Investment Analysts Journal - Volume 2012, Issue 75, 2012
Volumes & issues
Volume 2012, Issue 75, 2012
Sustainable and responsible investment (SRI) in South Africa : a limited adoption of environmental criteriaSource: Investment Analysts Journal 2012, pp 1 –19 (2012)More Less
This paper explores whether Sustainable and Responsible Investment (SRI) products and strategies in South Africa take environmental sustainability into account. It is based on a qualitative, empirical survey of 22 organisations which are signatories to the United Nation's Principle for Responsible Investment or offering an SRI product. By looking at how environmental, social, and governance (ESG) criteria are practically used in investment decision making and share ownership decisions, we found that most SRI products and strategies largely focus on social developmental goals whereas environmental criteria do not yet receive comparable attention from the SRI South African fund management industry.
Author A.J. HoffmanSource: Investment Analysts Journal 2012, pp 21 –41 (2012)More Less
This paper investigates the presence of stock return anomalies for stocks listed on the Johannesburg Stock Exchange, covering the period from 1985 to 2010. Explanatory variables include market capitalization, book-to-market equity ratio, momentum in stock returns, net share issues, yield-to-book equity ratio, accrual of operational assets and growth in total assets. It is demonstrated that the sorted returns approach, compared to either correlation or regression analysis, provides much more detailed information regarding the relationships between explanatory variables and stock returns. We find that the anomalous behaviour of stocks on the JSE is in many respects similar to the behaviour observed by Fama and French on the NYSE, and that anomalous return behaviour is still present after compensating for risk. Different types of anomalous behaviour are present within different stock size categories. This study provides further evidence against accepting the EMH in its strong or semi-strong form, as the information used is all publicly available.
Author D. RyuSource: Investment Analysts Journal 2012, pp 43 –54 (2012)More Less
This study investigates the profitability and characteristics of day trading in the KOSPI 200 futures market, one of the largest and most remarkable index futures markets in the world. By using a high-quality data set that classifies various investors into a number of key categories and provides detailed information on their identity, we find that domestic individuals face substantial losses from day trading and that individual day traders who trade more frequently and heavily are more likely to suffer such losses. In contrast to individual day traders, who account for the largest portion of total day trading activity but perform poorly, domestic money managers and foreign institutional investors generally make substantial profits through day trading, which is noteworthy in that their day trading activity accounts for only a small portion of total day trading activity in the futures market.
Source: Investment Analysts Journal 2012, pp 55 –65 (2012)More Less
This study is the first in South Africa to test directly for the day-of-the-week effect on skewness and kurtosis on the nine listed economic stock market sector indices of the JSE. The empirical results of this study show no evidence of the day-of-the-week effect on skewness and kurtosis for eight of the nine JSE stock market sectors. However, the Monday effect was detected for the basic materials sector only. The study also finds the JSE to be weak-form efficient.
Source: Investment Analysts Journal 2012, pp 67 –77 (2012)More Less
In order to comply with the requirements of the Basel II Accord, banks need to frequently assess the market values of properties secured by mortgages. In lieu of property valuation reviews done by professional valuers, an index-based approach could potentially be used by banks to value property. This paper presents a study undertaken using data and resources from a South African commercial property finance bank to assess whether index-based valuations produce statistically similar valuations to those given by professional valuers. It was found that in the case of the particular bank, index-based valuations provide statistically similar market values to traditional valuations. Furthermore, index-based valuations provide consistent results when updating market values for properties with older historic valuations in the same way as for properties valued relatively recently. An index-based approach to review market valuations may thus provide considerable cost savings.