We evaluate performance of general equity unit trust funds in South Africa during the period 2010 to 2017 and identify, if any, characteristics of these unit trust funds that are drivers of this performance. Performance is measured using Jensen’s Alpha with a sample that has not suffered from the full effects of survivorship bias as many other South African research studies have in past years. We used a Weighted Least Squares regression model, after weighting each funds Jensen’s alpha, to determine what characteristics impact the performance of unit trust funds. Our results showed that Beta, Fund Age, Percentage of Top 10 Holdings and Management Fees were all significant in explaining unit trust performance. We found that in the South African general equity unit trust space, funds which take higher risk relative to the market will experience higher levels of performance, younger funds tended to outperform their older counterparts and funds that charge lower management fees will outperform those with higher fees. Funds that on average throughout the period held less Top 10 JSE listed equity stocks tended to outperform those having a larger Top 10 holding exposure. We have thus been able to uncover material performance characteristics that differentiate South African unit trust performance. We have also provided meaningful parameters for investors and investment managers when structuring diversified portfolios, allowing them to improve their ability to provide outperformance consistently over time.

It has been suggested that the Kalman filter technique may be used to improve the quality of hedge fund replication, compared to existing replication techniques. This study uses the Kalman filter technique, along with three variations of the rolling-window regression technique, to create clones which attempt to replicate the returns of various categories of hedge fund indices. These clones are created over several scenarios and are used to compare the ability of the Kalman filter and rolling-window regression techniques. The clones are constructed using South African specific asset class and investment style factors. This study finds that the Kalman filter does not provide the expected improvement in replication ability over the rolling-window regression, for the hedge fund indices analysed. The competing techniques appear to each be better suited to replicating different hedge fund index strategies and may, therefore, be used in combination. While some of the hedge fund clones offer desirable risk characteristics, they offer lower mean returns and underperform their indices in most periods. As such, the hedge fund clones constructed in this study require further refinement and are not yet equipped for use in practice.

Inflation poses a serious threat to the purchasing power of assets over time. This study examines the short and long-term inflation hedging capabilities of South African equities, bonds, listed property and cash - and compares them to foreign substitutes. The aim of this study is to investigate the inflation hedging capabilities of four primary asset classes in both domestic and foreign contexts: equities, bonds, listed real estate and cash. More specifically, this study evaluates how well each asset class performs with respect to South African inflation, and through a comparative analysis of the results, identifies which asset class may be regarded as the superior inflation hedge. Moreover, the inflation hedging capabilities of domestic assets are compared to foreign asset classes in an attempt to provide investors with valuable insights as to whether domestic and/or foreign asset classes offer better protection against the harmful effects of inflation. Finally, the study demonstrates how well these asset classes perform with respect to inflation over short and long-run horizons. The data used in this study comprises total return indices which portray a more accurate picture of an investor's return. The period 1999-2015 forms the range within which data for all domestic and foreign asset classes are available, and thus constitutes the sample period used in this study's comparative analysis. Excluding domestic bonds on the basis of data availability, the comparative analysis of domestic asset classes, dates back to 1965. This study makes use of the following tests: Pearson correlations, Augmented Dickey-Fuller, Phillips-Perron, Granger causality, OLS regression, VAR and Impulse Response Functions, and Cointegration. This study finds evidence in support of a negative contemporaneous and lagged relationship between domestic and foreign equities, and South African inflation in the short-run (also widely recognised as the "inverted Fisher effect"). Domestic bonds, property and cash were found to provide a partial inflation hedge in the short-run. Cash was found to exhibit the strongest hedging properties. On the other hand, foreign bonds, property and cash were found to be anti-inflation hedges with contemporaneous and lagged inflation. However, although foreign asset classes do not offer protection against contemporaneously or lagged inflation, they do provide a leading return prior to inflation manifesting. Consequently, if profits are taken early enough it can provide investors with an inflation hedge. This is important for local investors to be aware of when deciding to invest in foreign asset classes with the goal of hedging against inflation. Utilising the Engle- Granger Cointegration test, the findings of this study suggest that both domestic and foreign asset classes do not display a long-term relationship with inflation. This suggests that both domestic and foreign asset classes are anti-inflation hedges, since neither covary positively with inflation in the long-run. One major implication of these findings is that investment firms, whose benchmarks' contain consumer price indices (CPI), rely on the fact that the average returns of various asset classes exceed the average inflation rate in the long run, rather than being good inflation hedges (viz. co-movement with inflation).

This study investigates the effects of the 2008 financial crisis and stock market automation on the efficiency of the Botswana Stock Exchange (BSE). It makes use of the BSE All Share Index (ALSI) logged returns covering the time period 2005 – 2017. In addition, four distinct tests are employed to test for the change in market efficiency over time: runs test, unit root test, serial correlations test and variance ratio test. The study found resounding evidence to conclude that the 2008 financial crisis and stock market automation had a significant positive effect on the efficiency of the BSE. In addition, the BSE went from being inefficient to weak-form efficient due to the policies implemented by the government of Botswana and financial regulators as a direct reaction to the 2008 financial crisis, plus the continuous improvement of the Automated Trading System (ATS). To the author’s knowledge, this study is the first of its kind to test the impact of the 2008 financial crisis and automation of the trading system on the weak-form market efficiency of the BSE. As a result, this study provides an original and unique testimony on the effects of the 2008 financial crisis and the ATS on the efficiency of the Botswana Stock Exchange. Moreover, it offers an updated position of the BSE’s efficiency status following the recent developments to ensure that relevant legislation and effective and efficient trading systems are in place.

This research report documents multiple accounts of past return-based momentum strategies employed on South African-listed equities over the period 2002.02-2015.05. Two cross-sectional momentum approaches-strategies that go long (short) in assets with relative formation period out performance (underperformance) of peer stocks to make the winner (loser) portfolio-and four time-series approaches-strategies that go long (short) in assets with formation period outperformance (underperformance) of a hurdle rate to make the winner (loser) portfolio-are employed in this report. This report finds that both the top decile winner portfolio and top half winner portfolio long-only cross-sectional momentum strategies outperform the benchmark. The 12-month formation period top decile winner achieves the highest long-only excess return of 30.21% per annum, whilst all the loser cross-sectional portfolios constitute a return-reducing funding portfolio when conducting a n investment-neutral winner minus loser approach. Short-term zero investment exposure cross-sectional momentum strategies earn strong negative returns, thus presenting contrarian investment opportunities The two exposure-neutral winner minus loser time-series strategies exhibit similar results to the corresponding cross-sectional strategies, however the variable exposure strategies earn positive returns for every formation period-the 12-month formation period strategy being the best earner (25.92% p.a.). These variable exposure strategies earn time-varying returns from the market due to their non-zero net long market exposure as well as some residual return. This premium is left uncaptured by all investment-neutral app roaches and is a strong cause of the lack of skewness of the variable exposure strategies' returns. All of the examined exposure-neutral strategies exhibit significant leftward skewness due to two incidences of extreme and sustained drawdowns. Both incidences occur as a result of the momentum strategy holding market beta exposure of the opposite sign to the market's drastic turn ; the first: positive exposure and market downturn, the second : negative exposure and positive upturn. These drawdowns are reduced when employing strategies of a more intermediate-term formation period such as the 12-month formation strategy. This report's findings confirm the existence of cross-sectional and time-series momentum in South African-listed equities, as well as the case of equity momentum crashing. Further, it provides evidence for both explained and unexplained variations between the two types of momentum trading, with possibilities for further profitability when combining the two.

This study investigates empirical properties of South African bonds over the period 2000 to 2016. In particular, it investigates i) mean reversion in bond returns; ii) the correlation between bond returns and the inflation rate; and, iii) the correlation between bond returns and equity returns. An understanding of bond return dynamics would allow bond investors to assess which bond properties work in their favour. Thus this study seeks to guide bond investors, and to add to the knowledge of the bond market concerning bond return dynamics in an emerging market economy. The study employs a quantitative research methodology, using a nonexperimental research design. The investigation is carried out at the macroeconomic level using the JSE All Bond Indices as the bond investment proxy, the FTSE/JSE All Share Total Return Index as the equity investment proxy, and the Consumer Price Index as the proxy used to measure the inflation rate. The sample autocorrelation function is used to test for mean reversion and the Kendall Tau-b correlation test is used for the correlation investigations. This study does not find statistically significant evidence of long term mean reversion but finds statistically significant evidence of short-term mean reverting behaviour in the period 2013-2016. Furthermore, this study reveals that short-term serial correlations vary and are sensitive to political developments in the economy. The correlation analysis between bond returns and the inflation rate and bond returns and stock returns did not return statistically significant correlation values. However, further analysis provided evidence against the use of bonds as an inflation hedge and of diversification benefits to be reaped from combining bonds and stocks together in a portfolio.

Traditionally, investment practitioners and academics alike have used stock fundamentals and a linear framework in order to predict future stock performance. This approach has been shown to have flaws as literature has shown that stock returns can exhibit non-linearity and involve complex relations beyond that of a linear nature (Hsieh, 1991; Sarantis, 2001; Shively, 2003). These findings present an opportunity to investment practitioners who are better able to model these returns. This dissertation attempts to classify stocks on the S&P 700 index using a Classification and Regression Tree (CART) built during an in-sample period and then used for predicative purposes during an out-of-sample period deliberately comprising both a period of financial crisis and recovery. For these periods, various portfolios and performance measures are calculated in order to assess the models performance relative to the benchmark, the Standard and Poor (S&P) 700 index.

Thesis advisor: Jean Bartunek / Thesis advisor: Sandra Waddock / Following the traditions of problem-driven and impact-focused approach to organizational studies (Davis & Marquis, 2005; Margolis & Walsh, 2003; Stern & Barley, 1996), this dissertation explores the emergence and evolution of social investment, defined as “the allocation of capital to advance the social and economic well- being of people” (Bruyn, 1987: 13). Social investment has become one of the fastest-growing trends in the U.S. financial sector and is a representative case of market-based initiatives that aim to address societal problems. Given the disproportionate power of the financial sector in our economy, understanding how social investment emerged and evolved provides an important insight into whether and how the market—which generated many societal and environmental problems—can be sufficiently transformed to now be the solution for these same problems. I present three empirical essays that together show how, despite exponential growth, social investment has become significantly diluted and came to resemble conventional investment strategies that are almost exclusively focused on maximizing financial returns. I hope that this dissertation could not only contribute to scholarly conversations around categories, hybrid organizing, and institutional theory, but help practitioners realize where social investment is in the U.S. and where it should go in order to, in effect, become a powerful tool that could bring about positive social/environmental changes, just like its pioneers had originally envisioned. / Thesis (PhD) — Boston College, 2021. / Submitted to: Boston College. Carroll School of Management. / Discipline: Management and Organization.

The four refereed journal articles and one government research report that form the core of this submission for a PhD represent my work in the subject area of institutional investment and responsible investing. The research, as a whole, has two major areas of focus. One area of focus is the behaviour of institutional investors. The research first examines different types of institutional investor and their demand for the characteristics of social and environmental performance within their equity portfolios. The research next examines the fund managers that institutional investors appoint to manage their assets. Attention is paid to the different locations of fund management as well as the features that determine the degree of competition between fund managers. The research examines these different fund management settings and the demand for the characteristics of social and environmental performance within their equity portfolios. A further issue investigated is whether different types of institutional investor pay greater attention to responsible investment when investing domestically than overseas. The second area of focus is the study of responsible investment based on grounded research methods. The main contributions are an assessment of how fund managers perceive that responsible investment achieves financial performance, the communication between fund managers and corporate directors for the purpose of responsible investment, the use of information and staff within responsible investment, and costs and charges associated with responsible investment. Both areas have contributed to policy debates and development, and have prompted other researchers to publish and undertake fieldwork. The commentary, which forms Part A of this submission, illustrates these features by reference to the five publications that are reproduced in their entirety in part B.

In most African states, arable land and other natural resources play a pivotal role for economic growth and development. Ethiopia is one of those countries where agriculture is the backbone of the economy. Since the time of Emperor Haile Selassie I, Ethiopia has been attempting to advance the transformation of its agricultural sector by moving away from small-scale subsistence farming to large-scale commercial farming. It thus encouraged Foreign Direct Investment (FDI) in largescale agriculture. However, the military government that took power in 1974 reversed this. The current government of Ethiopia seized power from the military regime in 1991. Today the government once again advocates FDI in large-scale agriculture. This has led to an influx of foreign investors, especially in Gambella and Benshanguel-Gumuz Regional States. Various scholars, however, criticize the manner in which these investments have been taking place, arguing that the investments are neither pro-poor nor sustainable. Against this backdrop this research seeks to examine current policies, the patterns of investment they promote, and how these affect land-based resources and the wellbeing of communities. The study intends to provide information that may help improve the performance of FDI in terms of their sensitivity to poverty alleviation and sustainability. It also aims to boost current knowledge on FDI in agriculture in Ethiopia. The study was conducted using multiple data collection methods, including documentation, interviews, focus group discussions with the affected communities and direct observations in the case study areas. The results are analysed using pro-poor and sustainability frameworks for FDI in large-scale agriculture, along with findings of empirical studies on national FDI policies and practices in various parts of the globe. The analyses reveal that the Ethiopian investment policy's support to FDI in large-scale agriculture is inadequate. It focuses on giving incentives to attract FDI rather than ensuring the availability of quality institutions and sufficient infrastructure, which are vital for facilitating the operation and productivity of FDIs. Furthermore, the absence of community participation in the decision-making process for the agricultural investment projects in the case study areas portends significant negative implications for the wellbeing of local communities and the sustainability of the natural environment. The study recommends further research to investigate the economic viability of alternative land-based investments, such as eco-tourism, which is shown to be environmentally sustainable and can be shaped to be pro-poor. Also recommended is additional research into good practices for large-scale agricultural investments, that can be adapted to Ethiopian conditions, should the government opt to continue promoting FDI.