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An application of montier’s c-score to the johannesburg securities exchange: a tool for short selling
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_ | 1867613698012479488 |
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| access_status_str | Open Access |
| author2 | Saville, Adrian |
| author_browse | Saville, Adrian |
| author_facet | Saville, Adrian |
| 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:2263/40570 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:40:16.658Z |
| 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:2263/40570 An application of montier’s c-score to the johannesburg securities exchange: a tool for short selling Saville, Adrian ichelp@gibs.co.za Govender, Yushavia UCTD Johannesburg Securities exchange Short selling ---Credit ratings C-score ---Consumer credit Dissertation (MBA)--University of Pretoria, 2013. One of the assumptions upon which modern portfolio theory is based is the efficient market hypothesis which postulates that market prices fully reflect all available information, which implies that an abnormal return cannot be made. Evidence has amassed in contradiction to the efficient market hypothesis as demonstrated by Jegadeesh and Titman (1993); Mohanram (2005); Montier (2009) and Piotroski, (2000). However these studies demonstrated earning an abnormal return by buying an asset as opposed to selling an asset. Evidence by Altman (2000) and Beneish, Lee and Nichols (2013) affirmed that abnormal returns may be earned by selling a declining asset. There has been no published work conducted on the South African market pertaining to an instrument that may be used to detect a decline in share price due to prior earnings manipulation, thereby providing the scope of this research. In recent years the focus of the discipline of asset pricing has shifted away from theoretical modelling towards empirical analysis. The C-score by Montier (2008) is a binary earnings manipulation detection model, designed to identify stocks that may be shorted for an abnormal return. An exploratory study of stocks on the Johannesburg Stock Exchange (JSE) from 2002 to 2010 was conducted. Vital focus areas included the resources and industrials sector. Results of this research prove that C-score is insufficient as a stand-alone tool for detecting shortable stocks on the JSE. Whilst negative relative returns were earned for certain holding periods of certain sectors, a consistent trend could not be isolated. pagibs2014 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2014-07-07T07:23:55Z 2014-07-07T07:23:55Z 2014-04-30 2013 Mini Dissertation Govender, Y 2013, An application of montier’s c-score to the johannesburg securities exchange: a tool for short selling, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/40570> http://hdl.handle.net/2263/40570 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 Johannesburg Securities exchange Short selling ---Credit ratings C-score ---Consumer credit An application of montier’s c-score to the johannesburg securities exchange: a tool for short selling |
| title | An application of montier’s c-score to the johannesburg securities exchange: a tool for short selling |
| title_full | An application of montier’s c-score to the johannesburg securities exchange: a tool for short selling |
| title_fullStr | An application of montier’s c-score to the johannesburg securities exchange: a tool for short selling |
| title_full_unstemmed | An application of montier’s c-score to the johannesburg securities exchange: a tool for short selling |
| title_short | An application of montier’s c-score to the johannesburg securities exchange: a tool for short selling |
| title_sort | application of montier s c score to the johannesburg securities exchange a tool for short selling |
| topic | UCTD Johannesburg Securities exchange Short selling ---Credit ratings C-score ---Consumer credit |
| url | http://hdl.handle.net/2263/40570 |