Style-based effects on the Johannesburg Stock Exchange: A graphical time-series approach

Müller, Chris; Ward, Michael

doi:10.1080/10293523.2013.11082552

Cited by 39 publications

(23 citation statements)

References 4 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The research design was a quasi-experimental time-series based style analysis using the "style-engine" as developed by Muller and Ward (2013).…”

Section: Methodsmentioning

confidence: 99%

“…Secondary financial data from the top 160 South African listed companies as collated by Muller and Ward (2013) for their study on "Style-based effects on the Johannesburg Stock exchange: A graphical time-series approach" was used on which to base the analysis of this study. The choice of style selected was a financial style and proposed that strong financial results should correspond to higher investor returns.…”

Section: Style Analysismentioning

confidence: 99%

See 1 more Smart Citation

The Relationship between the Management of Payables and the Return to Investors

Moodley

Ward

Müller³

2015

SSRN Journal

View full text Add to dashboard Cite

Working capital management assists a firm in achieving improved liquidity through management of the components of receivables, inventory and payables. Previous studies have established that working capital has a strong positive correlation to profitability. These studies have also shown that the components of receivables and inventory have a positive correlation to profitability, while payables have an inverse relationship. The inverse correlation of payables in relation to profitability is contrary to the theory that advocates extending payables' payment terms as a means of managing working capital and improving liquidity.This study attempted to ascertain whether, by applying a style-based test, to an extensive database of Johannesburg Stock Exchange (JSE) listed South African companies, there is evidence to support a positive relationship between returns to investors and payables days. The study further applied the style-based test to the relationship between returns to investors and the management of payables in the form of change in payables days. Further data stratification was applied to industries that are more significantly invested in payables as well as to companies of increasing or decreasing momentum to differentiate the payables strategy of an increasingly profitable company versus an increasingly unprofitable company.The results of the study indicated that for those companies in industries that have significant investment in payables, management of their payables will achieve superior returns. The study also revealed that this relationship is significant for companies in the top 40% momentum return and that higher change in payables could be applied as a means of obtaining a competitive edge.

show abstract

“…The research design was a quasi-experimental time-series based style analysis using the "style-engine" as developed by Muller and Ward (2013).…”

Section: Methodsmentioning

confidence: 99%

Section: Style Analysismentioning

confidence: 99%

The Relationship between the Management of Payables and the Return to Investors

Moodley

Ward

Müller³

2015

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…Both studies claim to produce styles that would improve classification. In their recent South African study, Muller and Ward (2013) summed up this problem nicely by stating that there is plethora of possible style indices and factors.…”

Section: Asisa Equity Unit Trust Classification and The Within-group mentioning

confidence: 99%

Are the ASISA Standards with Respect to Unit Trust Classification Representative of Homogeneous Risk Classes?

Kainja¹

2016

JFRM

View full text Add to dashboard Cite

We examine the information content of South African (SA) equity unit trusts to investigate whether risk is heterogeneous between investment objective groups and homogeneous within groups because those characteristics are vital to proper investment decision making. We find risk differences within SA equity groups especially in the Equity-General and Equity-Growth. However, in the other categories, the systematic risk differences depended on the choice of benchmark. Those risk differences may have significant implications for investors. Examination of between-group risk revealed that not all the equity categories were heterogeneous. We also find that the choice of benchmark is critical when measuring and comparing performance characteristics of funds.

show abstract

“…Following the approach of Muller and Ward (2013) we treat the data as follows. To exclude the effect of survivorship bias, all shares ever listed on the JSE are included in the analysis, although we use only the top 160 in each quarter as our sample.…”

Section: Buy and Hold Analysismentioning

confidence: 99%

The impact of regulatory fines on shareholder returns

Strydom

Ward

Müller

2015

SAJBM

View full text Add to dashboard Cite

Corruption has been shown to undermine the efficiency of market-based economies by allowing participants to profit from illegal rent-seeking activities, which decrease public support for business and increase the cost of capital (Zingales, 2015). Over the past decade, the Competition Commission in South Africa has investigated and issued punitive fines amounting to around R8bn to companies engaged in non-competitive behaviour. Using event study methodology, we examine the impact on the share prices of listed companies upon the announcement of an investigation, a fine, and the payment of the fine. We find that shareholder returns were unaffected at the initiation and payment stages of the process, but that the returns were positively affected at the conviction stage. A buy-and-hold longitudinal study was also undertaken to determine if an ex-post portfolio consisting of stocks of convicted companies out-performed an equal-weighted all share benchmark, as well as a portfolio of matched companies which had not been fined. The results reveal that both the portfolio of fined companies and the matched portfolio of non-fined companies out-performed the market benchmark over a 24-year period. However, the portfolio consisting of convicted companies underperformed the portfolio of companies which had not been fined. We conclude that the market anticipated the fines and that the quantum of fines levied was less than expected. We also find that the non-competitive behaviour of convicted companies did not benefit their shareholders in the long-term.

show abstract

Style-based effects on the Johannesburg Stock Exchange: A graphical time-series approach

Cited by 39 publications

References 4 publications

The Relationship between the Management of Payables and the Return to Investors

The Relationship between the Management of Payables and the Return to Investors

Are the ASISA Standards with Respect to Unit Trust Classification Representative of Homogeneous Risk Classes?

The impact of regulatory fines on shareholder returns

Contact Info

Product

Resources

About