The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addition to other fundamental factors impacting expected returns. It is found that the low-volatility anomaly is present on the JSE and that using a number of different risk metrics does not significantly change where a stock is ranked on the risk spectrum. Additionally, including an interest rate exposure factor, a value factor and a momentum factor lowers the unexpected portion (Alpha) of the returns of low volatility stocks, at the same time as narrowing the gap between the unexpected performance of the lowest and highest volatility stocks.

There exists significant literature investigating the link between macroeconomic variables and stock market returns. Most previous studies utilise an overall stock market index to measure stock market returns, thereby aggregating a number of different industries into a single index. This research investigated the link between macroeconomic variables and a single sector’s share returns, being the Resources sector. The aim was to ascertain whether or not a correlation exists between the Resource Index of the Johannesburg Stock Exchange and four macroeconomic variables, namely: GDP, Inflation, Interest rates and the Rand/US Dollar Exchange Rate. Quarterly data for all 4 macroeconomic variables and the Resource Index was collected for the period 2002 to 2011 and tests of correlation performed between each macroeconomic variable and the Resource Index. The findings reveal that there is a positive correlation between GDP and resources share returns, a negative correlation between interest rates and resources share returns and a positive relationship between the Rand/US Dollar Exchange rate and resources share returns. The relationship between the inflation and the resource share returns proved inconclusive.Copyright / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Thesis (MBA (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: Corporate governance in South Africa (SA) has been promoted since 1994 with the release of the King report which was the first code of corporate governance in the country. This has since been updated in 2002, and most recently in 2009. In previous independent assessments of corporate governance in South Africa, the country has been commended for its corporate governance standards. As a large institutional investor the Public Investment Corporation (PIC) actively encourages high standards of corporate governance in the companies in which it invests. Therefore, the PIC wanted to develop a matrix to assess the current corporate governance standards of listed companies in South Africa in order to assist with investment decisions, and to actively promote high standards. Therefore, the skills and knowledge of an expert panel were called upon in order to develop a robust assessment tool that incorporates best practice, but remains locally relevant. The intention was to not only focus on disclosure, but to also incorporate an assessment of conformance and performance. This was then applied to the Johannesburg Stock Exchange (JSE) top 40 companies. The aim of the study was not only to assess the corporate governance of these companies, but also to critically review the matrix to ensure it is an effective assessment tool. In addition the link between corporate governance, company performance, and company valuation was investigated as these variables are commonly reported in the literature to be positively correlated. Various aspects of board diversity, including age, gender and ethnicity, were also researched as this was identified as a critical issue in the South African context. Factors that have been shown to affect board diversity in the literature were also investigated. Following this the link between board diversity and company performance was studied as there is limited information regarding this relationship in the literature. Various limitations of the matrix were identified and in many instances related to what had previously been reported in the literature. However, a significant relationship was not found between corporate governance and company performance, and, the relationship between corporate governance and company valuation was negative. This may be due to limitations of the study, and therefore, a definitive conclusion cannot be drawn. In terms of the demographics of the boards of the JSE top 40 companies, most directors fall between the ages of 51 and 60 years, 14.5 per cent of board members are female, and 32.5 per cent of directors are black. There was a trend towards a positive relationship between diversity of age and board size, while no relationship was found between shareholder diversity and board diversity, and interestingly board ethnic diversity was found to be positively correlated with company performance. / AFRIKAANSE OPSOMMING: Korporatiewe beheer in Suid-Afrika is sedert 1994 bevorder met die uitreik van die King-verslag wat die eerste kode vir korporatiewe beheer in die land was. Hierdie verslag is sedertdien opgedateer in 2002 en mees onlangs in 2009. In vorige onafhanklike beoordelings van korporatiewe beheer in Suid-Afrika, is die land aangeprys vir sy korporatiewe beheerstandaarde. As ‟n groot institusionele belegger, moedig die Public Investent Corporation (PIC) aktief hoë standaarde van korporatiewe beheer aan in die maatskappye waarin hy belê. Die PIC wou daarom ‟n matriks ontwikkel om die huidige korporatiewe beheerstandaarde te beoordeel van die genoteerde maatskappye in Suid-Afrika ten einde te help met beleggingsbesluite en om hoë standaarde aktief aan te moedig. Die kennis en vaardighede van ‟n paneel deskundiges is daarom ingeroep om ‟n robuuste beoordelingshulpmiddel te ontwikkel wat die beste praktyke sou insluit, maar plaaslik relevant sou bly. Die bedoeling was ook om nie net op openbaarmaking te fokus nie, maar ook beoordeling van nakoming en prestasie in te sluit. Dit is dan op die Johannesburgse Effektebeurs (JSE) se top 40 maatskappye toegepas. Die doel van die studie was nie net om die korporatiewe beheer van hierdie maatskappye te beoordeel nie, maar ook om die matriks krities te beoordeel om te verseker dat dit ‟n effektiewe beoordelingshulpmiddel is. Die verwantskap tussen korporatiewe beheer, maatskappy prestasie, en maatskappy waardasie is verder ook ondersoek aangesien hierdie veranderlikes algemeen in die literatuur as positief gekorreleer beskryf word. Verskeie aspekte van direksie diversiteit, insluitend ouderdom, geslag en etnisiteit, is ook nagevors aangesien hierdie sake as kritiese kwessies binne die Suid-Afrikaanse konteks geïdentifiseer is. Faktore wat in die literatuur geblyk het die direksie se diversiteit te beïnvloed, is ook ondersoek. Hierna is die verwantskap tussen direksie diversiteit en maatskappy prestasie ook ondersoek aangesien daar beperkte inligting oor hierdie verwantskap in die literatuur bestaan. Verskeie beperkinge van die matriks is geïdentifiseer en hou in baie gevalle verband met dit wat reeds voorheen in die literatuur beskryf is. Geen beduidende verwantskap is egter gevind tussen korporatiewe beheer en maatskappy prestasie nie, en die verwantskap tussen korporatiewe beheer en maatskappy waardasie was negatief. Dit mag wees as gevolg van beperkings van die studie, en daarom kan ‟n beslissende gevolgtrekking nie gemaak word nie. In terme van die demografie van die direksies van die JSE se top 40 maatskappye, is die meeste direkteure tussen 51 en 60 jaar oud, 14.5 persent van direksielede is vroulik, en 32.5 persent van direkteure is swart. Daar was ‟n tendens tot ‟n positiewe verwantskap tussen diversiteit van ouderdomme en direksiegrootte, maar geen verwantskap is gevind tussen aandeelhouer diversiteit en direksie diversiteit nie, en dit is interessant dat direksie etniese diversiteit gevind is om positief gekorreleer te wees met maatskappy prestasie.

M.Comm. / The study assessed the conformance of the companies listed on the Johannesburg Securities Exchange Social Responsibility Index to the best practices regarding the composition of the board and its committees. The board of directors is regarded as an effective mechanism in solving the agency problem that is caused by the separation of control and ownership. The composition of the board and its committees, particularly the strong presence of independent non-executive directors, enable the board to effectively monitor the actions of executive management which minimise the occurrence of fraud and corporate failures. Companies that subscribe to good corporate governance practices which includes the composition of the board and its committees are regarded highly by investors. The study assessed the extent to which the companies listed on the JSE SRI index conformed to the corporate governance best practices. The sample consists of the constituents of the JSE SRI Index. The study found that not all companies are conformed to the corporate governance best practices regarding the composition of the board and its committees.

The listing of firms on stock exchanges does not only provide these firms with the opportunity to raise long-term equity capital, it also allows for investors to participate in the primary and secondary equity markets. Traditionally executed through Initial Public Offerings (IPOs), listings were previously reserved for large firms due to the requirements and costs involved. In response, the Johannesburg Stock Exchange (JSE) introduced the JSE Alternative Exchange (AltX) in 2003 as a parallel exchange market in order to also provide South African small and medium sized entities with an opportunity to access equity capital. This also allowed for investors to invest in small high-growth companies with the expectation of higher returns. The aim of this research was to analyse the IPO performances of JSE AltX listings in order to establish the returns achieved by the initial IPO and the subsequent aftermarket participants. This research analysed the initial IPO returns attributable to the initial investors and the 1, 2 and 3 year aftermarket returns attributable to the aftermarket participants. Although various studies have been concluded on the investor returns for IPOs listing on the JSE, this report focused specifically on the AltX which has not been as extensively studied. IPOs listing on the JSE AltX from April 2006 to December 2011 were analysed. It was found that during this period, the average initial market-adjusted return offered to the initial invertors was 21 per cent after the first day of trade. The average 1, 2 and 3 year aftermarket market-adjusted returns were -0.08, -0.33 and 3.36 per cent respectively. An analysis of the combined aftermarket market-adjusted returns for the same 1, 2 and 3 year post IPO periods yielded returns of 25.17, 20.03 and 25.67 per cent respectively. From the conducted study, the results indicate that there is existence of average positive abnormal initial returns on the JSE AtlX, and returns underperformance for the two years following that. The aftermarket returns are then positive 3 years post IPO date. Combined returns were found to be abnormal and positive throughout the 1,2 and 3 year periods post IPO.

Faculty of Commerce School of Accountancy 9108665/p swartzg@soa.wits.ac.za / The debate on the determinants of firm value remains unresolved in finance research. This research report contributes to the debate by examining the validity of the Ohlson (1995) valuation model in South Africa. Using Johannesburg Securities Exchange data, this research report aims to identify whether the book value of assets, accounting (accrual) earnings, and abnormal cash dividends explain the behavior of South African share prices. The Ohlson (1995) model has been successfully tested in a number of recent studies (Collins, Pincus and Xie, 1999; Garrod and Rees, 1998; Collins, Maydew and Weiss, 1997; and Kothari and Zimmerman, 1995). This study attempts to extend this body of work in an emerging market context (South Africa), to determine whether the results obtained in developed markets also hold in an emerging market setting, where required rates of return are higher, liquidity is low, and capital is scarce. The research uses both cross sectional and panel data for 129 Johannesburg Securities Exchange listed companies over the 1992-2003 period to investigate the value relevance of the annual financial statements using the Ohlson (1995) model. Using cross-sectional data, the study indicates that the Ohlson (1995) model cannot be used for value prediction purposes, but does indicate that accrual accounting data is value relevant. However, using a panel data approach resulted in a statistically significant, robust, positive relationship for accounting earnings, book value of assets, and abnormal dividends in predicting firm value.

The primary goal of a publicly traded company is to maximise the wealth of its shareholders. This implies that the management of the firm, as agents of the owners, has to manage the firm in such a manner as to create value from every decision taken. Value-based management (VBM) is a management strategy aimed at achieving shareholder wealth creation and is based on the effective management of a set of internal value drivers to maximise wealth creation. The primary objective of the current study is to investigate the quantification of the relationship between internal value drivers and shareholder wealth creation in the Mining sector of JSE listed companies in South Africa. In order to achieve this, the internal value drivers were identified from literature, the necessary financial data was collected and the value drivers as well as actual shareholder wealth were quantified. Revenue growth, operating profitability, capital requirements and weighted average cost of capital (WACC) were identified as the value drivers while total shareholder return (TSR) was identified as the actual shareholder wealth creator. For the purpose of the current study, WACC was excluded from the analysis. By application of linear regression, it was found that revenue growth and operating profitability have a positive, statistically significant effect of TSR. After analysing the effect size, it is however concluded that the effect is not practically significant. These findings concur with similar research in the field of VBM. / Thesis (M.B.A.)--North-West University, Vaal Triangle Campus, 2009.

<p><font face="F59" size="3"><font face="F59" size="3"> <p align="left">This study examines the relationship between stock returns and market segmentation. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly the analytic factor and cluster analysis techniques. Evidence supporting the use of multi-index models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s hypothesis on market segmentation on the JSE.</p> </font></font></p>

M. Tech. Business Administration / Working capital management is an extremely important area of financial management as current assets normally represent more than half of the total assets of a business. Literature has shown that efficient management of working capital will lead to more profitability and creating more market value. This study sought to ascertain the impact of the working capital management on firm profitability in the retail sector of the South African Johannesburg Stock Exchange listed companies.

<p><font face="F59" size="3"><font face="F59" size="3"> <p align="left">This study examines the relationship between stock returns and market segmentation. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly the analytic factor and cluster analysis techniques. Evidence supporting the use of multi-index models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s hypothesis on market segmentation on the JSE.</p> </font></font></p>