Thesis (MBA)--Stellenbosch University, 2003. / Some digitised pages may appear illegible due to the condition of the original hard copy / ENGLISH ABSTRACT: Investors often question the extent to which the state of the market affects
returns in investment finance, and seek answers as to whether the market
response to bad and good news is dependent on the level of the market. If
this is true, investors who have the ability to identify events can make
substantial amounts of money by identifying the state of the market before
investing. This would then be in violation of the efficient market hypothesis.
This study used the Conrad, Cornell and Landsman (2002) model to
investigate whether the share price's response to bad news in South Africa
changes with the relative level of the market. Conrad, et al. (2002) found
enough evidence that the market's response to bad news increases with the
increase in relative level of the market. Bhana (1996) supported this notion
when he reported that investors overreacted to companies that announced
negative earnings.
A sample analysis of this study produced regression equations with
insignificant unexpected earnings coefficients. One of the notable factors was
that, for some observations, the retained earnings moved in the opposite
direction with the unexpected earnings shocks. Malan (1998) found similar
market reaction when he investigated the overreaction theory using three
indices from Johannesburg Stock Exchange and he reported that the market
could not distinguish between bad and good news as the results for both bad
and good news yield either positive or negative abnormal returns. After
introducing additional variables to allow for these opposite movements,
CHANGE, the regression equation produced significant regression
coefficients.
The results of the study were directly opposite to the findings of Conrad, et al.
(2002) and those in other existing literature. These indicated that the market
responds strongly to good news in both good and bad market states. The
study concludes by suggesting further areas for future research. / AFRIKAANSE OPSOMMING: Beleggers bevraagteken dikwels die mate waarin die opbrengste in
beleggingsfinansies deur marktoestande beïnvloed word, en wil weet of die
markreaksie op slegte of goeie nuus van markvlakke afhang. Indien dit waar is,
kan beleggers wat die vermoë het om vooraf gebeure te identifiseer,
aansienlike hoeveelhede geld maak deur die toestand van die mark te bepaal
voor hulle geld belê. Dit sal dan teenstrydig wees met die Doeltreffende
markhipotese.
Hierdie studie gebruik die Conrad, Cornell en Landsman-model (2002) om uit te
vind of die aandeleprys se reaksie op slegte nuus in Suid-Afrika saam met die
relatiewe vlak van die mark verander. Conrad, et al. (2002) het voldoende
bewyse gevind dat die mark se reaksie op slegte nuus toeneem soos die
relatiewe vlak van die mark toeneem. Bhana (1996) het hierdie gedagte
ondersteun toe hy berig het dat beleggers oorreageer wanneer maatskappye
negatiewe verdienste aankondig.
'n Steekproefontleding in hierdie studie het regressievergelykings met
onbeduidende onverwagte verdienste-koëffisiënte gelewer. Een van die
belangrikste faktore was dat die teruggehoue verdienste by sommige
waarnemings in die teenoorgestelde rigting beweeg het met onverwagte
verdienste-skokke. Malan (1998) het 'n soortgelyke markreaksie gevind toe hy
die oorreaksie-teorie ondersoek het deur drie indekse van die Johannesburgse
aandelebeurs te gebruik. Hy het berig dat die mark nie tussen slegte en goeie
nuus kon onderskei nie omdat die resultate vir slegte sowel as goeie nuus
positiewe of negatiewe abnormale opbrengste lewer. Nadat bykomende
veranderlikes ingebring is om voorsiening vir hierdie teenoorgestelde
bewegings te maak, het die regressievergelyking beduidende regressiekoëffisiënte
opgelewer.
Die resultate van hierdie studie staan lynreg teenoor die bevindinge van
Conrad, et al. (2002) en dié van ander bestaande literatuur. Dit dui daarop dat
die mark sterk reageer op goeie nuus in goeie sowel as swak marktoestande.
Die studie word afgesluit met voorstelle vir verdere navorsing op hierdie gebied.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/53719 |
| Date | 12 1900 |
| Creators | Mukwevho, Tshifhiwa |
| Contributors | Smit, E. vd M, 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 | English |
| Type | Thesis |
| Format | 73 p. : ill. |
| Rights | Stellenbosch University |
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