Front cover and editorial policy
Previous Award Winners
Issue 73 in brief

• 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

Front cover and editorial policy
Previous Award Winners
Issue 71 in brief

• 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

This issue in brief – Instructions to authors – Front Cover

• 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

Front Cover
Info

• R Kruger and P van Rensburg – Evaluating and constructing equity benchmarks in the South African portfolio management context
• NL Samouilhan and G Shannon – Forecasting volatility on the JSE
• JH Venter – The profitability of CFD day trading on the JSE
• B Swart and A Venter – Analysing some exotic options: EDS, instalment shares
• D Taylor and W van Zyl – Hedging employee stock options and the implications for accounting standards

Front Cover
Info

• CJB Smit and MJD Ward – The impact of large acquisitions on the share price and operating financial performance of acquiring companies listed on the JSE
• R Mutooni and C Muller – Equity style timing
• N Bhana – The market reaction to open market share repurchases announcements: The South African experience
• A Bakhouche – Determinants of the prices of South African paintings: a hedonic analysis
• IM Pagel, PJ de Jongh and JH Venter – An introduction to realized volatility

Front Cover
Info

• C Prayag and P van Rensburg – The value of analysts’ consensus recommendations: Evidence from South African brokerage houses
• N Bhana – The effect of corporate divestments on shareholder wealth: The South African experience
• CJ Auret and RA Sinclaire – Book-to-market ratio and returns on the JSE
• E Cubbin, M Eidne, C Firer and E Gilbert – Mean reversion on the JSE
• B Standish and A Boting – Troubling long term trends in the South African retirement fund system

Index

• N Scher and C Muller – Equity style and performance persistence in South African unit trusts
• GA Pascoe, MJD Ward and CJ MacKenzie – The influence of economic factors on rights issue announcements
• C Mlambo and N Biekpe – Thin trading on African stock markets: Implications for market efficiency testing
• B Standish, B Lowther, R Morgan-Grenville and C Quick – The determinants of residential house prices in South Africa
• M Ward and C Muller – Hedge funds – An introduction

Index

• P van Rensburg and M Robertson – Style characteristics and the cross-section of JSE securities exchange returns
• N Mordant and C Muller – Profitability of directors’ share dealings on the JSE
• E Mbuthia and M Ward – The reliability of pre-listing earnings forecasts on the JSE
• L Smit, B Swart and F van Niekerk – Credit risk models in the South African context
• D Bradfield – Investment Basics XLVI.  On estimating the beta coefficient

Index

• C M’kombe and M Ward – Aftermarket price performance of intial public offerings on the JSE
• S Gilmour and EvdM Smit – Institutional herding:  Evidence from the South African Unit Trust Industry
• GS Cloete, PJ de Jongh and T de Wet – Combining Vasicek and robust estimators for forecasting systematic risk
• JH Hall and SM Millard – An Assessment of the value of brokerage information for individual investors
• MB Cohen – Investment Basics XLV.  Technical analysis – breaking-out and on an upward trend?

• M Graham and E Uliana – Evidence of a value-growth phenomenon on the Johannesburg Stock Exchange
• R Thomson – A re-evaluation of the South African Bond Exchange-Actuaries Indices
• N Bhana – The valuation effects of research and development spending announcements by companies listed on the Johannesburg Stock Exchange
• HP Wolmarans – Can the small investor beat the market by ‘Dow investing?
• L van Coller – Investment Basics XLII.  An introduction to swaps

Index

• CJ Roth and EvdM Smit – Optimal initial margin levels in South African futures market: and empirical anaysis
• E Fraser and M Page – Value and momentum strategies: evidence from the Johannesburg Stock Exchange
• N Bhana – Overseas listing by companies listed on the Johannesburg Stock Exchange and its impact on shareholder wealth
• J Castle and B Kantor – Tracking stocks – an alternative to unbundling for the South African group
• G Lwabona – Investment Basics XLI. Duration and convexity

Introduction

• C Muller – Investor overreaction on the Johannesburg Stock Exchange
• S Fouche and P van Rensburg – A survey of the investment appraisal techniques used by South African unit trust portfolio managers
• C C Okeahalam – A test of the differential information hypothesis on the Botswana and the Zimbabwe Stock Exchanges
• J du P Smith, A J van der Merwe – Are today’s winning institutions tomorrow’s losers?
• L T van der Berg, E vd M Smit – The announcement effect of prime rate changes on South African capital markets: a note
• J U de Villiers – Investment basics XXXIX. The relationship between futures and spot prices

Introduction

• N Bhana – The share price reaction on the Johannesburg Stock Exchange for special (extra) dividend announcements
• R Lawson, M Ward – Price performance of newly listed shares on the Johannesburg Stock Exchange
• E v d M Smit, E J Verster – Toetse vir sielkundige hindernisse in Suid-Afrikaanse aandelebeursindekse
• E G van den Berg, C H van Schalkwyk – Spotlight on the South African environment of securitisation and asset-backed securities
• E Fraser – Investment basics XXXVII. Do averaging strategies add value?

Introduction

• L Vanden Baviere, J U de Villiers – Share volatility after the introduction of index futures
• H Kenney – Are financial markets different?
• W G Klerck, A C Maritz – A test of Graham’s stock selection criteria on industrial shares traded on the JSE
• K Waelkens, M Ward – The low price effect on the Johannesburg Stock Exchange
• Association for Investment Management and Research – Investment basics XXXV. AIMR’s performance presentation standards: Gaining global acceptance

Introduction

• D J Joubert – An underlying symmetry on price charts
• F P Cilliers, E v d M Smit, D Kotze – Die modellering van heteroskedastisiteit in daaglikse Rand/Dollar wisselkoersbewegings: 1987-1992
• M Bergesen, M Ward – Modelling systematic risk and return using accounting-based Information
• M Atkins, M Ward – The supply and demand effect of block transactions on share prices
• W D Hamman – Investment basics XXXlll. Sustainable growth: A cash flow model

Introduction

• H A Lambrechts – Money market Funds: The missing link in the South African unit trust industry?
• E vd M Smit, C E du Plessis – Market timing and share returns
• J U de Villiers – lnflation and price-earnings ratios
• P D F Strydom – Liberalising foreign trade: The interaction between the real & monetary sectors
• W D Hamman, A C Jordaan, E vd M Smit – Earnings changes: A random walk? Some South African evidence
• C Firer – Investment basics XXXI. Sustainable growth models

Introduction

• A C Ryder, H D McLeod – Meauring the impact of futures and options on investments portfolios: a South African perspective
• C Firer, M Sandler – Finance research in South Africa
• N Bhana – Public holiday share price behaviour on the Johannesburg Stock Exchange
• E vd M Smit, W van Rooyen – Aandeleopbrengste en reële ekonomiese aktiwiteit – Die Suid-Afrikaanse ondervinding
• N Bhana – Window dressing by institutional investors on the Johannesburg Stock Exchange: An empirical analysis
• W D Hamman – Investment basics XXIX. Cash Flow Statements: The importance of cash from activities

Introduction

• G Tensfeldt, C Firer, M Bendixen – Bankers’ views on securitisation in South Africa
• E Saenger – A future-oriented approach to company annual reporting in South Africa: unit trust views
• J J Bornman, E vd M Smit, W R Gevers – Hedging a share portfolio with futures contracts: A linear goal programming approach
• M J van der Mescht, E vd M Smit – Die Suid.Afrikaanse kapitaalmark en aandelebeurs as vooruitskatters van reële ekonomiese aktiwiteit
• D J Joubert – Evidence of symmetry in price behaviour
• D J Joubert, A F F Mason – Investment basics XXVII. The design of a trading system

Introduction

• C Firer, M Sandler, M Ward – Market timing revisited
• D U A Galagedera – Modelling a series of uneven deposits and a series of uneven percentage withdrawals
• A Snell, E vd M Smit – The Impact of the efficiency of the South African share index futures market on hedging effectiveness and optimal exposure management over the period 1987 to 1989
• N Bhana – An evaluation of the market rating of retained earnings of companies listed on the Johannesburg Stock Exchange: An empirical analysis
• P W Davey, C Firer – A South African corporate bond market?
• D J Joubert, A F Mason – Investment basics. XXV Volume and the Bull-Bear Cycle

Introduction

• N Mandela – Options for building an economic future
• G Relly – Options for building an economic future
• S Gelb – Democratising economic growth: Crisis and growth models for the future
• A Dickman – The economic debate on post-apartheid society
• L Harris – The mixed economy of a democratic South Africa
• R Bethlehem – Nationalisation and redistribution in the perspective of restructuring
• M Roussos – The place of nationalisation in the economic policy of the ANC
• S van der Berg – Meeting the aspirations of South Africa’s poor
• M Dagut – Reparations: The demands of justice in the reshaping of the economy
• L Louw – Truth and fiction in the nationalisation vs. privatisation debate
• SJ Terreblanche – The compatibility of inequality and democracy: The necessity and merit of nationalisation and redistribution
• P J du Pré Roux – The case for a social democratic compromise
• T Fényes – Nationalisation of South African agricultural land:Prospects and difficulties
• M Brown – South African gold mines and nationalisation

Introduction

• G Hufbauer, K Elliott – Financial sanctions and foreign policy
• C Koornhof – Financial flexibility and the assessment of future cash flows
• C Firer – The individual investor on the JSE
• P Brews – South Africa, hi-technology and the future: Affordable imperative or fantastic folly?
• D Bullard – Investment basics XXII. Options trading in the gilt-market -Part 2

Introduction

• E S Shung, D A Stadler, J F Affleck-Graves – The performance of family controlled companies on the Johannesburg Stock Exchange: A financial and investment evaluation
• J A Rickard, N J Hathaway, A M Russell – The true cost of loans with rests between adjustment of principal
• G D I Barr, D J Bradfield – The role played by bullion and gold shares in international diversification
• N R Sealy, R F Knight – Dividend policy, share price and return: A study on the Johannesburg Stock Exchange
• G T D Jones – Investment basics XX. Risk and return – Part 3

Introduction

• C Firer, G Meth – Investor information requirements and disclosure in annual reports
• W G Klerck, G S du Toit – An investigation into the return distribution of ordinary industrial shares on the Johannesburg Stock Exchange
• M le Plastrier, W Thomas, J Affleck-Graves – The valuation of call options on gilts and warrants in South Africa
• G S Andrews, F Butler – Criteria for major investment decisions
• R W Bethlehem – lnflation as an obstacle to job creation in South Africa
• G T D Jones – Investment basics XVIII. Risk and return – part I

Introduction

• G T D Jones – Hedging and regret minimisation: A policy for the management of foreign currency exposure
• D K Flynn – The reasons and objectives for accounting standards as perceived by users, providers and regulators of accounting information
• D J Bradfield, G D I Barr – A gold share evaluation model
• C Grim, G S Andrews – The impact of strategic planning on corporate performance in a turbulent environment
• R Jesse – Investment basics XVI. The analysis of bank shares

Introduction

• P Milburn-Pyle – “ls a pension fund’s investment yield influenced by the size of the fund’s assets?”
• G T D Jones – The role of hedging in the marketing of gold
• D F Rees – The Krugerrand premium – an optimal strategy for Reserve Bank
• G D I Barr, B S Kantor – Interest rates, the exchange rate and money supply in South Africa
• F D Durand – Investment basics XIV. Popular myths: Gilt switching

Introduction

• G D I Barr – A theory of the financial rand discount
• R F Knight, J F Aflleck-Graves – An efficient market hypothesis and a change to LIFO: an empirical study on the JSE
• P J C Seneque, B M Gourley – Dividend policy and practice in South Africa
• N Bhana – The valuation of take-overs by companies listed on the Johannesburg Stock Exchange
• I S Davies – Investment basics XII. An introduction to gold mining taxation – Part 2

Introduction

• J J Cloete – An eclectric role for monetary policy
• R A C Gilbertson, J F Aflleck-Graves, A H Money – Trading in low priced shares: An empirical investigation 1968-1979
• S Goddard, S Michener, J Rickard – A graphical solution to the lease evaluation problem
• G D I Barr – The puzzle of the two markets
• I J Poluta – Investment basics X. The effect of taxation on earnings per share

Introduction

• W T Floquet – The case for equities – An address to the Association Pension and Provident Funds of South Africa on 24 March 1981
• J D Paulus – Rational expectations – The challenge to economic stabilisation policy
• A P Faure – Reserve Bank accommodation and monetary policy
• B Gilbertson, M Goldberg – The market model and the Johannesburg Stock Exchange
• A C Valsamakis – Investments basics VIII. Return on investment – an integrated measure of profitability and performance

Introduction

• A P Jammine – lnflation and unemployment: the root causes of the capitalist dilemma
• J P Botha – The random walk model and the behaviour of gold prices: a note
• I J Lambrechts, F J Mostert – An analysis of the behaviour of market prices during rights issues
• J F Affleck-Graves, A H Money, C G Troskie – An empirical comparison of the performance of different stock market indices
• R W Bethlehem – Investment basics VI. Interest rates, yield curves and the valuation of ordinary shares

Introduction

• W A A Maguire – Standards of accounting practice and the objectives of financial reporting
• P J C Seneque – The relationship between portfolio theory and the efficient market hypothesis
• G Bethlehem – The influence of financial policy on the growth, profitability and size of firms
• A D Boy – Some results of an empirical study of ratio analysis in South Africa
• P R du Toit – Investment basics IV. Net asset value

Introduction

• 08 – Peter Lewin – Money, inflation and economic growth
• 14 – D.S.J. Remenyi and W.S.A. Zucchini – Some aspects of an asset replacement/protection model under conditions of inflation
• B.P. Gilbertson and F.J.P. Roux – Some further comments on The Johannesburg Stock Exchange as an efficient market
• 21 – I.R. Woods – On calculating average rates of return
• 33 – John Rogers – Redemption yields and valuations of South African gilts

Introduction

• 08 – Professor G.L. de Wet – Responsibility and economic forecasting
• 21 – B.P. Gilbertson and F.J.P Roux – The Johannesburg Stock Exchange as an efficient market
• 29 – J.E. Whillier – Simplified method of assessing the value of a South African gold mine
• 33 – Professor I.R. Woods – An analysis of the possible effects of a rights issue on the issuing company’s share price

Introduction

• 09 – P.J. Blomkamp – The behaviour of industrial share prices in relation to Gross National Product and interest rates in South Africa
• 17 – Professor P.J.C. Seneque – Restating financial statements for inflation: Is it necessary? Is it sufficient?
• 29 – David Collins – Some fallacies in financial analysis
• 35 – J.F. Affleck-Graves and Professor A.H. Money – A comparison of two portfolio selection models

Introduction

• P.A. Kerbel, BA (Hons) (Witwatersrand) – Portfolio selection and the South African experience
• D.C. True B Com (Hons) (Natal) – Trade-in versus salvage value: their treatment in DCF
• L.R. Woods, B Com (Witwatersrand), M Com (Natal) – The cost of capital raised by way of a right issue
• H.I.D. du Plessis M Com (Stellenbosch), MBA (Pretoria), MSc (Cranfield Institute of Technology) – Notes on the characteristics and performance of some South African mutual funds

Introduction

• R.K.M. Roseveare, MA (Cantab) CA (SA) Hons – Inflation: Current accounting practice and the investment analyst
• John P. Wall – Aspects of the short-term money market in South Africa
• Azar P. Jammine, B Sc (Hons) (Witwatersrand) Douglas M. Hawkins, B Sc (Hons), PhD, (Witwatersrand), FSS – An analysis of an international set of share indices
• M.F. van Breda, B Sc, MBA – The re-investment assumption in capital budgeting examined
• Leon Sandler, M Sc, (Natal) – A note on the rule of 72 or how long it takes to double your money

Introduction

• D.G. Krige D.Sc. Eng (Witwatersrand) – Capital investment and risk analysis for a new mining project
• J.A. Rogers M.A. (Cantab) – Equity performances in the sixties and seventies
• Merton Dagut M.A. Witwatersrand – Interest Rates – Another aspect
• Azar Jammine B.Sc (Witwatersrand) – The use of computers in investment research