Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: Previous studies show that interest rates, dividend yields and other commonly
available variables are useful market indicators. Although this has produced
new insights into asset pricing models, it has not been applied to the
measurement of unit trust funds' performance. This study introduces a set of
predetermined variables into the measures of performance of South African
unit trust fund managers.
This paper modifies classical performance measures to incorporate these
well-known market indicators. The performance and strategy of the South
African general equity unit trust managers are evaluated for the period 1989
to 2002. The incorporation of these predetermined variables is both
statistically and economically significant.
It is concluded that when the conditional measures are applied to this sample
of unit trusts, their performance improves and there is no evidence of market
timing strategy.
This study advocates conditional performance evaluation in which the relevant
expectations are conditioned on public information variables. / AFRIKAANSE OPSOMMING: Vorige studies toon dat rentekoerse, dividendopbrengste en ander algemeen
beskikbare veranderlikes bruikbare markaanwysers is. Hoewel dit nuwe insigte in
bateprysbepalingsmodelle bring, is dit nog nie toegepas op die meting van
effektetrust prestasie nie. Hierdie ondersoek gebruik 'n stel voorafbepaalde
veranderlikes in die prestasiemeting van Suid-Afrikaanse effektetrust bestuurders.
Hierdie werkstuk wysig klassieke prestasiemetings om die bekende markaanwysers
in ag te neem. Die prestasie van Suid-Afrikaanse algemene aandele-effektetrusts vir
die tydperk van 1989 tot 2002 is geëvalueer met behulp van hierdie wysigings. Daar
word bevind dat die gebruik van hierdie voorafbepaalde veranderlikes statisties
sowel as ekonomies beduidend is.
Hierdie ondersoek bevind dat die prestasie van die steekproef van effektetrusts
verbeter wanneer voorwaardelike metings daarop toegepas word. Daar is geen
bewys van marktydberekeningstrategie nie.
Hierdie werkstuk beveel voorwaardelike prestasie-evaluering aan waarin die
betrokke verwagtings bepaal word deur veranderlikes wat openbare inligting is.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/53115 |
| Date | 12 1900 |
| Creators | Akinjolire, Akinwande |
| Contributors | Smit, Eon vdM, Stellenbosch University. Faculty of Economic & Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 78 p. |
| Rights | Stellenbosch University |
Page generated in 0.0082 seconds