Performance evaluation of equity unit trusts in South Africa

2017 ◽  
Vol 43 (3) ◽  
pp. 379-402 ◽  
Author(s):  
Bonolo Maggie Thobejane ◽  
Beatrice D. Simo-Kengne ◽  
John W. Muteba Mwamba
Keyword(s):  
South Africa ◽  
Market Timing ◽  
Rank Correlation ◽  
Stock Selection ◽  
Managerial Ability ◽  
Cross Sectional ◽  
Content Type ◽  
Weak Evidence ◽  
Timing Ability ◽  
Portfolio Managers

Purpose The purpose of this paper is to evaluate the performance of 191 equity unit trusts in an emerging market, South Africa over the period from February 2006 to January 2016, which captures different market conditions (pre-global financial crisis, crisis and recovery periods). Besides testing for managerial ability, both cross-sectional regression and the non-parametric rank correlation test are used to test whether the performance generated by unit trusts does persist. Design/methodology/approach To evaluate the managerial ability of portfolio managers, two widely used methods, the Treynor-Mazuy (1966) model and Henriksson-Merton (1981) model, are employed. Both models test whether portfolio managers have stock selection and market timing ability. The cross-sectional regression and the rank correlation test are implemented which account for both parametric and non-parametric approaches of persistence testing, respectively. Findings Weak evidence of stock selection as well as market timing ability was found. Moreover, most of the unit trusts are reported to have insignificant coefficients. When testing for performance persistence using returns, the Sharpe ratio and the Sortino ratio as performance metrics, the overall results also revealed weak evidence of persistence that is equally spread across winning and losing funds. Originality/value While research on unit trusts’ performance has been conducted in emerging economies, little has been done in testing for managerial ability in general and in South Africa in particular. Moreover, the research tends to focus more on one class – Equity General. This paper extends the performance literature by testing whether portfolio managers in the South African equity unit trusts industry have stock selection and market timing ability.

Market timing and selectivity performance of socially responsible funds

2015 ◽  
Vol 11 (2) ◽  
pp. 258-269 ◽  
Author(s):  
Praveen K. Das ◽  
S. P. Uma Rao
Keyword(s):  
Market Timing ◽  
Stock Selection ◽  
Socially Responsible ◽  
Content Type ◽  
Fund Managers ◽  
High Profile ◽  
Long Term Study ◽  
Timing Ability ◽  
Security Selection ◽  
Almost All

Purpose – The purpose of this paper is to examine the market timing and stock selection abilities of socially responsible (SR) mutual funds. Some high-profile SR fund managers try to embrace market timing and security selection plans to add value to the performance. Market timing relies on forecasting the equity market and shifting assets into or out of the market in anticipation of market movements. The selectivity measure assesses fund managers ability to select undervalued securities. Furthermore, the authors examine whether fund characteristics play any role in market timing and security selection ability. Design/methodology/approach – The authors use Treynor and Mazuy's’ (1966) and Henriksson and Mertons’ (1981) model to examine the market timing and security selection ability. The study uses a decade of monthly returns to examine the skills of fund managers in the SR industry for the period from July 2002 to June 2012. Findings – The main findings are that the managers – though not very successful – do indulge in stock selection and market timing activities. It was found that 48 funds have positive statistically significant stock selectivity coefficients and only a very small number of five funds with positive statistically significant market timing coefficients. Results suggest that there is a trade-off between the two activities. It was found that aggressive funds, funds with higher growth rate and riskier funds are more likely to engage in market timing rather than stock selection. Practical implications – The implication is that SR managers cannot achieve superior stock selection and market timing ability simultaneously. Risk-averting investors in SR funds expect SR behavior from the managers. This means that managers of SR funds, with very little evidence of market timing ability, may have to refrain from market timing of SR funds. Originality/value – Using a Morningstar dataset comprising almost all SR funds in existence as of June 2012, this is probably the most exhaustive long-term study to date on market timing and stock selection abilities of SR fund managers.

scholarly journals Musculoskeletal disorders among rice farmers in Phimai District, Nakhon Ratchasima Province, Thailand

2019 ◽  
Vol 33 (6) ◽  
pp. 494-503
Author(s):  
Ekarat Sombatsawat ◽  
Titaporn Luangwilai ◽  
Parichat Ong-artborirak ◽  
Wattasit Siriwong
Keyword(s):  
Musculoskeletal Disorders ◽  
Work Experience ◽  
Rank Correlation ◽  
Agricultural Practices ◽  
Farm Size ◽  
Body Region ◽  
Cross Sectional ◽  
Content Type ◽  
Rice Farmers ◽  
Body Regions

Purpose The purpose of this paper is to explore the prevalence of musculoskeletal disorders (MSDs) and determine factors influencing MSDs among rice farmers. Design/methodology/approach A cross-sectional study was carried out among 156 rice farmers from 14 villages in Tarnlalord sub-district, Phimai district, Nakhon Ratchasima province, Thailand, from February 2017 to March 2017. Face-to-face interviews, including demographics, work characteristics and musculoskeletal pain, were conducted using a modified standardized Nordic questionnaire. Findings The results revealed that both 78 males and 78 females participated in the study to which the average of age and body mass index (BMI) was 45.5±11.4 years and 24.9±4.0 kg/m2, respectively. All rice farmers reported MSDs in at least one body region during the six months preceding the interview. The highest prevalence of MSDs showed 86.5 percent in the lower back area, followed by 85.9 percent in the neck, and 80.7 percent in the shoulders. The analysis of binary logistic regression and Spearman’s rank correlation showed that factors such as gender, age, BMI, work experience and farm size influence MSDs’ occurrence, and pain severity in one or more body regions (p < 0.05). Originality/value Musculoskeletal injuries are a significant health problem in rice farmers. The study indicated that appropriate agricultural practices such as working posture, equipment size selection and carrying loads should be recommended to prevent MSDs. Thus, the occupational health and safety services in agricultural workers are needed.

A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF)

2008 ◽  
Vol 11 (04) ◽  
pp. 617-649 ◽  
Author(s):  
Patrick Kuok-kun Chu ◽  
Michael McKenzie
Keyword(s):  
Hong Kong ◽  
Economic Condition ◽  
Market Timing ◽  
Stock Selection ◽  
Timing Ability ◽  
Conditional Models ◽  
Equity Funds ◽  
The Individual ◽  
Timing Models ◽  
Comprehensive Study

This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the other fund groups consistently outperform the market. The stock-selection ability of MPF constituent equity funds in times of changing economic condition is also investigated. The evidence is consistent with previous studies, which suggest that the conditional models decrease the individual fund traditional alpha measure. The market timing models of Treynor–Mazuy and Henriksson–Merton provide evidence of superior market timing ability.

Fashion designers' attitude-behaviour inconsistencies towards a sustainable business model: a neutralisation theory perspective

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Asphat Muposhi ◽  
Brighton Nyagadza ◽  
Chengedzai Mafini
Keyword(s):  
South Africa ◽  
Online Survey ◽  
Emerging Market ◽  
Survey Study ◽  
Future Research ◽  
Cross Sectional ◽  
Content Type ◽  
Study Results ◽  
Sustainable Fashion ◽  
Fashion Designers

PurposeFashion designers in South Africa remain ambivalent in embracing sustainable fashion. This study examines the role of neutralisation techniques on attitude towards sustainable fashion. The study was conducted in South Africa, an emerging market known for water scarcity and pollution emanating from the textile industry.Design/methodology/approachA structured questionnaire was used to collect cross-sectional data from a sample of 590 fashion designers using a web-based online survey. Study constructs were drawn from the neutralisation theory and theory of planned behaviour.FindingsStandard multiple regression analysis results identified denial of injury, appeal to higher loyalties and external locus of control as the major rationalisation techniques influencing South African designers' negative attitudes towards sustainable fashion.Research limitations/implicationsResearch was conducted in South Africa where the concept of sustainable fashion is still at developmental stages. The generalisation of the study findings may be enhanced by extending the study to other markets with a fully developed market for sustainable fashion.Practical implicationsThe study results underscore the necessity of reducing social, structural and institutional barriers associated with the adoption of sustainable fashion. This study provides input towards efforts to develop attitude change strategies to stimulate designers to embrace sustainable fashion.Originality/valueThe research study contributes to theory, practice and future research.

scholarly journals MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

2021 ◽  
Vol 6 (1) ◽  
pp. 118-135
Author(s):  
Pick-Soon Ling ◽  
Ruzita Abdul-Rahim
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Investment Style ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Stock Picking

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.   Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.   Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.   Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.   Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.   Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds.  Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

A generic investigation process for South African commercial forensic practitioners

2020 ◽  
Vol 27 (2) ◽  
pp. 587-600 ◽  
Author(s):  
Jacobus Gerhardus J. Nortje ◽  
Daniel P. Bredenkamp
Keyword(s):  
South Africa ◽  
Best Practices ◽  
South African ◽  
Governance Structure ◽  
Primary Data ◽  
Cross Sectional ◽  
Content Type ◽  
Cross Sectional Design ◽  
Investigation Process

Purpose The purpose of this paper is to critically analyse and discuss the identification of a generic investigation process to be followed by the commercial forensic practitioner in South Africa. Design/methodology/approach This paper is a cross-sectional design that commenced with a review of the current available literature, highlighting the different approaches, processes and best practices used in local and international forensic practices. The methodology includes primary data collected with questionnaires from commercial forensic practitioner (N = 75) process users. Findings This paper identifies the following five distinct categories in the forensic investigation process, with sub-processes, namely, initiation, planning, execution, reporting and reflection. Research limitations/implications The study focuses only on the South African members of the Institute of Commercial Forensic Practitioners (ICFP) fraternity in South Africa as the ICFP is a leading body that, through membership, offers a recognised professional qualification in commercial forensics. Practical implications An investigation process for commercial forensic practitioners in South Africa could be used by the ICFP that would provide a governance structure for the ICFP. Originality/value The originality of this paper lies in setting out of an account of forensic accounting processes and best practices nationally and internationally. The missing knowledge is that no such research is known to have been conducted in South Africa. Currently, to the authors’ knowledge, no formalised investigation process exists. The contribution of the study is that by using an investigation process, it may enhance the quality of forensic investigations and contribute to the successful investigation and prosecution of commercial crime in South Africa that will be beneficial to all stakeholders.

Digital signage as an opportunity to enhance the mall environment: a moderated mediation model

2020 ◽  
Vol 48 (10) ◽  
pp. 1099-1119
Author(s):  
Thérèse Roux ◽  
Sfiso Mahlangu ◽  
Thembeka Manetje
Keyword(s):  
South Africa ◽  
Indirect Effect ◽  
Process Analysis ◽  
Shopping Mall ◽  
Cross Sectional Survey ◽  
Cross Sectional ◽  
Digital Signage ◽  
Ample Evidence ◽  
Content Type ◽  
Moderated Mediation Model

PurposeThere is ample evidence supporting the generalizability of the stimuli-organism-response framework in the retail field, with limited extensions to digital signage inside malls. This article postulates that favourable perceptions of the mall environment result in stronger approach behaviours than positive experienced emotions. This varying indirect effect is predicated to be moderated by shoppers' enjoyment of hedonic digital signage content.Design/methodology/approachThis study was conducted at two upmarket super-regional malls in South Africa with a wide variety of contemporary digital signage displaying hedonic content. Purposive quota sampling was used to intercept and survey 400 regular shoppers viewing dynamic hedonic digital signage content. Data was collected via an interviewer-administered structured questionnaire. Hayes macro conditional process analysis was used to determine the moderating role of hedonic content enjoyment and to estimate regression coefficients of the proposed model.FindingsIt was found that favourable perceptions of the mall environment is strongly associated with approach behaviours relative to the indirect effect of positive experienced emotions. When shoppers' enjoyment of hedonic content is factored in the model, low enjoyment of hedonic content shows an insignificant effect of digital signage on approach behaviours. However, for high enjoyment of hedonic content, this relationship is positive and significant.Research limitations/implicationsDigital signage was only studied as a design cue and the promising role as social cue or ambient factor were thus not take into account. It also applied a cross-sectional survey rather than an experiment and has modelled the effects of digital signage as a part of retail atmospherics rather than its presence or absence in malls. The results were generated based on a survey with shoppers from two upmarket super-regional malls in South Africa while viewing digital signage displaying hedonic content. Findings might differ for utilitarian content and other settings.Practical implicationsPractical recommendations on how shopping mall management could utilise digital signage to possibly increase approach behaviours are provided.Originality/valueThere is very limited research on the effects of digital signage on shoppers in the mall environment. This study is one of the first to consider enjoyment of digital signage content inside malls as moderating variable. Additionally, this study contributed to this growing field of shopper-oriented technologies in methodological and pragmatic manners.

Social enterprises and organizational learning in South Africa

2018 ◽  
Vol 10 (1) ◽  
pp. 117-133 ◽  
Author(s):  
Boris Urban ◽  
Elena Gaffurini
Keyword(s):  
South Africa ◽  
Organizational Learning ◽  
Social Innovation ◽  
Emerging Market ◽  
Cross Sectional Study ◽  
Social Enterprises ◽  
African Countries ◽  
Cross Sectional ◽  
Content Type ◽  
The Impact

Purpose The purpose of this study is to determine the relationship between different dimensions of organizational learning capabilities (OLC) and levels of social innovation in social enterprises. Design/methodology/approach The empirical strategy adopted is a cross-sectional study based on primary survey data. Following a survey of social enterprises in South Africa, statistically analysis is conducted using regression analyses to test the study hypotheses. Findings The findings show that the OLC dimensions of knowledge conversion, risk management, organizational dialogue and participative decision-making all have a significant and positive relationship with social innovation. Research limitations/implications In many emerging economies, the notion of organizational learning appears to have considerable potential relevance, particularly as African countries are moving toward knowledge-based economies. By focusing on OLC, it is anticipated that social enterprises can configure and leverage the different factors in ways that enable them to overcome the constraints of the complex and unpredictable environments and increase their levels of social innovation. Originality/value The paper provides a pioneering empirical investigation into the impact that OLC has on levels of social innovation, in an under-researched emerging market context.

Predicting FinTech innovation adoption in South Africa: the case of cryptocurrency

2019 ◽  
Vol 11 (1) ◽  
pp. 30-50 ◽  
Author(s):  
Last Mazambani ◽  
Emmanuel Mutambara
Keyword(s):  
South Africa ◽  
Emerging Markets ◽  
Structural Equation ◽  
Consumer Behaviour ◽  
Behavioural Intention ◽  
Adoption Studies ◽  
Cross Sectional ◽  
Content Type ◽  
Financial Innovations ◽  
Intention To Adopt

Purpose Financial technology innovation within the developed world is driving financial markets, yet its adoption is lagging among consumers in emerging markets. At the same time, most African economies continue to be at the tail end of global financial innovations adoption. Given lagging consumer adoption of cryptocurrency in South Africa, the purpose of this paper is to apply the theory of planned behaviour (TPB) to predict behavioural intention to adopt cryptocurrency. Design/methodology/approach A survey instrument based on the TPB was used to collect quantitative data for predicting adoption from adult distance students at the Mancosa, Cape Town campus. For data analysis, the two-step structural equation modelling approach was used. Findings The findings indicate that attitude and perceived behavioural control positively impact the intention to adopt cryptocurrency. Subjective norm showed a negative non-significant influence. Overall, the results of the study show that the model has a good model fit and can be used to explain the theory. Research limitations/implications The results of this study may not be generalisable to the wider population as it is only based on a cross-sectional study of a sample of adult students at a single institute in South Africa. Originality/value The contribution of this paper is threefold: it is one of a few studies on the behavioural intention to adopt cryptocurrency in South Africa using the TPB model, it contributes towards the use of predictive behavioural economics models in understanding consumer behaviour critical to accelerating the adoption of financial innovations, and the results of the study also inform behaviour change strategies that can be applied by practitioners or policymakers to improve adoption. Studies of this nature may lead to the development of financial innovation in emerging markets through a nuanced understanding of consumer behaviour.

scholarly journals Option replication and the performance of a market timer

2016 ◽  
Vol 33 (1) ◽  
pp. 2-25 ◽  
Author(s):  
Georges Hübner
Keyword(s):  
Empirical Studies ◽  
Market Timing ◽  
Factor Models ◽  
Similar Reasoning ◽  
Content Type ◽  
Practical Applications ◽  
Timing Model ◽  
Portfolio Managers ◽  
Initial Idea ◽  
The Cost

Purpose – The Treynor and Mazuy framework is a widely used return-based model of market timing. However, existing corrections to the regression intercept can be manipulated through derivatives trading. Because they are conceptually flawed, these corrections produce biased performance measures. This paper aims to get back to Henriksson and Merton’s initial idea of option replication to overcome this issue and adapt the market timing model to various kinds of trading strategies and return-generating processes. Design/methodology/approach – This paper proposes a theoretical adjustment based on Merton’s option replication approach adapted to the Treynor and Mazuy specification. The linear and quadratic coefficients of the regression are exploited to assess the cost of the replicating option that yields similar convexity for a passive portfolio. A similar reasoning applies for various timing patterns and in multi-factor models. Findings – The proposed framework induces a potential rebalancing risk and involves the delicate issue of choosing the cheapest option. This paper shows that these issues can be overcome for reasonable tolerance levels. The option replication approach is a workable approach for practical applications. Originality/value – The adaptation of Merton’s reasoning to the Treynor and Mazuy model has surprisingly never been proposed so far. This paper has the potential to correct for a pervasive bias in the estimation of the performance of a market timer in the context of this very popular quadratic regression setup. Because of the power of the option replication approach, the reasoning is shown to be applicable to multi-factor models, negative timing and market neutral strategies. This paper could fuel empirical studies that would shed new light on the genuine market timing skills of active portfolio managers.

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