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Futures markets perform two essential functions by creating a platform for price discovery and permitting low cost hedging of risk. Some futures markets impose limits on the amount asset prices can change within a trading day to prevent the market from overreacting. While the objective of price...
The aim of this study is to investigate the relationship between market liquidity changes on the Johannesburg Stock Exchange (JSE) and the market’s degree of efficiency. Market efficiency is characterised in terms of two philosophies: Fama’s (1970) Efficient Markets Hypothesis (EMH), and...
This study explores the existence of a liquidity premium on the Johannesburg Stock Exchange (JSE) and its potential interaction with the well-documented size effect. It builds on the stream of South African literature that examines liquidity as a standalone factor and adds further weight to its...
The APT framework allows for a multitude of risk factors to be priced into asset returns, implying that it can be used to model returns using either macroeconomic or microeconomic factors. As such, the APT allows for non-traditional factors, such as investor sentiment, to be included. A...
Firms that invest into positive net present value projects should outperform firms that do not invest. Surprisingly, several studies on United States data have found a negative relationship between capital investment and subsequent shareholder return. There are conflicting explanations for this...
Fully-collateralised short put strategies have been found by Ungar and Moran (2009) to have similar return and improved risk characteristics when compared to broad market ETF equity exposure, resulting in an improved risk-return relationship. This paper analyses the risk and return...
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