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Over the years the norm in the investment industry has been to use market capitalization-weighted indices as benchmarks to measure investment performance. However, market capitalization-weighted indices, such as the FTSE/JSE All Share Index (ALSI), create a natural return drag because of the...
Past behavioural research has provided evidence that fund investors have the ability to predict fund performance; this is called the smart money effect. In this study we examine whether the smart money effect exists in the Taiwanese mutual fund market. Specifically, we investigate whether the...
This study investigated the effects of monetary policy on JSE portfolios using a GARCH(1,1) framework. Results for the period 1990—2009 were compared with those based on four sub-periods. The analysis shows that discount rate changes are important in describing mean returns and return...
In this paper we consider the fair pricing of single stock futures (SSFs) and the effect of dividend risk on the dividend compensation component in the pricing formulas. SSF valuation is subject to the pricing of discrete cash dividends (not percentages or dividend yields) in the underlying...
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