Robustness of the Carhart four-factor and the Fama-French three-factor models on the South African stock market

2015 ◽  
Vol 14 (4) ◽  
pp. 413-430 ◽  
Author(s):  
Nicholas Addai Boamah
Keyword(s):  
Stock Market ◽  
South African ◽  
Design Methodology ◽  
The South ◽  
Gross Domestic Product Growth ◽  
Content Type ◽  
The Past ◽  
Three Factor ◽  
Future Growth ◽  
French Model

Purpose – The purpose of this study is to explore the applicability of the Fama–French and Carhart models on the South African stock market (SASM). It examines the ability of the models to capture size, book-to-market (BM) and momentum effects on the SASM. The paper, additionally, explores the ability of the Fama–French–Carhart factors to predict the future growth of the South African economy. Design/methodology/approach – The paper relies on data of 848 firms from January 1996 to April 2012 to examine the size, BM and momentum effects on the SASM. The paper constructs the test assets from a 3 × 3 sort on size and BM and a 3 × 3 sort on size and momentum. The paper estimates momentum as the past six-months’ cumulative return. The momentum portfolios are monthly rebalanced. Additionally, the size and BM portfolios are formed annually at the end of each June. Findings – Evidence is provided that size, BM and momentum effects exist on the SASM; also, the small- and high-BM firm portfolios, respectively, appear riskier than the big- and low-BM firm portfolios. The paper provides evidence of past winners outperforming past losers aside from the small-firm group. Additionally, the models only partially capture the size and value effects on the SASM. The Carhart model partly captures the momentum effects, but the Fama–French model is unable to describe the returns to the momentum-sorted portfolios. The evidence shows that the models’ factors predict future gross domestic product growth. Originality/value – The models do not fully describe returns on the SASM; any application of the models on the SASM should be done with caution. The Carhart model better describes returns than the Fama–French model on the SASM. The Fama–French–Carhart factors may relate to the underlying economic risk of the South African economy.

The South African chartered accountant academic

2018 ◽  
Vol 26 (2) ◽  
pp. 263-283 ◽  
Author(s):  
Phillip de Jager ◽  
Ilse Lubbe ◽  
Elmarie Papageorgiou
Keyword(s):  
Doctoral Students ◽  
South African ◽  
Social Life ◽  
Design Methodology ◽  
Full Professor ◽  
The South ◽  
Professional Qualification ◽  
Content Type ◽  
Primary Responsibility ◽  
Chartered Accountants

Purpose Accounting academics in the South African system understand their primary responsibility to be the teaching of prospective Chartered Accountants (CAs) rather than the advancement of knowledge through research. The purpose of this study is to determine what factors motivate accounting academics who are CAs to obtain doctorates in an environment dominated by the profession, where promotion is possible to Full Professor without a Doctorate but not without the professional qualification of CA. And did these doctoral CAs face challenges on their journey, such as resistance from colleagues? Design/methodology/approach A total of 22 academic CAs with doctorates and 18 academic CAs studying towards doctorates were surveyed to gain a deeper understanding of who they are, what their motivations were for undertaking the doctorate journey and what they experienced. Findings The main finding of this study is that the culture of accounting departments in South Africa is beginning to shift from being teaching orientated towards being more research orientated. The CAs are pursuing doctorates for the purpose of career progression and for intrinsic personal reasons. The main challenges that they faced on their journey were finding the time for family and a social life and a lack of support from colleagues and their institution. However, support seems to be improving. Research limitations/implications The change to a research-orientated culture in South African departments of accounting, as envisioned by Van der Schyf (2008), is only now starting to take place. These CAs with doctorates provide evidence of that change. Originality/value The value of this study is to provide accounting academics and the profession with a better understanding of, and a greater sensitivity to, accounting academics operating under the influence of the South African Institute of Chartered Accountants (SAICA). The study also adds to the limited amount of literature on the motives and experiences of doctoral students, especially accounting doctoral students.

Macroeconomic determinants of stock market development in South Africa

2019 ◽  
Vol 14 (2) ◽  
pp. 322-342 ◽  
Author(s):  
Sin-Yu Ho
Keyword(s):  
South Africa ◽  
Stock Market ◽  
South African ◽  
Banking Sector ◽  
Trade Openness ◽  
Market Development ◽  
The South ◽  
Content Type ◽  
Stock Market Development ◽  
Market Capitalisation

Purpose The purpose of this paper is to examine the macroeconomic determinants of stock market development in South Africa during the period 1975–2015. Specifically, it examines the impact of banking sector development, economic growth, inflation rate, real interest rate and trade openness on the development of the South African stock market. Design/methodology/approach The author employs autoregressive distributed lag bounds testing procedure that allows the author to empirically investigate both the short- and long-run relationships between the stock market development and its determinants in the context of South Africa. In addition, the author also conducts a sensitivity analysis by accounting for the presence of structural breaks in the underlying series to check for the robustness of the estimation. Findings This paper confirms the findings by other studies that banking sector development and economic growth promote stock market development, while inflation rate and real interest rate inhibit stock market development. In addition, this paper finds an interesting result in the fact that trade openness has a negative impact on stock market development, which is different from the findings of many other studies. Originality/value Currently, while the theoretical and empirical literature presents diverse views on the relationship between each determinant and stock market development, no study has focussed on the South African stock market. Given the significant role that the South African stock market plays in Africa as measured by its market capitalisation and market capitalisation ratio, there is a need for a better understanding of the macroeconomic factors influencing its development.

An augmented macroeconomic linear factor model of South African industrial sector returns

2020 ◽  
Vol 21 (5) ◽  
pp. 517-541
Author(s):  
Jan Jakub Szczygielski ◽  
Leon Brümmer ◽  
Hendrik Petrus Wolmarans
Keyword(s):  
Stock Market ◽  
South African ◽  
Stock Exchange ◽  
Industrial Sector ◽  
The South ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Factor Analytic ◽  
The Impact ◽  
Sector Returns

Purpose This study aims to investigate the impact of the macroeconomic environment on South African industrial sector returns. Design/methodology/approach Using standardized coefficients derived from time-series factor models, the authors quantify the impact of macroeconomic influences on industrial sector returns. The authors analyze the structure of the resultant residual correlation matrices to establish the level of factor omission and apply a factor analytic augmentation to arrive at a specification that is free of omitted common factors. Findings The authors find that global influences are the most important drivers of returns and that industrial sectors are highly integrated with the global economy. The authors show that specifications that comprise only macroeconomic factors and proxies for omitted factors in the form of residual market factors are likely to be underspecified. This study demonstrates that a factor analytic augmentation is an effective approach to ensuring an adequately specified model. Research limitations/implications The findings have a number of implications that are of interest to investors, econometricians and researchers. While the study focusses on a single market, the South African stock market, as represented by the Johannesburg Stock Exchange (JSE), it is a highly developed and globally integrated market. In terms of market capitalization, it exceeds the Madrid Stock Exchange, the Taiwan Stock Exchange and the BM&F Bovespa. Yet, a limited number of studies investigate the macroeconomic drivers of the South African stock market. Practical implications Investors should be aware that while the South African domestic environment, especially political risk, has an impact on returns, global influences are the greatest determinants of returns. No industrial sectors are insulated from global influences and this limits the potential for diversification. This study suggests an alternative set of macroeconomic factors that may be used in further analysis and asset pricing studies. From an econometric perspective, this study demonstrates the usefulness of a factor analytic augmentation as a solution to factor omission in models that use macroeconomic factors to proxy for systematic influences that describe asset prices. Originality/value The contribution lies in providing insight into a large and well-developed yet understudied financial market, the South African stock market. This study considers a much broader set of macroeconomic factors than prior studies. A methodological contribution is made by estimating and interpreting standardized coefficients to discriminate between the impact of domestically and internationally driven factors. This study shows that should coefficients not be standardized, inferences relating to the relative importance of factors will differ. Finally, the authors unify an approach of using pre-specified factors with a factor analytic approach to address factor omission and to ensure a valid and readily interpretable specification.

scholarly journals The South African government's response to COVID-19

2020 ◽  
Vol 32 (5) ◽  
pp. 797-811 ◽  
Author(s):  
Charl de Villiers ◽  
Dannielle Cerbone ◽  
Wayne Van Zijl
Keyword(s):  
South African ◽  
Critical Analysis ◽  
Design Methodology ◽  
Social Consequences ◽  
Social Needs ◽  
The South ◽  
Content Type ◽  
Health Response ◽  
The Government ◽  
To Come

PurposeThis paper provides a critical analysis of the South African government's response to the COVID-19 crisis and its effect on state finances and budgets.Design/methodology/approachThe paper critically analyses publicly available data.FindingsThe South African government's initial health response was praised by the international community, given the early lockdown and extensive testing regime. The lockdown devastated an already precarious economy, which led to negative social consequences. The initial lockdown delayed the epidemic, but subsequently, the infection rate climbed, requiring new restrictions, suggesting further economic disruption. The government has had to increase its borrowings, while the future tax take is forecast to be significantly reduced, a combination which will lead to a severely constrained public purse for many years to come. This will limit the government's ability to address the basic social needs that predated the COVID-19 crisis.Originality/valueThis is one of the first academic papers to critically assess the effect of the South African government's response to the COVID-19 crisis on state finances and budgets.

Biodiversity reporting practices of the South African national parks

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Michael Buchling ◽  
Warren Maroun
Keyword(s):  
South African ◽  
National Parks ◽  
Environmental Performance ◽  
Design Methodology ◽  
Management Practices ◽  
Annual Reports ◽  
Species At Risk ◽  
The South ◽  
Content Type ◽  
Reporting Practices

Purpose This paper aims to explore the biodiversity reporting by a state-owned entity responsible for conserving and protecting biodiversity assets in South Africa, the South African National Parks (SANParks) (SOC) Limited. Design/methodology/approach This study uses content analysis to explore and investigate the disclosure themes in the SANParks reports for the period 2013–2017. The frequency of substantive disclosures is also evaluated over a five-year period. The data are presented graphically in frequency charts and supported by descriptive statistics and univariate correlations for non-normal data. This provides insights into the amount of information being disclosed and the interconnections among biodiversity reporting themes. Findings SANParks has increased its reporting on biodiversity over time. Disclosures are interconnected and deal with a range of issues, including species at risk of extinction, operational considerations, risk management practices and how SANParks evaluates its environmental performance. The information is detailed and included in different parts of the organisation’s annual reports suggesting a genuine commitment to protecting biodiversity. There are areas for improvement but SANParks frames biodiversity as a central part of its strategy, operations and assurance processes something which would not occur if the disclosures were only about managing impressions. Originality/value The study is among the first to explore biodiversity disclosure themes in a state-owned entity in Africa, responsible for the conservation. While the study deals with a specific case entity, the findings are broadly applicable for other organisations keen on constructing a biodiversity account.

FINRA’s disciplinary actions in 2017: increased restitution ordered with minimal changes in number of cases

2018 ◽  
Vol 19 (2) ◽  
pp. 19-23
Author(s):  
Brian Rubin ◽  
Adam Pollet
Keyword(s):  
Money Laundering ◽  
Design Methodology ◽  
Disciplinary Actions ◽  
Financial Industry ◽  
Electronic Communications ◽  
Content Type ◽  
The Past ◽  
Expert Analysis ◽  
Research Analysts ◽  
Practical Implications

Purpose The purpose of this paper is to analyze the Financial Industry Regulatory Authority’s (FINRA) 2017 disciplinary actions, the issues that resulted in the most significant fines and restitution and the emerging enforcement trends from 2017 and beyond. Design/methodology/approach The approach of this paper discusses the disciplinary actions in 2017 and prior years, details the top 2017 enforcement issues measured by total fines assessed, including anti-money laundering, trade reporting, electronic communications, books and records, research analysts and research reports, and explains current enforcement trends, including restitution, suitability cases and technological issues. Findings In 2017, restitution more than doubled from the prior year, resulting in the fourth highest total sanctions (fines combined with restitution and disgorgement) assessed by FINRA over the past 10 years. Practical implications Firms and their representatives should heed the trends in both the substantial restitution FINRA is ordering and the related enforcement issues in the cases FINRA has brought. Originality/value This paper provides expert analysis and guidance from experienced securities enforcement lawyers.

Haunted by the past: transformations and daily challenges of China's prosthetics

2020 ◽  
Vol 10 (1) ◽  
pp. 115-124
Author(s):  
Chunchun Wang
Keyword(s):  
Design Methodology ◽  
Cross Cultural ◽  
Future Research ◽  
Institutional Pressures ◽  
Rehabilitation Center ◽  
Content Type ◽  
The Past ◽  
Daily Experiences ◽  
History Of ◽  
Depth Interviews

PurposeThe purpose of this paper is to examine the transformations of prosthetic practices in China, as well as the daily experiences and dilemmas arising from the everchanging practices since 1949. On the basis of materials, this paper explores an everyday perspective to review the history of technology.Design/methodology/approachEthnography was collected with the application of participant observations, informal interviews and in-depth interviews during a 13-months study at a rehabilitation center in Chengdu, China. The literature on prosthetic manufacturing was also reviewed for this paper.FindingsChina's prosthetic technology seems to evolve from traditional to modern. However, this progressive narrative – innovation-based timeline (Edgerton, 2006, xi) – has been challenged by daily practices. Due to institutional pressures, prosthetists are in a dilemma of selectively using their knowledge to create one kind of device for all prosthesis users with a certain kind of disability, thereby regulating the physical and social experiences of prosthesis users. Besides, prosthesis users are accustomed to prostheses made with old techniques, and must correct themselves from old experiences to the daily practices recognized by the selected techniques.Originality/valueThis paper provides a cross-cultural case to reexamine Edgerton's criticism of the progressive and orderly innovation-centric technological narrative. More importantly, it reviews the history and practices of China's prosthetics from daily experiences rather than Edgerton's concentration on technology; therefore, it provides an everyday perspective for future research on technological transformations.

A benchmarking approach to the progress of green materials and systems’ use in the UAE construction industry

2016 ◽  
Vol 13 (4) ◽  
pp. 315-327 ◽  
Author(s):  
Aly Elgayar ◽  
Salwa Mamoun Beheiry ◽  
Alaa Jabbar ◽  
Hamad Al Ansari
Keyword(s):  
Construction Industry ◽  
United Arab Emirates ◽  
Design Methodology ◽  
Construction Materials ◽  
Relative Importance ◽  
Content Type ◽  
The Past ◽  
Green Materials ◽  
Importance Index ◽  
Regulatory Guidelines

Purpose Over the past decade, the United Arab Emirates (UAE) introduced several green regulatory guidelines, federal decrees, and a considerable number of environmentally friendly initiatives. Hence, the purpose of this paper is to investigate the top green materials and systems used currently in the UAE construction industry as per the new laws dictate as well as see if professionals are switching over to incorporate more green materials, systems, and/or designs. Design/methodology/approach The work involved reviewing internationally popular green materials and systems for construction, developing a questionnaire based on the literature review, surveying professionals in the seven UAE emirates, and ranking the findings based on the relative importance index. Findings Findings found the top used green materials and system in the UAE’s construction industry. As well as identified that there is a communication gap between the design and implementation phases that is possibly hindering the use of more green materials and systems. Originality/value This study sets a baseline to measure the UAE’s progress over the coming years in terms of integrating more green construction materials, systems, methodologies, and trends.

Reading the past to imagine the future

2015 ◽  
Vol 10 (4) ◽  
pp. 363-366
Author(s):  
Silvia Gherardi
Keyword(s):  
Qualitative Research ◽  
Qualitative Methods ◽  
Design Methodology ◽  
Personal Reflection ◽  
Research Topics ◽  
Content Type ◽  
Distinctive Features ◽  
The Past ◽  
The Future

Purpose – The purpose of this paper is to contribute to the ten years of the journal through a personal reflection. Design/methodology/approach – A review of the articles published in the last ten years. Findings – I argue that what has distinguished QROM in these ten years are two distinctive features: reflexivity on practices of qualitative research, and openness to the application of qualitative methods to unusual research topics. Originality/value – The main limit of the paper resides in the subjectivity of the person who has read the articles. Other readers may have different opinions and may have chosen different criteria.

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