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This paper explores whether Sustainable and Responsible Investment (SRI) products and strategies in South Africa take environmental sustainability into account. It is based on a qualitative, empirical survey of 22 organisations which are signatories to the United Nation's Principle for...
This paper investigates the presence of stock return anomalies for stocks listed on the Johannesburg Stock Exchange, covering the period from 1985 to 2010. Explanatory variables include market capitalization, book-to-market equity ratio, momentum in stock returns, net share issues, yield-to-book...
This study investigates the profitability and characteristics of day trading in the KOSPI 200 futures market, one of the largest and most remarkable index futures markets in the world. By using a high-quality data set that classifies various investors into a number of key categories and provides...
This study is the first in South Africa to test directly for the day-of-the-week effect on skewness and kurtosis on the nine listed economic stock market sector indices of the JSE. The empirical results of this study show no evidence of the day-of-the-week effect on skewness and kurtosis for...
In order to comply with the requirements of the Basel II Accord, banks need to frequently assess the market values of properties secured by mortgages. In lieu of property valuation reviews done by professional valuers, an index-based approach could potentially be used by banks to value property....
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