scholarly journals Return predictability and valuation ratios: sector-level evidence on the Johannesburg stock exchange

2020 ◽  
Vol 8 (1) ◽  
pp. 1817252
Author(s):  
Kudakwashe Joshua Chipunza ◽  
Hilary Tinotenda Muguto ◽  
Lorraine Muguto ◽  
Paul-Francois Muzindutsi
Keyword(s):  
Stock Exchange ◽  
Return Predictability ◽  
Johannesburg Stock Exchange ◽  
Valuation Ratios

Stock Returns and Valuation Ratios at Sector Level in South Africa: The Regime-switch Modelling Approach

2020 ◽  
pp. 097215092097664
Author(s):  
Kudakwashe Joshua Chipunza ◽  
Hilary Tinotenda Muguto ◽  
Lorraine Muguto ◽  
Paul-Francois Muzindutsi
Keyword(s):  
Stock Returns ◽  
Regime Switching ◽  
Stock Exchange ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
Switching Model ◽  
Johannesburg Stock Exchange ◽  
Market Regime ◽  
Markov Regime Switching Model ◽  
Valuation Ratios

There is mounting evidence of stock return predictability based on valuation ratios across various stock markets. Most studies in this regard assume that the link between stock returns and valuation ratios is constant and linear. Yet, return predictability may vary according to the prevailing market regime. Accordingly, this study investigated whether the dividend and price-earnings valuation ratios predict returns on six sector indices on the Johannesburg Stock Exchange and whether that predictability is dependent on the prevailing market regime. The study employed a Markov regime-switching model over a sample period spanning from 1996:01 to 2018:12. The results showed that in most sectors, predictability was present, and its significance was dependent on whether the market was in a bullish or bearish regime. These findings are useful to investors who use valuation ratios to predict returns and adjust portfolios in various sectors across different market regimes on the South African market.

The Nexus Between Johannesburg Stock Exchange and the United States Unemployment Rate Announcement: An Impulse Response Analysis

2018 ◽  
Vol 10 (3(J)) ◽  
pp. 160-168
Author(s):  
Misheck Mutize ◽  
Victor Virimai Mugobo
Keyword(s):  
United States ◽  
South African ◽  
Impulse Response ◽  
Unemployment Rate ◽  
Stock Prices ◽  
Stock Exchange ◽  
The United States ◽  
Response Analysis ◽  
Johannesburg Stock Exchange ◽  
The Us

The study explores the relationship between the unemployment rate in the United States and South Africa’s stock prices from the beginning of 2013 to the last day 2017. The objective of this paper is to examine the impact of the US unemployment rate announcement on the South African financial market. Results of Impulse Response analysis show that there is a very minimal impact from the US unemployment announcement to South Africa’s stock prices which disappears within two days of the announcement. In addition, the Johannesburg stock exchange index marginally responds to own shocks, which marginally fades away within two days. These findings imply that the changes in the US employment policies have a direct ripple effect on the South African macroeconomic environment, its investing public sentiments and corporate confidence on the future prospects of businesses.

scholarly journals Price adjustments on the Johannesburg Stock Exchange for unexpected and dramatic news events: An empirical analysis

1989 ◽  
Vol 20 (3) ◽  
pp. 119-128 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Empirical Analysis ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Short Term ◽  
Johannesburg Stock Exchange ◽  
Price Adjustments ◽  
Weak Evidence ◽  
News Events ◽  
One Year

The objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange overreacted to unexpected favourable and unfavourable company-specific news events during the period 1970 - 1984. The JSE appears to be inefficient in reacting to the announcement of unfavourable news; economically significant abnormal returns up to one year following the event are observed. The JSE does not appear to overreact to news of a favourable nature, there is only weak evidence of short-term overreaction. The selling pressure caused by panic selling could depress prices well below levels justified by the unfavourable news. The magnitude of the overreaction to unfavourable news is sufficient to enable astute investors to outperform the market by taking positions in these securities. Knowledge of the pattern of market overreaction can also be of value to investors for transactions that are to take place anyway.

scholarly journals Firm characteristics and excellence in integrated reporting

2017 ◽  
Vol 20 (1) ◽  
Author(s):  
Natasha Buitendag ◽  
Gail S. Fortuin ◽  
Amber De Laan
Keyword(s):  
Repeated Measures ◽  
Mixed Model ◽  
Stock Exchange ◽  
Categorical Variables ◽  
Firm Characteristics ◽  
Integrated Reporting ◽  
Johannesburg Stock Exchange ◽  
Annual Survey ◽  
The Board Of Directors

Background: Integrated reporting has attracted much attention in the past few years, and South Africa has taken the lead in its development worldwide. An annual survey is published by Ernst & Young regarding the quality of the integrated reports of the top 100 entities listed on the Johannesburg Stock Exchange (JSE).Aim: The study on which this article is based was aimed at determining whether the assessment of an entity’s characteristics can predetermine the quality of the integrated report generated by that entity. Setting: This article focuses on an analysis of the integrated reporting of the top 100 entities listed on JSE for the financial years ending in 2013, 2014 and 2015.Methods: Comparison of categorical variables, mixed-model repeated measures ANOVA and generalised estimating equations were applied to identify the best classificators to distinguish between excellent integrated reporting and those reports where progress could still be made. Results: The results show that the type of industry the entity finds itself in, the size and profitability of the entity, as well as the composition of the members of the board, have an effect on the quality of the integrated report.Conclusion: Our results indicated that the type of industry, size of an entity, the profitability and composition of the board of directors, all have an effect on the quality of the integrated reporting. Our evidence will assist current and prospective stakeholders in evaluating the expected quality of an entity’s integrated report, through the evaluation of certain firm characteristics.

Profit smoothing in industrial companies listed on the Johannesburg Stock Exchange

De Ratione ◽  
1996 ◽  
Vol 10 (1) ◽  
pp. 1-26
Author(s):  
K E Prinsloo ◽  
S D Ramsay-Slogrove ◽  
J E Rowlands
Keyword(s):  
Stock Exchange ◽  
Industrial Companies ◽  
Johannesburg Stock Exchange

scholarly journals Assessing organisational governance maturity: A retail industry case study

2016 ◽  
Vol 6 (2) ◽  
pp. 58-71
Author(s):  
Hendrik Marius Wessels ◽  
Naomi Wilkinson
Keyword(s):  
Ethical Decision Making ◽  
Stock Exchange ◽  
Single Case ◽  
Case Study Research ◽  
Retail Industry ◽  
Maturity Level ◽  
Johannesburg Stock Exchange ◽  
Tone At The Top ◽  
High Level

For any business to operate effectively, a governance framework that operates at the relevant maturity level is required. An organisational governance maturity framework is a tool that leadership can use to determine governance maturity. This study aims to determine whether the organisational governance maturity framework (developed by Wilkinson) can be applied to the selected retail industry organisation to assess the maturity of the organisation’s governance, limited to the ‘leadership’ attribute. Firstly, a high-level literature review on ethical leadership, ethical decision-making, ethical foundation and culture (‘tone at the top’), and organisational governance and maturity was conducted. Secondly, a Johannesburg Stock Exchange (JSE) listed South African-based company was selected for the empirical part of the study using a single case study research design. The empirical results confirmed that the organisational governance maturity framework can be used to determine the maturity level of organisational governance for the selected attribute of ‘leadership’.

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