• Strugnell, Gilbert, Kruger
  Beta, size and value effects on the JSE, 1994-2007
• Muller, Ward
  Active share on the JSE
• Auret, Cline
  Do the value, size and January effects exist on the JSE?
• Raubenheimer
  Constraints on investment weights: What mandate authors in concentrated equity markets such as South Africa need to know

• African Bank Investments Limited

IAS JOURNAL AWARD:

The long-term share price reaction to Black Economic Empowerment announcements on the JSE
Prof Mike Ward & Chris Muller

• R Ferreira and JD Krige
  The application of fundamental indexing to the South African equity market for the period 1996 to 2009
• C-L Peng, M-L Chen, S-D Shyu and A-P Wei
  When is money likely to be smart? Evidence from mutual fund investors in Taiwan
• R Mangani
  Monetary policy, structural breaks and JSE returns
• B Swart* and A Venter
  Pricing of single stock futures and dividend risk

• N Bhana
  The stock market reaction to criticism of corporate governance practices of companies listed on the JSE
• P Thupayagale
  Evaluation of GARCH-based models in value-at-risk estimation: Evidence from emerging equity markets
• E Gilbert and D Strugnell
  Does survivorship bias really matter? An empirical investigation into its effects on the mean reversion of share returns on the JSE (1984-2007)
• MV Kulikova and DR Taylor*
  A conditionally heteroskedastic time series model for certain South African stock price returns
• DA Polakow
  If a portfolio manager who cannot count finds a four-leaf clover, is he still lucky?

• N Pillay, C Muller and M Ward
  Fund size and returns on the JSE
• PG Basiewicz and CJ Auret
  Feasibility of the Fama and French three factor model in explaining returns on the JSE
• M Ward and C Muller
  The long-term share price reaction to Black Economic Empowerment announcements on the Johannesburg Securities Exchange
• PM Silva
  Calendar “anomalies” in the Portuguese stock market

• Group Five Limited

• M Ward and RC Terblanche
  Market timing on the JSE using exchange rate fluctuations
• A Herringer, C Firer and S Viviers
  Key challenges facing the socially responsible investment (SRI) sector in South Africa
• E Maré*
  How does traditional option hedging perform in the South African equity market?
• N Bhana
  The chairman’s statements and annual reports: Are they reporting the same company performance to investors?
• JH Venter
  Intraday momentum and contrarian effects on the JSE

• PG Basiewicz and CJ Auret – Another look at the cross-section of average returns on the JSE
• R Mangani – Macroeconomic effects on individual JSE Stocks: a GARCH representation
• S Viviers, JK Bosch, EvdM Smit and A Buijs – Responsible investing in South Africa
• S Janse van Rensburg, D Friskin and GD Sharp – A distributional comparison of size-based portfolios on the
• AJ du Plessis and M Ward – A note on applying the Markowitz portfolio selection model as a passive investment strategy on the JSE

• N Bhana – The market reaction to capital expenditure announcements
• S Viviers, JK Bosch, EvdM Smit and A Buijs – The risk-adjusted performance of responsible investment funds in South Africa
• L Bonney, G Shannon and N Uys – Modelling the Top40 volatility skew : A principal component analysis approach
• CJ Auret and JHC Britten – Post-issue operating performance of firms listing on the JSE
• C Firer, E Gilbert and A Maytham – Dividend policy in South Africa