Investors herd when they follow the investment decisions of other market participants and ignore their own private information, causing asset valuations to deviate from their fundamentals. This paper examines herding in the South African equity market by examining the impact of investor fear on herding behavior, using a survivorship-bias free daily dataset of companies within the JSE All Share Index over the period: 3 May 2002 to 31 December 2019. Using the cross-sectional absolute deviation (CSAD), this study examines market-wide herding behavior over multiple sub-periods, which consists of before, during and after the global financial crisis of 2007/08. The results suggest no evidence of herding towards the market return; on the contrary there is evidence of ‘anti-herding' behaviour during periods of market stress. However, there is significant herding towards the domestic fear index, which becomes more pronounced during the crisis period. Furthermore, investor herd behaviour appears to be sensitive to spill-over effects from the US investor fear-gauge, suggesting interconnectedness with global financial markets. Therefore, these findings suggest that fear plays an important role in enforcing irrational behaviour.

The portfolio selection problem has been widely understood and practised for millennia, but it was rst formalised by Markowitz (1952) with the proposition of a risk-reward trade-o model. Since then, portfolio selection models have continued to evolve. The general consensus is that three objectives, to maximise the uncertain Rate Of Return (ROR), to maximise liquidity and to minimise risk, should be considered. It was found that there are opportunities for improvement within the existing portfolio selection models. This can be attributed to three gaps within the existing models. Generally, existing portfolio selection models are generic, especially in how they incorporate risk, they generally do not incorporate Socially Responsible Investing (SRI), and generally they are considered to be unvalidated. This dissertation set out to address these gaps and compare the real-world performance of generic and individualised portfolio selection models. A new method of accounting for risk was developed that consolidates the portfolio's market risk with the investor's nancial risk tolerance. Two portfolio selection models that incorporate individualised risk and SRI objectives were developed. These two models were called the risk-adjusted and social models, respectively. These individualised models were compared to an existing generic Markowitz model. These models were formulated using stochastic goal programming. A sample of 208 companies JSE Limited companies was selected and two independent datasets were extracted for these companies, a training (2010/01/01 { 2016/12/31) and testing (2017/01/01 { 2019/12/31) dataset. The models solved were in LINGO using the training dataset and tested on an unknown future by using the testing dataset. It was found that in the training period, the individualised risk-adjusted model outperformed the generic Markowitz model and the individualised social model. Furthermore, it was found that it would not be bene cial for an investor to be Socially Responsible (SR). Nevertheless, investors invest to achieve their ROR and SRI goals in the future, not in the present. Thus, it was necessary to evaluate how the portfolios selected by all three models would have performed in an unknown future. In the testing period, both the generic Markowitz model and the risk-adjusted models had dismal performance and were signi cantly outperformed by the South African market and unit trusts. Thus, these models are not useful or suitable for their intended purpose. On the contrary, the social model portfolios achieved high ROR values, were SR, and outperformed the market and the unit trusts. Thus, this model was useful and suitable for its intended purpose. The individualised social model signi cantly outperformed the other two models. Thus, it was concluded that an individualised approach that incorporates SRI outperforms a generic portfolio selection approach. Given its unparalleled performance and novel model formulation, the social model makes a contribution to the eld of portfolio selection. This dissertation also highlighted the importance of testing portfolio selection models on an unknown future and demonstrated the potentially horri c consequences of neglecting this analysis. / Dissertation (MEng (Industrial Engineering))--University of Pretoria 2021. / Industrial and Systems Engineering / MEng (Industrial Engineering) / Unrestricted

Whether mergers and acquisitions create or destroy shareholder value for acquiring companies has been widely researched and remains fairly inconclusive. The purpose of this research was to study the short term and long term impacts of large acquisitions on the share price performance of acquiring companies using the event study methodology.From a population of 11 062 acquisitions made by JSE listed companies between 1999 and 2008, 39 acquisitions met the relevant criteria of non-occurrence of confounding events and the availability of information. The Cumulative Abnormal Returns of acquiring companies over a short term period surrounding the announcement date and the longer term post-announcement date period were tested to observe whether they were significantly different to zero.Whilst statistically significant Cumulative Abnormal Returns were observed over the short term 3-day event window [-1;+1], no statistically significant Cumulative Abnormal Returns were observed around the remaining five event windows. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

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

Magister Legum - LLM / Before the 1990s, corporate governance was a very rarely used term within the business world.1 Corporations over time have become more influential, larger and more complex within the global economy; therefore to ensure that they are operating on an economic and ethical basis, corporate governance has become more defined.2 Corporate governance can be defined as the procedures and methods that are used in order to ensure the functioning, direction and structure of a corporation.3 Not only can its key elements be described as procedures and methods but also a system of principles, policies, procedures, and clearly defined responsibilities and accountabilities. Corporate governance has roots in ethical behavior and business principles, with the goal of creating long-term value and sustainability for all stakeholders, thus including directors.4 This practice of good corporate governance by directors is used to promote equity and deters fraud and other deceptive practices.

This dissertation investigates whether a statistically significant relationship exists between a company’s corporate characteristics and the quality of its integrated report. The JSE Top 100 companies are used as the study population, with the Ernst & Young Excellence in Reporting ratings used as the framework for assessing integrated reporting quality. A multiple multivariate regression analysis was employed to assess the impact of ten company characteristics that were found to be prominent by other studies. The results show that firm size, board diversity, board independence and firms in the resource sector show a statistically significant positive association with components of integrated reporting quality as described in the Integrated Reporting Framework. The results suggest that firms with stronger adherence to good corporate practices, with firm board diversity and board independence as a possible indicator, are more responsive to the need for quality integrated reporting. Further, firms with greater accountability to stakeholders through their size of sector also appear to respond to this obligation through increased disclosures.

This study examines the impact of strike action on the stock market in SA, particularly the company share price. In recent years, SA has seen a steady increase in strike actions related to wage increases, which have generally been of short duration. The study is conducted by computing abnormal returns and subsequently cumulative abnormal returns for listed companies that had experienced strikes between 2003 and 2009. The sample included 49 listed companies on Johannesburg Stock Exchange. The results of the study reveal that stock prices react negatively to the news of a strike action five days prior to the strike and continue on a downward trajectory approximately 5 days post the strike action. The study finds that JSE is not an efficient market as it takes days for the market to return to equilibrium after an announcement. The research observed that there were numerous factors that influence the occurrence of strikes/industrial actions in South Africa namely; SA’s political history, trade unions irrational behaviour, information asymmetry and economic climate among other factor.

Dissertation submitted in fulfillment of the requirements for the Master of Technology Degree: Public Relations Management, Durban University of Technology, 2012. / Corporate Social Responsibility (CSI) is an issue with a growing business value in South Africa. The increasing emphasis on CSI is affecting the relationship between organisations and their various stakeholders, such as investors, customers, vendors, suppliers, employees, communities and government. The stakeholders of an organisation play a vital role in the process of CSI planning and execution. There is a need to communicate CSI activities to stakeholders, as well as to monitor the flow and role of communication within the CSI context. While it is generally agreed that companies need to manage their relationships and communication with their stakeholders, the way in which they choose to do so varies considerably. Challenges in communicating corporate social responsibility do exist – for example, communication channels that are used in CSI, scepticism towards company messages and potentially hostile reactions from the media, complex community engagement processes, diversity of the audience, misunderstanding with special interest groups such as employees and government regulations. The diverse information requirements of different stakeholder groups also present special communication challenges, and these requirements are examined in turn. Given this background, the purpose of this study is to investigate communication in CSI practice. This study seeks to understand communication challenges facing CSI and communication channels that are used in CSI. Lastly, this study offers recommended best practices that can be applied in CSR communication. Although CSI is gaining a role as a strategic business function, however the literature review presented in this paper shows that CSI communication is still an area to be explored. One of the arguments presented in the literature review originate from Maignan & Ferrell (2004:17) that “Businesses cannot hope to enjoy concrete benefits from CSR unless they intelligently communicate about their initiatives to relevant stakeholders”. Communication challenges in CSI exist mainly in the process of transmission and receiving of messages from sender to receiver. The selection of the proper channels to disseminate information is also a challenge. These challenges arise mainly in rural and underdeveloped areas. In most instances, these communities lack infrastructure such as electricity and telecommunication which facilitate the dissemination of information. Commonly the communicator has to first do the necessary research in order to establish the most suitable medium for disseminating information to these communities. Illiteracy is also a major hurdle to communication in underdeveloped areas. This poses a challenge in that often messages have to be disseminated face to face, which can take time and requires expertise in communicating. The research method that was used to conduct this study is random sampling. A sample of thirteen organizations was drawn from the Johannesburg Securities Exchange (JSE) database of medium to large businesses that are actively involved in CSR programmes in South Africa. The findings in this study reveal that South African organisations are engaged in serious efforts to communicate and pro-actively integrate CSI as a strategic business phenomenon. These findings are significant to communications and CSI practitioners who wish to communicate with their stakeholders in CSI implementation. These findings will also benefit corporate executives who wish to engage in CSI communication. Non-Government Organisations (NGOs), Non-Profit Organisations (NPOs) and community organisations that wish to engage in CSI activities with corporate organizations, can also benefit from this study. In summary, CSI has grown from an ideology to a business reality and is now acknowledged as an important dimension of modern business practice. It is important that organisation examine their CSI communication in the context of the ever-changing business environment.

Thesis (MComm)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: This thesis examines the effect of liquidity on excess stock returns on the Johannesburg Stock Exchange (JSE) over the period 2003 to 2011. It builds on the findings of previous studies that found size, value and momentum effects to be significant in explaining market anomalies by adding a further explanatory factor, namely liquidity. A standard CAPM, as well as a momentum-augmented Fama-French (1993: 3) model are employed to perform regression analyses to examine the effect of the four variables on excess stock returns. Results suggested that the log of the stock‘s market value best captured the size effect, the earnings yield best captured the value effect and the previous three month‘s returns best captured the momentum effect. Five liquidity proxies are used: the bid-ask spread first proposed by Amihud (1986: 223), turnover, the price impact measure of Amihud (2002: 31) and two zero return measures proposed by Lesmond et al. (1999: 1113). Despite prior studies having found liquidity to be an influential factor, this thesis found the opposite to be true. This finding remains robust, irrespective of the type of liquidity measure used. While size, value and momentum are found to be significant to a certain extent in explaining excess stock returns over the period, liquidity is not found to be significant. This is a surprising result, given that the JSE is seen as an emerging market, which is generally regarded as illiquid. This fact is exacerbated by the fact that the JSE is a highly concentrated and therefore skewed market that is dominated by only a handful of shares. Hence liquidity is expected to be of utmost importance. The result that liquidity is however not a priced factor on this market is therefore an important finding that requires further analysis to determine why this is the case. In addition, significant non-zero intercepts remained, indicating continued missing risk factors. / AFRIKAANSE OPSOMMING: In hierdie tesis word die effek van likiditeit op oormaat aandeel-opbrengste op die Johannesburg Effektebeurs (JEB) ondersoek gedurende die periode 2003 tot 2011. Dit bou voort op die bevindinge van vorige studies wat toon dat grootte, waarde en momentum beduidend is in die verklaring van mark onreëlmatighede deur 'n addisionele verklarende faktor, likiditeit, toe te voeg. 'n Standaard kapitaalbateprysingsmodel (KBPM) sowel as 'n momentum-aangepaste Fama-French (1993: 3) model word gebruik om deur middel van regressie analise die effek van die vier veranderlikes op oormaat aandeel-opbrengste te ondersoek. Die resultate toon dat die grootte effek die beste verteenwoordig word deur die logaritme van die aandeel se mark kapitalisasie, die verdienste-opbrengs verteenwoordig die waarde effek en die vorige drie-maande opbrengskoerse verteenwoordig die momentum effek die beste. Vyf likiditeitsveranderlikes is gebruik: bod-en-aanbod spreiding voorgestel deur Amihud (1986: 223), omset, die prys-impak maatstaf van Amihud (2002: 31) en twee nul-opbrengskoers maatstawwe voorgestel deur Lesmond et al. (1999: 1113). Afgesien van die feit dat vorige studies die effek van likiditeit beduidend vind, word die teenoorgestelde in hierdie tesis gevind. Hierdie bevinding bly robuus, ongeag van die likiditeitsveranderlike wat gebruik word. Terwyl bevind is dat grootte, waarde en momentum beduidend is tot 'n sekere mate in die verklaring van oormaat aandeel-opbrengste tydens die periode, is geen aanduiding dat likiditeit 'n addisionele beduidende verklarende faktor is gevind nie. Hierdie bevinding is onverwags, aangesien die JEB beskou word as 'n ontluikende mark, wat normaalweg illikied is. Hierdie feit word vererger deur dat die JEB hoogs gekonsentreerd is en dus 'n skewe mark is wat oorheers word deur slegs 'n hand vol aandele. Dus word verwag dat likiditeit 'n baie belangrike faktor behoort te wees. Die bevinding dat likiditeit nie 'n prysingsfaktor op hierdie mark is nie, is dus 'n belangrike bevinding en vereis verdere analise om vas te stel waarom dit die geval is. Addisioneel word beduidende nie-nul afsnitte verkry, wat aandui dat daar steeds risiko faktore is wat nog nie geïdentifiseer is nie.

Thesis (MBA (Business Management))--University of Stellenbosch, 2007. / ENGLISH ABSTRACT: Prior to 30 June 1999 companies in South Africa were not allowed to buy back their own shares. Amendments to the Companies Act, the Companies Amendment Act (Act 37 of 1999) radically changed the philosophy around capital maintenance. The result of this amendment is that a company is allowed to buy back its own shares and finance the backbuying of its shares under certain circumstances. A sample of 140 companies listed on the Johannesburg Securities Exchange for the period 2000 to 2005 was selected. The backbuying of shares by the relevant company, subsidiary and trust was analysed for the period 2000 to 2005. For the purposes of this empirical study, the financial sector, as well as the alternative exchange, that is focussed on good quality small and medium-sized high growth companies, were excluded during sample selection. The outcome of this exploratory study is the identification of the fact that a share buyback took place or not in Tables 4.1 and 4.2; a summary of the number of shares bought back in Table 4.3; and, in Table 4.4, a summary of the number of shares bought back, expressed as a percentage of the weighted average number of shares in issue. / AFRIKAANSE OPSOMMING: Maatskappye in Suid-Afrika was voor 30 Junie 1999 deur die Maatskappywet verbied om hul eie aandele terug te koop. Wysigings aan die Maatskappywet, naamlik die Wysigingswet op Maatskappye (wet 37 van 1999) het ’n radikale verandering bewerkstellig in die filosofie rakende kapitaalinstandhouding. Die gevolg van dié wysigingswetgewing is dat maatskappye sedert 30 Junie 1999 hul eie aandele kan terugkoop en in sekere omstandighede die aankoop van hul eie aandele finansier. ’n Steekproef van 140 genoteerde maatskappye op die Johannesburgse Aandelebeurs is geselekteer vir die tydperk 2000 tot 2005. Die terugkooptransaksies van aandele deur die betrokke maatskappy, filiaal en trust is opgesom vir die tydperk 2000 tot 2005. Hierdie empiriese ondersoek het die finansiële sektor, asook die alternatiewe beurs van die Johannesburgse Aandelebeurs, wat fokus op goeie kwaliteit klein en mediumgrootte maatskappye met groot groeipotensiaal, tydens die steekproefseleksie uitgesluit. Die resultate van hierdie empiriese ondersoek is die identifisering en opsomming van die terugkooptransaksies van aandele vir die steekproef in Tabelle 4.1 en 4.2; ’n opsomming in Tabel 4.3 van die getal aandele teruggekoop; en ’n opsomming in Tabel 4.4 van die getal aandele teruggekoop, uitgedruk as ’n persentasie van die gemiddelde getal uitgereikte aandele.