Pub Date : 1992-12-01DOI: 10.1080/10293523.1992.11082308
P. Davey, C. Firer
ABSTRACTThis paper explores the attitude of major players in the capital markets to the question of why there is virtually no corporate bond market in South Africa. Information was sought as to whether investors ought to be provided with a broader range of risk instruments; what criteria investors seek in a corporate bond market; whether these overlap with the criteria important to potential debt issuers, and what hurdles restrict the development of such a market.Information was elicited through the medium of a mailed questionnaire sent to a sample of listed companies. Included were all life assurers and banks, together with the larger pension funds, investment companies and merchant banks.It was found that the attitudes of South African financial managers were generally positive towards the issuing of corporate bonds. Enough potential issuers with appropriate attributes existed. High inflation was seen as a critical stumbling block impeding formation of such a market. Needed too were market makers and th...
{"title":"A South African Corporate Bond Market","authors":"P. Davey, C. Firer","doi":"10.1080/10293523.1992.11082308","DOIUrl":"https://doi.org/10.1080/10293523.1992.11082308","url":null,"abstract":"ABSTRACTThis paper explores the attitude of major players in the capital markets to the question of why there is virtually no corporate bond market in South Africa. Information was sought as to whether investors ought to be provided with a broader range of risk instruments; what criteria investors seek in a corporate bond market; whether these overlap with the criteria important to potential debt issuers, and what hurdles restrict the development of such a market.Information was elicited through the medium of a mailed questionnaire sent to a sample of listed companies. Included were all life assurers and banks, together with the larger pension funds, investment companies and merchant banks.It was found that the attitudes of South African financial managers were generally positive towards the issuing of corporate bonds. Enough potential issuers with appropriate attributes existed. High inflation was seen as a critical stumbling block impeding formation of such a market. Needed too were market makers and th...","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1992-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129491856","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 : 1992-12-01DOI: 10.1080/10293523.1992.11082304
A. Firer, M. Sandler, M. Ward
ABSTRACTThis paper updates a 1987 study on market timing on the JSE. It shows that the crash of October 1987 had little impact on the probability of successfully using a timing strategy to “beat the market”. It was also found that there was little difference in the potential for timing between an investment in the All-Share Index and one in the gold sector only The distinction lay in the higher volatility of the gold share index. Finally it is shown that investors who retain a degree of liquidity in their portfolios face dramatically lowered ranges of possible returns and require a higher level of forecasting ability in order to beat the returns on the market index.
{"title":"Market Timing Revisited","authors":"A. Firer, M. Sandler, M. Ward","doi":"10.1080/10293523.1992.11082304","DOIUrl":"https://doi.org/10.1080/10293523.1992.11082304","url":null,"abstract":"ABSTRACTThis paper updates a 1987 study on market timing on the JSE. It shows that the crash of October 1987 had little impact on the probability of successfully using a timing strategy to “beat the market”. It was also found that there was little difference in the potential for timing between an investment in the All-Share Index and one in the gold sector only The distinction lay in the higher volatility of the gold share index. Finally it is shown that investors who retain a degree of liquidity in their portfolios face dramatically lowered ranges of possible returns and require a higher level of forecasting ability in order to beat the returns on the market index.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"348 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1992-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132949978","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 : 1992-12-01DOI: 10.1080/10293523.1992.11082305
D. Galagedera
{"title":"Modelling a series of uneven deposits and a series of uneven percentage withdrawals","authors":"D. Galagedera","doi":"10.1080/10293523.1992.11082305","DOIUrl":"https://doi.org/10.1080/10293523.1992.11082305","url":null,"abstract":"","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1992-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114146969","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 : 1992-12-01DOI: 10.1080/10293523.1992.11082307
N. Bhana
ABSTRACTThis investigation evaluates the efficiency of retained earnings of a sample of 50 companies listed on the Johannesburg Stock Exchange during the period 1978–1987. The empirical evidence shows that company managers are not always efficient in deciding how much profits should be retained for reinvestment. While, on average, the companies in the sample benefitted from an increase in market price associated with retained earnings, the majority of companies were penalized by the decision to retain earnings. There appears to be no correlation between the popular measures of company performance and the three measures representing shareholder interests.Given the limitations of return on equity and other company performance measures, appropriate ratios are suggested which could be used to measure shareholder interests as well as operational decision criteria for company performance evaluation. The use of the suggested ratios could assist in removing the various impediments and structures which prevent sha...
{"title":"An evaluation of the market rating of retained earnings of companies listed on the Johannesburg Stock Exchange: An empirical analysis","authors":"N. Bhana","doi":"10.1080/10293523.1992.11082307","DOIUrl":"https://doi.org/10.1080/10293523.1992.11082307","url":null,"abstract":"ABSTRACTThis investigation evaluates the efficiency of retained earnings of a sample of 50 companies listed on the Johannesburg Stock Exchange during the period 1978–1987. The empirical evidence shows that company managers are not always efficient in deciding how much profits should be retained for reinvestment. While, on average, the companies in the sample benefitted from an increase in market price associated with retained earnings, the majority of companies were penalized by the decision to retain earnings. There appears to be no correlation between the popular measures of company performance and the three measures representing shareholder interests.Given the limitations of return on equity and other company performance measures, appropriate ratios are suggested which could be used to measure shareholder interests as well as operational decision criteria for company performance evaluation. The use of the suggested ratios could assist in removing the various impediments and structures which prevent sha...","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1992-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114877730","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 : 1992-12-01DOI: 10.1080/10293523.1992.11082309
D. Joubert, A. F. Mason
ABSTRACTFour basic assumptions on the relationship between market behaviour and price action enable a descriptive model of changes in turnover during a complete bull-bear cycle. It is found, contrary to common wisdom, that an increase in volume does not necessarily confirm the ruling trend. Instead, when turnover begins to increase following a period of sustained rising or falling trend, it may well signal the end of that trend. This fact can be used to anticipate changes in the trend.
{"title":"Investment Basics-XXV Volume and the Bull-Bear Cycle","authors":"D. Joubert, A. F. Mason","doi":"10.1080/10293523.1992.11082309","DOIUrl":"https://doi.org/10.1080/10293523.1992.11082309","url":null,"abstract":"ABSTRACTFour basic assumptions on the relationship between market behaviour and price action enable a descriptive model of changes in turnover during a complete bull-bear cycle. It is found, contrary to common wisdom, that an increase in volume does not necessarily confirm the ruling trend. Instead, when turnover begins to increase following a period of sustained rising or falling trend, it may well signal the end of that trend. This fact can be used to anticipate changes in the trend.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"2014 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1992-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129026915","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 : 1992-06-01DOI: 10.1080/10293523.1992.11082314
M. Page, C. Way
ABSTRACTIt has been suggested that stock markets over-react and that investors pay too much attention to recent “dramatic” news. If over-reaction does occur and prices overshoot then there should be a subsequent revision in the opposite direction. This paper outlines empirical research into the over-reaction hypothesis on the Johannesburg Stock Exchange using data over the period July 1974 to June 1989 for two hundred and four relatively well traded securities.The results are consistent with the over-reaction hypothesis and indicate substantial weak form inefficiencies in the South African stock market in the long-term. The performance of portfolios of shares formed on the basis of prior return data can be predicted and, on average, portfolios of prior ‘losers’ outperformed prior ‘winners’ by about twenty percent over the three years after portfolio formation. Finally, comparison between the empirical results and a similar study for the New York Stock Exchange calls into some question the hypothesis that ...
{"title":"Stock Market Over-reaction: The South African Evidence","authors":"M. Page, C. Way","doi":"10.1080/10293523.1992.11082314","DOIUrl":"https://doi.org/10.1080/10293523.1992.11082314","url":null,"abstract":"ABSTRACTIt has been suggested that stock markets over-react and that investors pay too much attention to recent “dramatic” news. If over-reaction does occur and prices overshoot then there should be a subsequent revision in the opposite direction. This paper outlines empirical research into the over-reaction hypothesis on the Johannesburg Stock Exchange using data over the period July 1974 to June 1989 for two hundred and four relatively well traded securities.The results are consistent with the over-reaction hypothesis and indicate substantial weak form inefficiencies in the South African stock market in the long-term. The performance of portfolios of shares formed on the basis of prior return data can be predicted and, on average, portfolios of prior ‘losers’ outperformed prior ‘winners’ by about twenty percent over the three years after portfolio formation. Finally, comparison between the empirical results and a similar study for the New York Stock Exchange calls into some question the hypothesis that ...","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1992-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126105521","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 : 1992-06-01DOI: 10.1080/10293523.1992.11082311
E. Smith, T. Pahn
ABSTRACTThe paper examines exchange rate risk, defined as the variability in weekly log-ratios of the Rand-Dollar exchange rate during the decade of managed floating. Distributional tests lead to the rejection of the Gaussian model often used to evaluate exchange rate risk. Estimation shows that the leptokurtic character of the empirical distributions is better characterised by the class of non-normal stable Paretian distributions.
{"title":"South African Foreign Exchange Risk under Managed Floating: Distributional Aspects","authors":"E. Smith, T. Pahn","doi":"10.1080/10293523.1992.11082311","DOIUrl":"https://doi.org/10.1080/10293523.1992.11082311","url":null,"abstract":"ABSTRACTThe paper examines exchange rate risk, defined as the variability in weekly log-ratios of the Rand-Dollar exchange rate during the decade of managed floating. Distributional tests lead to the rejection of the Gaussian model often used to evaluate exchange rate risk. Estimation shows that the leptokurtic character of the empirical distributions is better characterised by the class of non-normal stable Paretian distributions.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"9 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1992-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132058520","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 : 1992-06-01DOI: 10.1080/10293523.1992.11082312
N. Bhana, L. Konar
{"title":"Are our portfolio managers ready to invest overseas when exchange control goes","authors":"N. Bhana, L. Konar","doi":"10.1080/10293523.1992.11082312","DOIUrl":"https://doi.org/10.1080/10293523.1992.11082312","url":null,"abstract":"","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1992-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121043566","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 : 1991-03-01DOI: 10.1080/10293523.1991.11082298
Michael G Green
ABSTRACTInstitutional investors have large portfolios of property investments, yet very little has been published on the measurement of property investment performance, mainly because of the complications associated with it, in particular the difficulty of valuation. This paper examines existing methods of property performance measurement and their drawbacks and suggests a standard method of valuation and a standard method of property investment performance measurement. The suggested standard method of measurement is an adaptation of existing measurements which are combined to provide a more comprehensive measure of performance.
{"title":"A standard method of property performance measurement","authors":"Michael G Green","doi":"10.1080/10293523.1991.11082298","DOIUrl":"https://doi.org/10.1080/10293523.1991.11082298","url":null,"abstract":"ABSTRACTInstitutional investors have large portfolios of property investments, yet very little has been published on the measurement of property investment performance, mainly because of the complications associated with it, in particular the difficulty of valuation. This paper examines existing methods of property performance measurement and their drawbacks and suggests a standard method of valuation and a standard method of property investment performance measurement. The suggested standard method of measurement is an adaptation of existing measurements which are combined to provide a more comprehensive measure of performance.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1991-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131543336","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 : 1991-03-01DOI: 10.1080/10293523.1991.11082299
J. B. Rosenberg
{"title":"The maintenance of living standard hypothesis—the key to practical selection of efficient portfolios","authors":"J. B. Rosenberg","doi":"10.1080/10293523.1991.11082299","DOIUrl":"https://doi.org/10.1080/10293523.1991.11082299","url":null,"abstract":"","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1991-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115401351","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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