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Director dealings as an investment style : a portfolio time series approach
Dissertation (MBA)--University of Pretoria, 2013.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2014
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| _version_ | 1867613635901128704 |
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| access_status_str | Open Access |
| author2 | Birtch, Matthew |
| author_browse | Birtch, Matthew |
| author_facet | Birtch, Matthew |
| collection | Thesis |
| dc_rights_str_mv | © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MBA)--University of Pretoria, 2013. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/40073 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:17.410Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/40073 Director dealings as an investment style : a portfolio time series approach Birtch, Matthew ichelp@gibs.co.za Muller, Chris Moodley, Nishal UCTD Investments Dissertation (MBA)--University of Pretoria, 2013. The Insider Trading Act of 1999 and JSE regulations require transparency in director dealings and as a result create an unprecedented dissemination of investment signals to the market. This research study used director dealing information and a portfolio time series approach that included the entire population of 13,840 JSE All Share Index (ALSI) director dealings during a 130- month period between 2002 and 2013. With the assistance of a style engine and through an experimental research approach, an optimal Buy and Sell investment style was established. The equal weighted ALSI provided a comparative benchmark. Most studies on JSE director dealings, using an event study methodology, have not identified an investment style to be followed successfully during certain periods. The results have at best shown statistically significant, but economically insignificant, abnormal returns. The results of this study were visually, statistically and economically significant in comparison. It was proven that outside investors should, rationally, acquire shares when directors acquire shares but they should, counter intuitively, purchase shares when directors sell shares. The optimal director dealing investment style for creating a director dealing Buy portfolio includes applying a holding period of four months, a lookback period of three months and a minimum percentage of market capitalisation traded of 0.0013% or more. The optimal director dealing investment style for creating a director dealing Sell portfolio includes applying a holding period of three months, a lookback period of three months and a minimum percentage of market capitalisation traded between 0.005% and 0.030%. The optimal director dealings Buy and Sell portfolios achieved a CAGR (Compound Annual Growth Rate) of 29.5% and 27.8% respectively. The comparative benchmark achieved a CAGR of 19.1% over the same relevant period. mngibs2014 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2014-06-08T18:46:47Z 2014-06-08T18:46:47Z 2014-04-30 2014-06-08 Mini Dissertation Moodley, N 2014-06-08, Director dealings as an investment style : a portfolio time series approach, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/40073> http://hdl.handle.net/2263/40073 en © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Investments Director dealings as an investment style : a portfolio time series approach |
| title | Director dealings as an investment style : a portfolio time series approach |
| title_full | Director dealings as an investment style : a portfolio time series approach |
| title_fullStr | Director dealings as an investment style : a portfolio time series approach |
| title_full_unstemmed | Director dealings as an investment style : a portfolio time series approach |
| title_short | Director dealings as an investment style : a portfolio time series approach |
| title_sort | director dealings as an investment style a portfolio time series approach |
| topic | UCTD Investments |
| url | http://hdl.handle.net/2263/40073 |