PurposeThis study aims to examine the relationship and effect of integrated reporting (IR) quality on sustainability performance and explore the relationships and effects of corporate governance ...mechanisms on IR quality and sustainability performance.Design/methodology/approachPartial least squares structural equation modelling (PLS-SEM) was used in a longitudinal study by following the steps in Roemer’s Evolutionary Model on a sample of listed companies on the Johannesburg Stock Exchange (JSE) in South Africa for a period from 2011 to 2016.FindingsThis study finds board effectiveness and external audit quality to be important determinants of IR quality. It also observes a strong effect of the IR quality on sustainability performance.Originality/valueThis study contributes by using and analysing a longitudinal data set from JSE, currently the only capital market globally requiring the mandatory IR application since 2010.
Purpose
Despite initially being lauded as a revolutionary approach for companies to account to all stakeholders, the shareholder orientation of the international integrated reporting () framework ...gave rise to questions about whether integrated reports would still sufficiently disclose pertinent corporate social responsibility (CSR) information. This paper aims to investigate the extent to which the framework has impacted the CSR disclosures contained in integrated reports of South African mining companies.
Design/methodology/approach
The study deployed a mixed methods research approach, involving thematic content analysis of the CSR disclosures contained in the integrated reports of mining companies with primary listings on the Johannesburg Stock Exchange. The resultant qualitative data were subsequently analysed using a T-test of difference.
Findings
The study observes that the release of the framework appears to have had a limited impact on the CSR disclosures in the integrated reports of most companies included in the study. However, where significant differences were identified, the CSR disclosures of some companies were positively impacted after the release of the framework, whilst others were negatively impacted.
Research limitations/implications
As South Africa is acknowledged as a leader in the global movement, the paper’s observations have global relevance and suggest that the fundamental principles of should be reconsidered to improve the alignment with stakeholders’ information needs, as originally conceived.
Originality/value
Despite the shareholder orientation of the framework, the global mining industry is acknowledged as being at the forefront of implementing CSR interventions to mitigate the adverse impacts of their operations on stakeholders, supporting a stakeholder orientation. As the adoption of continues to gain traction around the world, this paper’s contribution is that it represents one of the few papers to use the global reporting initiative G4 indicators to specifically examine the impact of framework on the CSR disclosures on the South African mining industry, where both and CSR reporting are quasi-mandatory disclosure requirements.
We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to ...determine the dynamics of a large population of technical trading strategies that can survive historical back-testing as well as form an overall aggregated portfolio trading strategy from the set of underlying trading strategies implemented on daily and intraday Johannesburg Stock Exchange data. The resulting population time-series are investigated using unsupervised learning for dimensionality reduction and visualisation. A key contribution is that the overall aggregated trading strategies are tested for statistical arbitrage using a novel hypothesis test, on both daily sampled and intraday time-scales. The (low frequency) daily sampled strategies fail the arbitrage tests after costs, while the (high frequency) intraday sampled strategies are not falsified as statistical arbitrages after costs. The estimates of trading strategy success, cost of trading and slippage are considered along with an offline benchmark portfolio algorithm for performance comparison. In addition, the algorithms generalisation error is analysed by recovering a probability of back-test overfitting estimate using a nonparametric procedure. The work aims to explore and better understand the interplay between different technical trading strategies from a data-informed perspective.
The inflation accounting technique allows a business to show or have a sensible picture of their gains due to present cost coordinates with present revenues. Thus, the effects of inflation accounting ...on organizational decisions and financial performance of Kwa-Zulu Natal retail stores were evaluated in this study. The study used a quantitative research method. A total of 161 completed questionnaires were received from respondents in the selected 20 listed stores in Kwa-Zulu Natal. Thus, the Exploratory Factor Analysis and linear regressions were employed in this study. The empirical study reveals how inflation accounting significantly impacts organizational decisions and financial performance of the retail business with such coefficients (F (1, 159) = 49.269, p < .0005; F (1, 159) = 28.959, p < .0005). The findings of this study highlighted positive relationships between the variables that were used. Thus, the study recommends that retail stores always consider inflation changes and apply inflation accounting techniques to make adjustments to produce more accurate results in their financial statements. Heated discussions now surround the basis of financial performance measurement via historical cost accounting. This influences their decision making and financial performance positively.
Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This ...paper uses EVT methods to model the five-year daily all-share total return index (ALSTRI) and the daily United States dollar (USD) against the South African rand (ZAR) exchange rate of the Johannesburg stock exchange (JSE). The study compares the block maxima approach and the peaks-over-threshold (POT) approach in terms of their ability to model financial market data. The 100-year return levels for the block maxima approach were found to be almost equal to the maximum observations of the financial markets of 10,860 and R18.99 for the ALSTRI and the USD–ZAR, respectively. For the peaks-over-threshold (POT) approach, the results show that the ALSTRI and the USD–ZAR exchange rate will surpass 17,501.63 and R23.72, respectively, at least once in 100 years. The findings in this study reveal a clear distinction between block maxima and POT return level estimates. The POT approach return level estimates were comparably higher than the block maxima estimates. The study further revealed that the blended generalised extreme value (bGEVD) is more suitable for relatively short-term forecasting, since it cuts off at the 50-year return level. Therefore, this study will add value to the literature and knowledge of statistics and econometrics. In the future, more studies on bGEVD, vine copulas, and the r-largest-order bGEVD can be conducted in the financial markets.
Background: Enron was considered a strong corporate social performer when their infamous accounting scandal emerged in 2000. Literature suggests that companies use corporate social responsibility ...(CSR) to disguise corporate misconduct. Aim and Setting: This study examines one type of corporate misconduct, namely, earnings management (EM). Prior studies have found significant associations between CSR performance and EM; however, none of these studies controlled for CSR disclosure. This study unbundles the effects of CSR performance and CSR disclosure on EM. To examine the relationship between CSR performance and CSR disclosures and EM of listed South African companies. Methods: A company included on the Socially Responsible Investment (SRI)1 index is used as an indicator of CSR performance. Four measures of CSR disclosure are used. Results and conclusion: The study tests both CSR performance and CSR disclosure against both real earnings management (REM) and accrual-based earnings management (AEM). CSR performance and earnings management: Companies with better CSR performance were more likely to engage in EM through income increasing discretionary accruals. This suggests that managers who inflate earnings may engage in CSR activities to avoid unwanted scrutiny from stakeholders. Companies with better CSR performance were less likely to engage in REM, suggesting that managers with better CSR performance regard the management of earnings through accruals that reverse in the next period less incriminating than managing earnings through actual company resources. CSR disclosure and earnings management: Companies that integrated their CSR disclosures more into their annual report engaged less in income decreasing discretionary accruals, suggesting that managers with incentives to make more CSR disclosures to reduce information asymmetry will also be less inclined to manage earnings.
Background and aim The study explores the correlation between environmental, social and governance (ESG) ratings and the extent of corporate tax transparency to investigate whether ESG ratings are ...indicative of transparent corporate tax practices. To gain more insight, the correlation exploration is extended to the ratings achieved in the governance category and the transparency and reporting subcategory included in the overall ESG rating.Setting and method The extent of corporate tax transparency disclosures in the corporate reports of 112 companies, listed on the Johannesburg Stock Exchange (JSE) on 28 February 2022, was assessed using a content analysis. The correlation between the ESG ratings and the extent of corporate tax transparency of these companies was then explored through correlation analysis.Results The study provides evidence of significant correlation between overall ESG ratings and corporate tax transparency. However, no correlation was found between the ratings achieved in the governance category, or the transparency and reporting subcategory and corporate tax transparency. The latter might, however, be explained by the negatively skewed distributions of the ratings achieved in the governance category and the transparency and reporting subcategory.Contribution and conclusion The study provides persuasive evidence that ESG ratings can be used as indicators of transparent corporate tax practices. It might provide valuable insight to boards of companies about the correlation between ESG ratings and the transparency of tax practices, encouraging them to incorporate tax governance as part of the ESG agenda. Additionally, it may be utilised by investors when making investment decisions.
South African banks are small compared to the international standards and this necessitates them to remain efficient and competitive at both national and international levels. Such competitiveness ...shelter them from global competitors wishing to enter into the South African market. Putting in mind the critical role played by banks in the economic development of every country, managers in the banking industry should ensure they make sound financial decisions in order to remain profitable and competitive amidst challenges of the debt-equity choice. This study seeks to determine the influence of capital structure on profitability of banks listed at the Johannesburg stock exchange (JSE) using the random effect regression model. Empirical studies that studies the impact of capital structure on profitability of the banking sector in emerging markets and Africa are very scant. The few empirical studies that focused on the banking sector are yet to focus on African and to agree on the relationship between capital structure and profitability. It is against these reasons that the current study chose to investigate how profitability of South African banks is affected by their capital structure. The study found out that capital structure is a key determinant of profitability of banks in South Africa. As such, the study recommends that optimal capital policies need to be pursued if banks are to not only to increase profitability but ensure long term stability and sound performance.
The study used the Markov regime switching model to investigate the presence of regimes in the volatility dynamics of the returns of JSE All-Share Index (ALSI). Volatility regimes are as a result of ...sudden changes in the underlying economy generating the market returns. In all, twelve candidate models were fitted to the data. Estimates from the regime switching model were compared to the industry standard non-switching GARCH (1,1) using the Deviance Information Criteria (DIC). The results show that the two-regime switching EGARCH model with skewed Student t innovations describes better the return of the JSE Index. Additionally, we backtest the model results in order to confirm our findings that the two-regime switching EGARCH is the best of the models for the sample period.
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