The asset allocation decision in managing the portfolios of small individual investors
- Authors: Du Bruyn, Gabriël Reinhold
- Date: 2011-12-06
- Subjects: Asset allocation , Investment analysis , Portfolio management , Risk
- Type: Mini-Dissertation
- Identifier: uj:1814 , http://hdl.handle.net/10210/4176
- Description: M.Comm.
- Full Text:
- Authors: Du Bruyn, Gabriël Reinhold
- Date: 2011-12-06
- Subjects: Asset allocation , Investment analysis , Portfolio management , Risk
- Type: Mini-Dissertation
- Identifier: uj:1814 , http://hdl.handle.net/10210/4176
- Description: M.Comm.
- Full Text:
The short-term impact of event risk on the share value of gold mining companies listed on the JSE Securities Exchange
- Van den Berg, Tjaart Andries Petrus
- Authors: Van den Berg, Tjaart Andries Petrus
- Date: 2012-08-17
- Subjects: Risk - South Africa , Stock prices - South Africa , Mine accidents - South Africa
- Type: Mini-Dissertation
- Identifier: uj:2614 , http://hdl.handle.net/10210/6061
- Description: M.Comm. , Companies evolve around the undertaking of risk for reward and are occasionally exposed to potential catastrophes if the inherent risks encountered in their normal course of business are not managed. Disasters occur infrequently and are not unchallenging to pre-empt or control and they arise from daily uncertainties that businesses have to confront. The gold mining industry has experienced numerous disasters resulting in loss of life, destruction of assets, damage to third-party property and harm to the immediate environment. This has led to the question: why is management not successful in the prevention of disasters and have the shareholders responded negatively by selling their shares subsequently to the disasters, causing the share prices to drop or are shareholders indifferent to the impacts of disasters? The essence of this research is to answer this question, which is accomplished by revealing the concept of risk, defining event risk and determining the impact that the disasters have had on share values. Six gold mining disasters meeting the research criteria are used as case studies and investigated individually to establish whether the disasters have had a negative influence on the share prices. The emphases are on the short-term impact of event risk on the share value of gold mining companies listed on the JSE Securities Exchange. A theoretical context is used to explain the concept of risk and comprises the complexity, definitions, types and classification of risk. This is followed by the concept of risk and uncertainty, management's view of event risk and the benefit versus risk relationship. Risk arises from uncertainty and for the purposes of this research, the focus is on the downside risk and relating it to the impact disasters have had on share prices. Downside risk is defined as an event risk or alternatively known as pure risk. Event risk is further explained and includes the definition, components, requirements and degree of event risk. Ten days of share price data before and after the disasters was obtained from the statistical department of the JSE Securities Exchange and used for empirical data for significance testing to determine the influence the disasters have had on the share value. The student t-test is used to measure the difference in the mean share prices five and ten days before and after the disasters. This is followed by the F distribution test to determine whether there is a difference in the price variation and in this order, five and ten days before and after a disaster. The Chow test is used to conclude whether there is a structural break in the aggregate share price regression following the disaster. The significance test is then used to reveal whether the intercepts and slopes of the share price regressions before and after the disasters have changed, implying that this may have been caused by the disasters. To conclude the empirical analysis, Pearson's correlation coefficient is used to determine the influence of economic activity in the gold sector and that of the general economy on the share price subsequent to a disaster. The reason for this is to find out whether economic factors could have swayed the test results in favour of the research objectives. Conversely and against all expectations, there is no strong case that the disasters have had an insignificant (negative) influence on the share value. Although this is the case, stakeholder consumerism and new corporate governance requirements laid down by the JSE Securities Exchange may change the outcome that disasters may have on the share price in the future and should be a topic for further research.
- Full Text:
- Authors: Van den Berg, Tjaart Andries Petrus
- Date: 2012-08-17
- Subjects: Risk - South Africa , Stock prices - South Africa , Mine accidents - South Africa
- Type: Mini-Dissertation
- Identifier: uj:2614 , http://hdl.handle.net/10210/6061
- Description: M.Comm. , Companies evolve around the undertaking of risk for reward and are occasionally exposed to potential catastrophes if the inherent risks encountered in their normal course of business are not managed. Disasters occur infrequently and are not unchallenging to pre-empt or control and they arise from daily uncertainties that businesses have to confront. The gold mining industry has experienced numerous disasters resulting in loss of life, destruction of assets, damage to third-party property and harm to the immediate environment. This has led to the question: why is management not successful in the prevention of disasters and have the shareholders responded negatively by selling their shares subsequently to the disasters, causing the share prices to drop or are shareholders indifferent to the impacts of disasters? The essence of this research is to answer this question, which is accomplished by revealing the concept of risk, defining event risk and determining the impact that the disasters have had on share values. Six gold mining disasters meeting the research criteria are used as case studies and investigated individually to establish whether the disasters have had a negative influence on the share prices. The emphases are on the short-term impact of event risk on the share value of gold mining companies listed on the JSE Securities Exchange. A theoretical context is used to explain the concept of risk and comprises the complexity, definitions, types and classification of risk. This is followed by the concept of risk and uncertainty, management's view of event risk and the benefit versus risk relationship. Risk arises from uncertainty and for the purposes of this research, the focus is on the downside risk and relating it to the impact disasters have had on share prices. Downside risk is defined as an event risk or alternatively known as pure risk. Event risk is further explained and includes the definition, components, requirements and degree of event risk. Ten days of share price data before and after the disasters was obtained from the statistical department of the JSE Securities Exchange and used for empirical data for significance testing to determine the influence the disasters have had on the share value. The student t-test is used to measure the difference in the mean share prices five and ten days before and after the disasters. This is followed by the F distribution test to determine whether there is a difference in the price variation and in this order, five and ten days before and after a disaster. The Chow test is used to conclude whether there is a structural break in the aggregate share price regression following the disaster. The significance test is then used to reveal whether the intercepts and slopes of the share price regressions before and after the disasters have changed, implying that this may have been caused by the disasters. To conclude the empirical analysis, Pearson's correlation coefficient is used to determine the influence of economic activity in the gold sector and that of the general economy on the share price subsequent to a disaster. The reason for this is to find out whether economic factors could have swayed the test results in favour of the research objectives. Conversely and against all expectations, there is no strong case that the disasters have had an insignificant (negative) influence on the share value. Although this is the case, stakeholder consumerism and new corporate governance requirements laid down by the JSE Securities Exchange may change the outcome that disasters may have on the share price in the future and should be a topic for further research.
- Full Text:
Determining the multi-manager strategy value-add in a South African context
- Authors: Bodill, Anel
- Date: 2012-06-07
- Subjects: Retirement funds , Investment of retirement funds , Value added
- Type: Thesis
- Identifier: uj:8645 , http://hdl.handle.net/10210/5001
- Description: M.Comm. , The South African investment management sector is considered well-developed with local fund managers managing approximately ZAR2.1 trillion in assets as at the end of June 2009. These assets grew to approximately ZAR2.4 trillion as at the end of June 2010. The majority of these assets are made up of institutional funds which include retirement funds. Retirement-fund investment savings have a profound impact on the country’s economic welfare not only because it provides income to a large number of aged people in South Africa, but also because it contributes to the country’s overall economic wellbeing. Therefore, one of the biggest challenges within the retirement fund industry is to ensure that retirement-fund savings are invested in an optimal way.
- Full Text:
- Authors: Bodill, Anel
- Date: 2012-06-07
- Subjects: Retirement funds , Investment of retirement funds , Value added
- Type: Thesis
- Identifier: uj:8645 , http://hdl.handle.net/10210/5001
- Description: M.Comm. , The South African investment management sector is considered well-developed with local fund managers managing approximately ZAR2.1 trillion in assets as at the end of June 2009. These assets grew to approximately ZAR2.4 trillion as at the end of June 2010. The majority of these assets are made up of institutional funds which include retirement funds. Retirement-fund investment savings have a profound impact on the country’s economic welfare not only because it provides income to a large number of aged people in South Africa, but also because it contributes to the country’s overall economic wellbeing. Therefore, one of the biggest challenges within the retirement fund industry is to ensure that retirement-fund savings are invested in an optimal way.
- Full Text:
The performance of different asset classes during the stages of the investment cycle
- Authors: Van Heerden, Roelof Eugene
- Date: 2012-08-15
- Subjects: Business cycles , Investments - Management.
- Type: Mini-Dissertation
- Identifier: uj:9413 , http://hdl.handle.net/10210/5848
- Description: M.Comm. , The objectives of the study are to explore the different macro and micro forecasting techniques used in determining the stage of the economic cycle which will ultimately assist in deriving the stage of the investment cycle. Following on the top-down analysis, is the analysis of the impact of the interest rate cycle and its influence on asset classes through the evolution of the investment cycle as the impact of the interest rate cycle holds different investment consequences for equities, bonds and cash. Different investment styles are also analyzed in order to highlight the changing dynamics of fund management. The value and growth investment styles are analyzed in conjunction with momentum and size investing. Hedge funds were excluded for the purposes of this study. Stock market valuation and liquidity influence markets differently during the course of the business cycle although they do ultimately filter through in the tactical asset allocation process. Deriving the investment cycle through its different stages is the final step in the investment analysis process prior to the formulation of an investment strategy. The dynamic interaction between the mentioned macro and micro variables result in different tactical asset allocation strategies by different fund managers which ultimately determine their success as fund managers. Being cognisant of the interaction between the asset classes during the different stages of the investment cycle will assist in maximizing investment returns for a given level of risk.
- Full Text:
- Authors: Van Heerden, Roelof Eugene
- Date: 2012-08-15
- Subjects: Business cycles , Investments - Management.
- Type: Mini-Dissertation
- Identifier: uj:9413 , http://hdl.handle.net/10210/5848
- Description: M.Comm. , The objectives of the study are to explore the different macro and micro forecasting techniques used in determining the stage of the economic cycle which will ultimately assist in deriving the stage of the investment cycle. Following on the top-down analysis, is the analysis of the impact of the interest rate cycle and its influence on asset classes through the evolution of the investment cycle as the impact of the interest rate cycle holds different investment consequences for equities, bonds and cash. Different investment styles are also analyzed in order to highlight the changing dynamics of fund management. The value and growth investment styles are analyzed in conjunction with momentum and size investing. Hedge funds were excluded for the purposes of this study. Stock market valuation and liquidity influence markets differently during the course of the business cycle although they do ultimately filter through in the tactical asset allocation process. Deriving the investment cycle through its different stages is the final step in the investment analysis process prior to the formulation of an investment strategy. The dynamic interaction between the mentioned macro and micro variables result in different tactical asset allocation strategies by different fund managers which ultimately determine their success as fund managers. Being cognisant of the interaction between the asset classes during the different stages of the investment cycle will assist in maximizing investment returns for a given level of risk.
- Full Text:
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