The study examines the cyclical behaviour of style premiums on the Johannesburg Stock Exchange (JSE) over the period 2002-2018. More specifically, the study establishes whether there is a ...contemporaneous relationship between style premiums and certain regime dynamics. The examination period extends over two consecutive business cycles, each with an upward and a downward phase. A robust factor-mimicking portfolio construction procedure is employed. Findings show that the small-cap risk premium shrinks significantly or becomes negative during downward phases while the momentum premium is strongly positive throughout the study period, but is lower during downward phases. The value premium is positive during downward periods and particularly strong around the 2008 financial crisis period, but is low or negative during upward phases. Thus, the size and momentum effects are procyclical while the value effect is countercyclical on the JSE. The study adds to the limited JSE-related literature and is likely to be of interest to factor allocation investors wanting to exploit the phases of the business cycle.
Both the capital asset pricing model and Fama and French's (1993) three-factor model have consistently failed to explain momentum in stock returns, with only Carhart's (1997) four-factor model having ...some success in this regard. This study examines whether an alternative three-factor model proposed by Chen, Novy-Marx, and Zhang (2011) and a five-factor model forwarded by Fama and French (2015), which both include profitability and investment as pricing factors, can explain momentum on the South African market. Consistent with international evidence, the pricing errors from these two models are lower and although these errors remain significant, the results reveal that profitability and, to a lesser extent, investment are important risk-based factors that must be considered in explaining the short-term continuation in stock returns.
Director interlocks, which occur when companies have directors in common, have concerned shareholders, the public and legislators since the early 1900s. The purpose of this paper is to analyse the ...interlocking directorships of the Top 40 companies listed on the Johannesburg Stock Exchange using small world theory and compare the results to research on interlocks in Italian, French, German, United Kingdom (UK) and United States (US) companies. South Africa was found to be closest to Italy, between the low-density models of the UK and the US, and the significantly higher-density models of Germany and France. This suggests that rather than just the two models (low density and high density), there is a continuum currently reflected with the UK and the US at one end, then South Africa and Italy, and then France and Germany at the other end. The presence of directors with multiple directorships indicates that the threats and benefits associated with multiple directorships may exist in South Africa.
Good corporate governance has been attributed to many large organizations’ success. From the boardroom to the triple bottom line, it has been hailed as one powerful tool that brought about ...sustainability of these organizations in this competitive era. While this is beneficial to large organizations, small and medium enterprises (SMEs) can glean on such experiences to add their value to their companies which, in the long run could bring about new markets and improved business practices which can be ground breaking in their daily business dealings. Thus, if with the introduction of the King Report on good governance, competitive advantage is improved, SMEs are in a good position to sustain their businesses in turbulent economic conditions. This article is aimed at exploring the benefits with which good corporate governance can yield to top and bottom JSE listed SMEs in South Africa. A desktop method was used to analyze the financial statements of these SMEs companies with the view to gain understanding on their corporate governance activities and how well they benefit them. The findings show that good corporate governance is beneficial to SMEs.
Co‐evolved genetic programs for stock market trading Nicholls, Jason F.; Engelbrecht, Andries P.
Intelligent systems in accounting, finance & management,
July/September 2019, 2019-07-00, 20190701, Letnik:
26, Številka:
3
Journal Article
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Summary
The profitability of trading rules evolved by three different optimised genetic programs, namely a single population genetic program (GP), a co‐operative co‐evolved GP, and a competitive ...co‐evolved GP is compared. Profitability is determined by trading thirteen listed shares on the Johannesburg Stock Exchange (JSE) over a period of April 2003 to June 2008. An empirical study presented here shows that GPs can generate profitable trading rules across a variety of industries and market conditions. The results show that the co‐operative co‐evolved GP generates trading rules perform significantly worse than a single population GP and a competitively co‐evolved GP. The results also show that a competitive co‐evolved GP and the single population GP produce similar trading rules. The profits returned by the evolved trading rules are compared to the profit returned by the buy‐and‐hold trading strategy. The evolved trading rules significantly outperform the buy‐and‐hold strategy when the market trends downwards. No significant difference is identified among the buy‐and‐hold strategy, the competitive co‐evolved GP, and single population GP when the market trends upwards.
The purpose of the present article is to analyse South African listed companies' public reporting in order to contribute to our understanding of how and why companies consider human rights. The ...empirical analysis is placed in the context of the increasing prominence of human rights as a business issue, premised in part on the activities of the United Nations (UN) Special Representative of the Secretary General (SRSG) on human rights and business. On the basis of a content analysis of the public reports of the top 100 companies listed on the Johannesburg Stock Exchange (JSE), we test hypotheses focused on the antecedents of companies' demonstrated human rights due diligence, with particular reference to assumptions or findings of the SRSG and institutional theory. Some of our results are unexpected: there is little influence exerted by the sector and size of companies in our sample, and there is also an unexpectedly insignificant impact of company participation in the UN Global Compact and the JSE Socially Responsible Investment Index. On the other hand, a key predictor of human rights due diligence is an explicit leadership commitment, and important roles are also played by government regulations and stock exchange listing rules.
Using weekly data collected from 20.09.2008 to 09.12.2016, this paper uses dynamic threshold adjustment models to demonstrate how the introduction of high-frequency and algorithmic trading on the ...Johannesburg Stock Exchange (JSE) has altered convergence relations between the federal fund rate and equity returns for aggregate and disaggregate South African market indices. We particularly find that for the post-crisis period, the JSE appears to operate more efficiently, in the weak-form sense, under high frequency trading platforms.
We examine seasonal anomalies in Johannesburg daily stock returns from January 1973 to September 2012. This paper focuses on three seasonal effects: day-of-the-week, beginning-of-the-month and ...month-of-the-year. We found no compelling evidence for either a January or December effect in the South African market. Instead, our results support the presence of strong Monday and Tuesday effects, whereby the returns on Monday and Tuesday are significantly lower than the return on the benchmark day of Wednesday. Moreover, the beginning-of-the-month effect is quite pronounced in which second and third trading day returns are significantly larger than returns in other trading days. Nevertheless, these strong day-of-the-week and beginning-of-the-month seasonal effects disappear in the post-2008 period following the global financial crisis. It appears that the South African stock market may have filtered out seasonal anomalies and become more efficient in the aftermath of the recent global financial crisis.
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