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Employing the prespecified variable approach to APT factor identification on the segmented Johannesburg Stock Exchange
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: Paul van Rensburg --- Department of Accounting and Finance,Prior research has provided evidence that the return generating process on the Johannesburg Stock Exchange (JSE) is dichotomous in nature (Campbell, 1979; Gilbertson and Goldberg, 1981;Carter, 1983; Page, 1986, 1989; Venter, Bradfield and Bowie, 1992). More specifically, this prior work... -
Unifying the factor analytic and prespecified variable approaches to APT factor identification on the Johannesburg Stock Exchange
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: P van Rensburg --- Department of Accounting and Finance,This paper reviews recent empirical work concerning the number and macroeconomic nature of the priced Arbitrage Pricing Theory (APT) factors on the Johannesburg Stock Exchange (JSE). As a consolidation of prior factor analytic and prespecified variable findings, a brief empirical... -
The domestic transfer pricing practices of large listed South African industrial companies
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: I Vally --- Department of Accountancy,The three main objectives of a domestic transfer pricing system are: (1) the attainment of goal congruence, (2) the facilitation of fair divisional performance evaluation and (3) the promotion of divisional autonomy. -
Transfer pricing methods in the context of intangible property
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: M Steyn --- Department of Taxation, School of Accounting Sciences,The purpose of this study is to evaluate the suitability of existing acceptable transfer pricing methods and their application to international transactions between related parties involving intangible property, more specifically intellectual property that is legally protected. The application of the... -
An analysis of underpricing and aftermarket performance of initial public offerings on the Alternative Exchange (AltX)
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: C. Correia --- Department of Accounting, G. Holman --- Department of Accounting,This paper reviews the international evidence of underpricing of Initial Public Offerings and analyses IPO underpricing by companies listing on the South African Alternative Exchange (AltX). Underpricing is indicated by measuring the percentage difference between the initial offer price and... -
Cost contribution agreements: The South African tax implications of research and development costs incurred by multinationals participating in joint research projects with offshore associates
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: M Steyn --- Department of Management Accounting,Cost Contribution Agreements (CCAs) or cost sharing of research and development costs, is one of the vehicles sanctioned by tax authorities that may be used by multinational enterprise groups (MNEs) to develop and distribute intangible property among members of the... -
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... -
On pricing kernels, information and risk
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Diane L. Wilcox --- School of Computational & Applied Mathematics, South Africa Tim J. Gebbie --- School of Computational & Applied Mathematics, South AfricaThis paper compares out-of-sample, ex-ante risk and returns of arbitrage pricing theory (APT) risk-factor based, zero-cost portfolios with characteristic-based, zero-cost portfolios. In particular the Haugen and Baker characteristic-based model framework is used in a comparison with the capital asset pricing... -
A review of capital market theory from a South African Perspective
Item type: Journal Article • Journal: De Ratione • Authors: D.J. Bradfield --- University of Cape Town,The vast quantity of finance literature dealing with Capital Market Theory on the New York Stock Exchange (NYSE) is evidence of the demand for research in this area. Until very recently, almost no research In this area has been conducted... -
Estimating the Return Parameters of the Capital Asset Pricing Model
Item type: Journal Article • Journal: De Ratione • Authors: Colin Firer --- University of the Witwatersrand,The cost of equity capital is a fundamental concept In the field of finance. Its estimation often relies on the application of the Capital Asset Pricing Model. Very little help is offered to the practitioner in the selection of appropriate... -
Macroeconomic variables and the Johannesburg Stock Exchange: A multifactor approach
Item type: Journal Article • Journal: De Ratione • Authors: Paul Van Rensburg --- Department of Accounting,This study estimates the simultaneous relationship between a number of selected macroeconomic variables and share prices on the Johannesburg Stock Exchange (JSE). A linear factor model identical in form to that assumed by the arbitrage pricing theory (APT) is estimated... -
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... -
Merger imbalance and returns in international equity markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Adam Zaremba --- Department of Investment and Capital Markets, Poland Przemyslaw Grobelny --- Department of Investment and Capital Markets, PolandAt the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The... -
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... -
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... -
Liquidity and size effects on the Johannesburg Stock Exchange (JSE)
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Graeme McKane --- School of Economic and Business Sciences, South Africa James Britten --- School of Economic and Business Sciences, South AfricaThis study explores the existence of a liquidity premium on the Johannesburg Stock Exchange (JSE) and its potential interaction with the well-documented size effect. It builds on the stream of South African literature that examines liquidity as a standalone factor... -
The investment return puzzle on the Johannesburg Stock Exchange
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Pravin Semnarayan --- Gordon Institute of Business Science, University of Pretoria, South Africa Michael Ward --- Gordon Institute of Business Science, University of Pretoria, South Africa Chris Muller --- Gordon Institute of Business Science, University of Pretoria, South AfricaFirms that invest into positive net present value projects should outperform firms that do not invest. Surprisingly, several studies on United States data have found a negative relationship between capital investment and subsequent shareholder return. There are conflicting explanations for... -
Is investor sentiment a relevant factor in determining asset prices?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Kamini Solanki --- School of Economic and Business Science, South Africa Yudhvir Seetharam --- School of Economic and Business Science, South AfricaThe APT framework allows for a multitude of risk factors to be priced into asset returns, implying that it can be used to model returns using either macroeconomic or microeconomic factors. As such, the APT allows for non-traditional factors, such... -
Myths about fundamental indexing
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Lieven De Moor --- Vrije Universiteit Brussel, Faculty of Economic and Social Sciences and Solvay Business School, Belgium Fang Liu --- Beijing Foreign Studies University, China Piet Sercu --- KU Leuven, Faculty of Economics and Business, BelgiumFundamental indexing starts from the observation that in a value-weighted portfolio, any overpricing affects the stock’s portfolio weight upward and its typical return downward, and vice versa; but on average the ‘drag’ on the portfolio’s expected return caused by this... -
A panel-data analysis of the explanatory power of factor premiums on the Johannesburg Stock Exchange (JSE)
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Daniel Page --- Finance Division, School of Economic & Business Sciences, South Africa Christo Auret --- Finance Division, School of Economic & Business Sciences, South AfricaA large portion of South African asset pricing literature considers the identification of investment styles present on the Johannesburg Stock Exchange (JSE). Unfortunately, the identification of an ‘investment style’ does not necessarily entail that the said style is an ‘explanatory... -
The Fama-French five-factor model: Evidence from the Johannesburg Stock Exchange
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Shaun Cox --- School of Economic & Business Sciences, South Africa James Britten --- School of Economic & Business Sciences, South AfricaThis study tests the effectiveness of the Fama and French (2015) five-factor model in explaining returns on the Johannesburg Securities Exchange (JSE). The five-factor model is compared to the traditional Fama-French three-factor model as well as other factor combinations. The... -
Small-minus-big predicts betting-against-beta: Implications for international equity allocation and market timing
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Adam Zaremba --- , PolandWe demonstrate a strong relationship between short-term small-firm premium and future low-beta anomaly performance. Rises (declines) in small-firm prices temporarily improve (deteriorate) funding conditions, benefiting (impairing) the short-run returns on the low-beta strategy. To investigate this phenomenon, we examine returns... -
Changes in pre- and post-pandemic pricing decision factors: An overview of South Africa’s luxury accommodation sector
Item type: Journal Article • Journal: Research in Hospitality Management • Authors: Ewaldt Janssen [cor1]Large-scale events such as a worldwide pandemic impact multiple areas of the hospitality business, including the factors that influence luxury pricing. As pricing cannot be done in isolation, changes in trading environments need to be identified and pricing approaches adjusted... -
Fundamental analysis, low accruals, and the accrual anomaly: Korean evidence
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Young Jun Kim --- , Republic of Korea Jung Hoon Kim --- , USA Sewon Kwon --- , Republic of Korea Su Jeong Lee --- , Republic of KoreaPrior studies in Korea document that low accrual firms yield extremely low returns, driving away abnormal returns of an accrual-based trading strategy. We examine whether the performance of an accrual-based trading strategy can be improved using fundamental analysis to distinguish... -
Firm quality and stock returns: Evidence from India
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Sanjay Sehgal --- , India Asheesh Pandey --- , IndiaUsing data for 1 848 companies, we find that quality increases, not quality, drive stock returns in India. Profitability and safety seem to be relevant attributes for measuring quality. Our cross-sectional tests show that the role of quality in predicting... -
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... -
Economic policy uncertainty and industry portfolio returns in the United States
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Asil Azimli --- , TurkeyThis paper examines whether returns on 49 different industry portfolios in the United States (US) expose significantly to the US economic policy uncertainty (EPU) even after controlling for the market and firm-specific risk factors. We find that the US EPU... -
Performance of factor models in explaining anomalous return patterns: Evidence from Pakistan
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Mehak Younus --- , Pakistan Hilal Anwar Butt --- , PakistanWe compared classic and contemporary asset pricing factor models in explaining anomalous returns in the Pakistani stock market using a sample of 290 companies listed on the Pakistan Stock Exchange. We replicated 54 anomalies with a successful replication rate of... -
Dynamic pricing and perceived fairness: a case study at a hotel on the West Frisian island of Vlieland, The Netherlands
Item type: Journal Article • Journal: Research in Hospitality Management • Authors: Stephanie Kool --- NHL Stenden University of Applied Sciences, The Netherlands Rodney Westerlaken --- NHL Stenden University of Applied Sciences, The Netherlands Javed Suleri --- NHL Stenden University of Applied Sciences, The NetherlandsThe use of dynamic pricing strategies can have a tremendous impact on the hospitality industry. Understanding the variety in the type of customers and the perceptions of customers concerning the fairness of dynamic pricing is essential. This study aimed to... -
Nonlinear dependencies in the Fama and French three-factor model
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Jakub Bandurski --- University of Warsaw, Poland Łukasz Postek --- University of Warsaw, PolandThis article addresses the topic of nonlinear dependencies in the Fama and French three-factor model. Five time-series models, including nonlinear terms, are assessed using US and European data and compared with a benchmark linear model. The analysis found that nonlinear... -
Personalised pricing under the current European legal framework: a call for ethics, sustainability and responsibility in the age of artificial intelligence
Item type: Journal Article • Journal: Research in Hospitality Management • Authors: Jean-Pierre van der Rest --- Leiden University, The Netherlands Kimia Heidary --- Leiden University, The NetherlandsAs pricing in hospitality and tourism evolves due to the opportunities presented by artificial intelligence (AI), so do the concerns that come with technological advancements. There is a fine line between what is possible, what is profitable, and what is... -
Performance of Green vis-à-vis Red EU securities
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Ferdinantos Kottas --- National University of Ireland Maynooth, IrelandThis research compares the performance of Green (eco-friendly) versus Red (eco-enemy) returns for EU securities. Green securities are the stocks of companies whose primary business activities focus on being relatively beneficial to the environment, while Red stocks are associated with... -
The highest-lowest price range and the cross-sectional returns predictability
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Xiaojun Chu --- , China Shuang Song --- , ChinaMotivated by literature on heterogeneous investors, we use the difference between the highest and lowest prices to proxy the intensity of competition among bullish-bearish investors and investigate its significance in the cross-sectional pricing of stocks. Portfolio-level analyses and cross-sectional regressions... -
Employing behavioural portfolio theory for sustainable investment: Examining drawdown risks and ESG factors
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Aayush Poddar --- Indian Institute of Technology, India Sujoy Bhattacharya --- , R Rathish Bhatt --- Management, Goa Institute of Management, IndiaThis study uses behavioural portfolio theory (BPT) within the Markowitz Portfolio Theory framework to enhance portfolio management by focusing on sustainability and risk mitigation during market downturns. It selects portfolios to hedge against market lows using Conditional Drawdown at Risk... -
Forecasting oil futures markets using machine learning and seasonal trend decomposition
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Ahhyun Kim --- Sungkyunkwan University, Korea Doojin Ryu --- Sungkyunkwan University, Korea Alexander Webb --- University of Wollongong, AustraliaCan machine learning improve prediction for seasonal commodity prices? We explore the effectiveness of a combined method that integrates seasonal trend decomposition using LOESS (STL) with machine learning (ML), referred to as STL-ML. We apply Extreme Gradient Boosting and Random...