutional pressures that have influenced both the investors and their holdings. This exposes the field to selection processes which may force organizations to the point of adapt or die. Finally, our conclusion provides practical implications on what role institutional investors have in the quest for sustainable development.

Over the past decade, sustainability has emerged as one of the foremost issues faced by corporations across all sectors and Corporate Social Responsibility has gained much momentum in the past two decades. This research investigated whether investors in emerging markets are equally concerned about a firm’s social and environmental impacts as their counterparts in developed economies. The aim was to ascertain whether or not a correlation exists between CSR and stock market performance of South African listed companies. This was the first study undertaken in South Africa that specifically investigated the relative performances of SRI listed and non-SRI listed companies. The findings reveal that there are observable differences between the average market returns of the FTSE/JSE Socially Responsible Investment Index and the FTSE/JSE All Share Index, as well as the average price/earnings ratios and average price/book value ratios of all companies listed the JSE Main Board. Although two out of the three hypotheses failed to yield significant statistical outcomes, all the findings were in favour of the SRI. The research has opened up the avenue for future studies to investigate the purported links between sustainability and financial performance in the context of emerging markets. Copyright / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

Economic growth and development are strategic for the overall development of a country. Micro, small and medium enterprises play a surmountable role in economic growth and development. Among other contributions, they provide jobs in an economy. Several developing countries, such as Eritrea, face limited private sector growth, yet also have the need to invest in the creation of enough and decent job for youths. Hence, this study intended to identify the prominent factors that deter the growth of micro, small and medium enterprises as well as the connection between their growth and youth employment, using a case study of Eritrea. The study used econometric research method. Through stratified sampling and a questionnaire, it collected data from 76 micro, small and medium enterprises. In the analysis, it used ordinal and binary logistic regressions, chi-square and correlation tests. The study concludes that there is no sufficient evidence that the growth of micro, small and medium enterprises influences youth employment. It finds that the growth of micro, small and medium enterprises is deterred by obstructive access to raw materials, obstructive banking regulations and obstructive general business regulations and policies. The study recommends improvement of the macro-economic conditions for pro-business sector growth, establishment of a policy on development of micro, small and medium enterprises, and a gradual liberalization of the private economy. Further, it proposes an impact investing based growth model of micro, small and medium enterprises to increase certainty on employment creation contribution. It suggests that an investment in micro, small and medium enterprises for youth employment creation that does not address the identified deterrents faces a significant impact risk.

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Background: Buying past winners and selling past losers has historically generated both profits and losses. The momentum strategy has been researched with risk measures and portfolio creation as fundamental components. While no definitive framework exists, prior research has explored industry segmentation within portfolio construction but has yet to reach a clear conclusion. Purpose: The purpose is to determine if there is a significant momentum effect in industry-portfolios, and if some industries are more prone to momentum strategy than others. Method: The research followed a positivistic paradigm with deductive reasoning using a quantitative approach. Secondary data of industry returns for 30 industries from the American stock market is collected from Kenneth R French database. The portfolios are analyzed from a statistical perspective to draw conclusions of the market anomaly. Findings: Three hypotheses were formed to address the research question and purpose. The winner-portfolio yielded significant raw returns in 14 of 16 tests for various periods, while loser and winner-loser portfolios showed negative raw returns. Accounting for systematic risk generated significant profits for all the winner portfolios. Further, industry-specific momentum was examined, revealing no momentum in some industries and momentum in others.   Conclusion: We find evidence that the industry portfolio can generate significant excess return over the market for 3–12-month periods, that can't be explained by the assets systematic risks. The study concludes that while industry-specific momentum is a viable strategy for diversification and capturing winners, its effectiveness varies across industries and has shown diminishing excess returns over the past two decades.

Advances in information technology have presented the potential to automate investment decision making processes. This will alleviate the need for manual analysis and reduce the subjective nature of investment decision making. However, there are different investment approaches and perspectives for investing which makes acquiring and representing expert knowledge for share evaluation challenging. Current decision models often do not reflect the real investment decision making process used by the broader investment community or may not be well-grounded in established investment theory. This research investigates the efficacy of using ontologies and Bayesian networks for automating share evaluation on the JSE. The knowledge acquired from an analysis of the investment domain and the decision-making process for a value investing approach was represented in an ontology. A Bayesian network was constructed based on the concepts outlined in the ontology for automatic share evaluation. The Bayesian network allows decision makers to predict future share performance and provides an investment recommendation for a specific share. The decision model was designed, refined and evaluated through an analysis of the literature on value investing theory and consultation with expert investment professionals. The performance of the decision model was validated through back testing and measured using return and risk-adjusted return measures. The model was found to provide superior returns and risk-adjusted returns for the evaluation period from 2012 to 2018 when compared to selected benchmark indices of the JSE. The result is a concrete share evaluation model grounded in investing theory and validated by investment experts that may be employed, with small modifications, in the field of value investing to identify shares with a higher probability of positive risk-adjusted returns.

This thesis aims to examine the relationship between ESG (Environmental, Social and Governance) ratings and the performance of European stocks. The purpose of this study is to examine the existing evidence pertaining to this relationship and the contradictory results that have been offered by previous scholars. The sample used includes ESG and stock return data from Refinitiv for the years 2010 to 2021 on the European market (Austria, Belgium, Denmark, Finland, Germany, Greece, Iceland, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom). An ESG portfolio approach is used as the econometric framework, where performance evaluation models such as the CAPM model developed by Sharpe (1964), Lintner (1965), and Mossin (1966), Fama- and French (1992) 3-factor and Carhart (1997) 4-factor models are applied. The results obtained from this study could not show any significant alphas to prove a relationship between ESG ratings and stock performance. Thus, no abnormal returns should be expected by investors that use an active investment strategy based on ESG screening.

Gender lens investing (GLI) considers gender-based factors across the investment process to advance gender equality and better inform investment decisions. It recognizes that gender-based discrimination persists in many areas of society, including access to economic opportunities. The aim of this study is to understand GLI as a phenomenon using the feminist standpoint theory. The research question guiding this study is: how does the management team of a venture capital fund interpret and implement gender-lens investing? The study conducted an in-depth case study on Company X, a venture capital fund that invests with a gender lens. The results were supported by interviews with the management team and company documents and were categorised according to the interpretations of GLI and key lessons to fulfil the aim. We conclude considerable efforts are underway to achieve the end goal of gender equality, however, in view of the shortcomings discussed, there is still room for improvement. The results and discussion can be used to better understand the phenomenon of GLI and lessons in the development of gender-responsive investment strategies.