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Use of environmental parameters to explain the variability in spawnerrecruitment relationships of Namibian sardine Sardinops sagax
Item type: Journal Article • Journal: African Journal of Marine Science • Authors: CH Kirchner --- National Marine Information and Research Centre, Namibia CH Bartholomae --- National Marine Information and Research Centre, Namibia A Kreiner --- National Marine Information and Research Centre, NamibiaThis study attempts to explain the variability in recruitment of sardine in the northern Benguela and to develop potential models by including environmental information to predict recruitment. Two different recruitment and spawner number datasets were available: a VPA-developed dataset, for... -
Value and size investment strategies during the global financial crisis: evidence from the South African equity market
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: K. J. Barnard --- Department of Accounting, South Africa M. B. Bunting --- Department of Accounting, South AfricaValue/growth and size investment strategies involve the creation of equity portfolios on the bases, respectively, of intrinsic value relative to market value and market capitalisation. The propositions that a portfolio of high relative intrinsic value shares anomalously outperforms a low... -
Fiskale onderskeid tussen ’n wins van ’n kapitale aard en inkomste aard
Item type: Journal Article • Journal: De Ratione • Authors: Hendrik Coetzee --- Deeltydse professor by die Randse Afrikaanse Universiteit en verbonde aan die belastingpraktyk van KPMG, -
Further Evidence of Firm Size and Earnings Anomalies on the Johannesburg Stock Exchange
Item type: Journal Article • Journal: De Ratione • Authors: Michael J. Page --- Graduate School of Business,In spite of the large body of evidence in favour of capital market efficiency in the semi-strong form, several enigmatic findings persist. As much of the research is based on the theoretical foundation of the Capital Asset Pricing Model, the... -
Idiosyncratic risk and anomaly persistence on the Johannesburg Stock Exchange (JSE)
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Daniel Page --- School of Economic & Business Sciences, University of the Witwatersrand, South Africa James Britten --- School of Economic & Business Sciences, University of the Witwatersrand, South Africa Christo Auret --- School of Economic & Business Sciences, University of the Witwatersrand, South AfricaThis study examines arbitrage costs and the persistence of the size, value and momentum premiums on the Johannesburg Stock Exchange (JSE). Two arbitrage costs are considered: transaction and holding costs. Transaction costs refer to indirect and direct costs of engaging... -
Seasonality in the cross section of factor premia
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Adam Zaremba --- Department of Investment and Capital Markets, PolandThis study examines the seasonality effect in the cross section of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigated the cross-sectional seasonality of market, value, size, momentum, quality and low-risk premia... -
Bardet–Biedl syndrome: expect the unexpected, suspect the unsuspected
Item type: Journal Article • Journal: Southern African Journal of Anaesthesia and Analgesia • Authors: Larissa Cronjé --- Perioperative Research Group, Department of Anaesthesiology and Critical Care, South AfricaThis is the first reported description of Bardet–Biedl syndrome (BBS) with the combination of a malacic bifid epiglottis and anterior laryngeal web. Anaesthesia for BBS has numerous concerns and these are reviewed, focusing on features that manifest not only in... -
Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Adam Zaremba --- Department of Investment and Capital Markets, Poland Mehmet Umutlu --- Department of International Trade and Finance, Turkey Alina Maydybura --- Dubai Business School, United Arab EmiratesWe offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset allocation within 51 country indexes and 888... -
How does (C)CAPM digest anomalies?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Qi Shi --- , ChinaIn a pioneering effort, we re-evaluate the performance of (C)CAPM (joint CAPM and consumption CAPM) in digesting a large number of anomalies. Our key contribution illustrates that the performance of (C)CAPM appears to be quite sensitive to the choice of... -
Financial constraints and the financial distress puzzle: Evidence from a frontier market before and during the Covid-19 pandemic
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Khoa Dang Duong --- , Vietnam Linh Thi Diem Truong --- , Vietnam Tran Ngoc Huynh --- , Vietnam Quang Thu Luu --- , VietnamWe are the first ever to examine the financial constraints and distress risk puzzle of listed manufacturing firms in Vietnam. We employ different estimation methods such as portfolio sorting, Fama Macbeth regression, and asset pricing models to analyse a sample... -
Higher moments and industry momentum returns
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Xiaoyue Chen --- , Australia Bin Li --- , Australia Andrew C. Worthington --- , AustraliaMotivated by the demonstrated profitability of industry momentum strategies and the established explanatory power of higher moments for momentum returns at the firm level, we investigate the relation between higher moments and industry momentum returns. We use January 1970 to...