Pub Date : 1994-12-01DOI: 10.1080/10293523.1994.11082334
N. Bhana
ABSTRACTThe purpose of this paper is to investigate the widely held belief that institutional portfolio managers “window dress” or adjust their share portfolios before the release of their quarterly reports. In this study, block trading on the JSE covering the period 1983–1990 is examined to determine if there is abnormal end-of-period trading activity. The empirical evidence clearly rejects the null hypothesis of no abnormal end-of-period trading activity. While the company data yield less clear results, there are indications that institutional window dressing is more likely in the securities of companies that have performed poorly during the current quarter or the recent past. Although the behaviour of institutional portfolio managers cannot be generalized to other types of corporate activity, they suggest that reporting requirements do affect managerial behaviour.
{"title":"Window dressing by institutional investors on the Johannesburg Stock Exchange: an empirical analysis","authors":"N. Bhana","doi":"10.1080/10293523.1994.11082334","DOIUrl":"https://doi.org/10.1080/10293523.1994.11082334","url":null,"abstract":"ABSTRACTThe purpose of this paper is to investigate the widely held belief that institutional portfolio managers “window dress” or adjust their share portfolios before the release of their quarterly reports. In this study, block trading on the JSE covering the period 1983–1990 is examined to determine if there is abnormal end-of-period trading activity. The empirical evidence clearly rejects the null hypothesis of no abnormal end-of-period trading activity. While the company data yield less clear results, there are indications that institutional window dressing is more likely in the securities of companies that have performed poorly during the current quarter or the recent past. Although the behaviour of institutional portfolio managers cannot be generalized to other types of corporate activity, they suggest that reporting requirements do affect managerial behaviour.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129234450","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1994-12-01DOI: 10.1080/10293523.1994.11082331
C. Firer, M. Sandler
{"title":"Finance Research in South Africa","authors":"C. Firer, M. Sandler","doi":"10.1080/10293523.1994.11082331","DOIUrl":"https://doi.org/10.1080/10293523.1994.11082331","url":null,"abstract":"","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124349665","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1994-06-01DOI: 10.1080/10293523.1994.11082341
J. Glansbeek, S. Conway
ABSTRACTRelative performance measurement and incentive fees increase the need for accurate performance benchmarks. This paper identifies a significant bias and error in the current performance calculations for the Actuaries All Bond Index. A single correction to the traditional formula takes into account the actual income payment frequency of assets is proposed to eliminate this bias.
{"title":"Revision of Index performance calculations","authors":"J. Glansbeek, S. Conway","doi":"10.1080/10293523.1994.11082341","DOIUrl":"https://doi.org/10.1080/10293523.1994.11082341","url":null,"abstract":"ABSTRACTRelative performance measurement and incentive fees increase the need for accurate performance benchmarks. This paper identifies a significant bias and error in the current performance calculations for the Actuaries All Bond Index. A single correction to the traditional formula takes into account the actual income payment frequency of assets is proposed to eliminate this bias.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123787239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1994-06-01DOI: 10.1080/10293523.1994.11082337
N. Mohr, E. Smit
ABSTRACTThe minimum variance hedge ratio (HR*) and the classic or beta hedge ratio are commonly used decision rules in drawing up a hedging strategy. Research regarding the superiority between HR* and the beta hedge ratio that had been done on the US market has yielded mixed results.This study investigates the stability of HR* for the Johannesburg Stock Exchange All Share, All Gold and Industrial Indices futures contracts with respect to hedge duration and time to contract expiration. Hedge durations of one, two and four weeks are compared, and these are further subdivided into the number of weeks remaining until contract expiration. The HR* values are analysed for predictable trends, and statistical comparisons are made with the beta hedge ratio.The results show that the minimum variance hedge ratios are significantly less than the beta hedge ratio of 1, and that they increase as hedge duration increases from one to four weeks. The results also show that, in general, the HR* values increase, although onl...
{"title":"Minimum variance hedge ratio analysis for the South African share index futures market: Duration and expiration effects","authors":"N. Mohr, E. Smit","doi":"10.1080/10293523.1994.11082337","DOIUrl":"https://doi.org/10.1080/10293523.1994.11082337","url":null,"abstract":"ABSTRACTThe minimum variance hedge ratio (HR*) and the classic or beta hedge ratio are commonly used decision rules in drawing up a hedging strategy. Research regarding the superiority between HR* and the beta hedge ratio that had been done on the US market has yielded mixed results.This study investigates the stability of HR* for the Johannesburg Stock Exchange All Share, All Gold and Industrial Indices futures contracts with respect to hedge duration and time to contract expiration. Hedge durations of one, two and four weeks are compared, and these are further subdivided into the number of weeks remaining until contract expiration. The HR* values are analysed for predictable trends, and statistical comparisons are made with the beta hedge ratio.The results show that the minimum variance hedge ratios are significantly less than the beta hedge ratio of 1, and that they increase as hedge duration increases from one to four weeks. The results also show that, in general, the HR* values increase, although onl...","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132626270","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1994-06-01DOI: 10.1080/10293523.1994.11082338
D. Taylor
ABSTRACTFinancial theory advocates the use of discounted cash flow techniques for purposes of making investment dicisions. Techniques such as Accounting Rate of Return (ARR) are rejected for a variety of reasons. Shareholders, however, cannot know that a company is making positive net present value investments they can only hope! Shareholders make use of information from the annual financial statements to calculate ratios such as Return on Assets (ROA) to evaluate managements' investment policies. Having briefly considered what companies appear to do in practice, the relationship between ARR and ROA, and ultimately Return on Equity and Earnings Yield is demonstrated, with the concluding proposal that, despite its faults, ARR has an important role to play in investment decision making.
{"title":"Accounting rate of return revisited","authors":"D. Taylor","doi":"10.1080/10293523.1994.11082338","DOIUrl":"https://doi.org/10.1080/10293523.1994.11082338","url":null,"abstract":"ABSTRACTFinancial theory advocates the use of discounted cash flow techniques for purposes of making investment dicisions. Techniques such as Accounting Rate of Return (ARR) are rejected for a variety of reasons. Shareholders, however, cannot know that a company is making positive net present value investments they can only hope! Shareholders make use of information from the annual financial statements to calculate ratios such as Return on Assets (ROA) to evaluate managements' investment policies. Having briefly considered what companies appear to do in practice, the relationship between ARR and ROA, and ultimately Return on Equity and Earnings Yield is demonstrated, with the concluding proposal that, despite its faults, ARR has an important role to play in investment decision making.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133527202","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1994-06-01DOI: 10.1080/10293523.1994.11082339
D. Hodge
ABSTRACTThis paper questions the belief that in South Africa large institutional cash flows, the weight of funds, support equity prices on the Johannesburg Stock Exchange. The paper suggests that this belief is conceptually flawed and that it conflicts with established portfolio and efficient asset market theory. An attempt was made to test possible implications of the weight of funds. However, the empirical evidence failed to support any of the suggested hypotheses. It was concluded that investors should disregard claims that the weight of funds supports equity prices on the JSE during either bull or bear market conditions.
{"title":"Does the Weight of Funds support equity prices on the Johannesburg Stock Exchange","authors":"D. Hodge","doi":"10.1080/10293523.1994.11082339","DOIUrl":"https://doi.org/10.1080/10293523.1994.11082339","url":null,"abstract":"ABSTRACTThis paper questions the belief that in South Africa large institutional cash flows, the weight of funds, support equity prices on the Johannesburg Stock Exchange. The paper suggests that this belief is conceptually flawed and that it conflicts with established portfolio and efficient asset market theory. An attempt was made to test possible implications of the weight of funds. However, the empirical evidence failed to support any of the suggested hypotheses. It was concluded that investors should disregard claims that the weight of funds supports equity prices on the JSE during either bull or bear market conditions.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126341562","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1994-06-01DOI: 10.1080/10293523.1994.11082340
M. Philpott, C. Firer
ABSTRACTShare price anomalies of a magnitude larger than the direct transaction costs of switching from one share to another were detected in 56 out of 60 pairs of closely related shares. Non-isolated anomalies were detected for 49 of these pairs. The extent of these anomalies indicates inefficiency of the JSE.Three factors were identified that contribute significantly to the extent and magnitude of the anomalies. A discriminant function of these factors correctly classified nine out of ten pairs of shares for which no non-isolated anomalies were detected and 45 out of 47 pairs that had non-isolated anomalies.
{"title":"Share price anomalies and the efficiency of the JSE","authors":"M. Philpott, C. Firer","doi":"10.1080/10293523.1994.11082340","DOIUrl":"https://doi.org/10.1080/10293523.1994.11082340","url":null,"abstract":"ABSTRACTShare price anomalies of a magnitude larger than the direct transaction costs of switching from one share to another were detected in 56 out of 60 pairs of closely related shares. Non-isolated anomalies were detected for 49 of these pairs. The extent of these anomalies indicates inefficiency of the JSE.Three factors were identified that contribute significantly to the extent and magnitude of the anomalies. A discriminant function of these factors correctly classified nine out of ten pairs of shares for which no non-isolated anomalies were detected and 45 out of 47 pairs that had non-isolated anomalies.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130263551","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1993-12-01DOI: 10.1080/10293523.1993.11082320
M. J. V. D. Mescht, E. Smit
ABSTRACTTwo simple forecasting models are developed to forecast future real economic activity, the one based on information contained in the industrial share index and the other based on the term structure of interest rates. It is shown that both these models provide better ex ante forecasts of real activity than a number of leading South African economic forecasters.
{"title":"Die Suid-Afrikaanse Kapitaalmark en Aandelebeurs as Vooruitskatters van Reële Ekonomiese Aktiwiteit","authors":"M. J. V. D. Mescht, E. Smit","doi":"10.1080/10293523.1993.11082320","DOIUrl":"https://doi.org/10.1080/10293523.1993.11082320","url":null,"abstract":"ABSTRACTTwo simple forecasting models are developed to forecast future real economic activity, the one based on information contained in the industrial share index and the other based on the term structure of interest rates. It is shown that both these models provide better ex ante forecasts of real activity than a number of leading South African economic forecasters.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1993-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126454541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1993-12-01DOI: 10.1080/10293523.1993.11082321
D. Joubert
ABSTRACTEvidence has been found of a relationship between gradients of consecutive bull and bear markets. The gradient of a major resistance trend line of a bear market can be derived from the resistance line of the preceding bull market. Similarly, a major support line of a bull market can be derived from a support line of the previous bear market. This phenomenon reveals a symmetrical relationship between the gradients of the resistance or support lines on either side of a trend reversal, i.e. of consecutive bull and bear trends.The relationship is inverse, as the gradient of the derived line is of opposite sign to that of the primary line. The magnitude of the new inverted gradient may be equal to that of the primary line, or it could differ by some multiple of the Fibonacci ratio.In practice, this relationship can be used to anticipate where a key reversal could occur during a new bull or bear market.The existence of a method to anticipate major reversals is of value for technical analysis, and is als...
{"title":"Evidence of Symmetry in price behaviour","authors":"D. Joubert","doi":"10.1080/10293523.1993.11082321","DOIUrl":"https://doi.org/10.1080/10293523.1993.11082321","url":null,"abstract":"ABSTRACTEvidence has been found of a relationship between gradients of consecutive bull and bear markets. The gradient of a major resistance trend line of a bear market can be derived from the resistance line of the preceding bull market. Similarly, a major support line of a bull market can be derived from a support line of the previous bear market. This phenomenon reveals a symmetrical relationship between the gradients of the resistance or support lines on either side of a trend reversal, i.e. of consecutive bull and bear trends.The relationship is inverse, as the gradient of the derived line is of opposite sign to that of the primary line. The magnitude of the new inverted gradient may be equal to that of the primary line, or it could differ by some multiple of the Fibonacci ratio.In practice, this relationship can be used to anticipate where a key reversal could occur during a new bull or bear market.The existence of a method to anticipate major reversals is of value for technical analysis, and is als...","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1993-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117255920","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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