An analysis of public equity offerings listed on the Johannesburg Stock Exchange (JSE)
- Authors: Van Heerden, Gillian
- Date: 2015
- Subjects: Stock exchanges -- South Africa -- Johannesburg
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:1119 , http://hdl.handle.net/10962/d1017546
- Description: The underpricing of initial public offerings (IPOs) and their subsequent low long-run performance represents one of the anomalies observed in primary markets worldwide. However, the depth and breadth of it varies from country to country, and sector to sector. Literature has documented that the phenomenon surrounding the long-run post issue performance of IPOs is not unique and that quite similar patterns can be found regarding firms making seasoned equity offerings (SEOs). This study is an empirical analysis of public equity offerings listed on the Johannesburg Stock Exchange (JSE). Using data for 141 South African IPOs that were listed on the JSE Mainboard from 2001 to 2010, significant short-run underpricing is found. A sector wise analysis of three broad sectors indicated that the ‘other’ sector had the largest IPO underpricing after the first few days of trading. The year-wise analysis is also documented. In the long-run this study showed that IPOs in South Africa underperformed two out of three benchmarks in 36 full months post listing. In contrast, using data for 50 South African SEOs during 2003 to 2010, superior SEO performance is found over a 36-month period when assessed using a size and industry adjusted benchmark. Various cross-sectional and time-series patterns in the aftermarket performance of IPO and SEO firms are also documented
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- Date Issued: 2015
Analysis of calendar effects and market anomalies on the Johannesburg Stock Exchange
- Authors: Atsin, Achiapo Jessica Lisette
- Date: 2015
- Subjects: Stock exchanges -- South Africa -- Johannesburg , Stocks -- South Africa
- Language: English
- Type: Thesis , Masters , MCom
- Identifier: vital:9028 , http://hdl.handle.net/10948/d1020372
- Description: This study sought to empirically investigate the existence of calendar effects and market anomalies on the JSE using monthly and daily closing prices of the ALSI, Top 40, Mid Cap and Small Cap index; as well as, daily closing prices on the Value, Growth and Dividend Plus index during the sample period 2002 – 2013. The anomalies analysed are the January effect, the weekend effect, the size effect, the value effect, and the dividend yield effect. The empirical analysis uses a number of MSAR with a different number of regimes and lag orders. The results from the investigation of the January effect show the non-existence of the January effect and the value effect on the JSE during the periods 2002 – 2013 and 2004 – 2013, respectively. However, the weekend effect was found significant in the Mid Cap and the Small Cap index, and the size effect was also found significant during the same period 2002 - 2013. Finally the results from a Granger causality test concluded that there is a relationship between the returns on the Dividend Plus index and the ALSI, effectively proving the existence of the dividend yield effect on the JSE between 2006 and 2013. Additionally, the anomalies found imply the opportunity for investors to make returns above buy-and-hold.
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- Date Issued: 2015