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The benefits of adding a cost function to Tobin’s q as an investment style on the JSE
Dissertation (MBA)--University of Pretoria, 2014.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2015
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| _version_ | 1867613562047823872 |
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| access_status_str | Open Access |
| author2 | Muller, Chris |
| author_browse | Muller, Chris |
| author_facet | Muller, Chris |
| collection | Thesis |
| dc_rights_str_mv | © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. |
| description | Dissertation (MBA)--University of Pretoria, 2014. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/45023 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:38:06.885Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| 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:2263/45023 The benefits of adding a cost function to Tobin’s q as an investment style on the JSE Muller, Chris ichelp@gibs.co.za Geldenhuys, Jurie Johannes UCTD Tobin's q Investments Johannesburg Stock Exchange (JSE) Quantitative research Dissertation (MBA)--University of Pretoria, 2014. Tobin’s q ratio employs a fundamental principle that enterprise values cannot deviate excessively from, namely the replacement value of the assets required to generate the future cashflow of the business. This ratio formed the cornerstone of this research that investigated whether an index based on the ratio would indicate time periods of market missed valuations; determined whether the q effect exists and the probability of its persistence over a 24 year period across different ranked quintile portfolios. Finally the research examined a new supply approach valuation technique that altered the q ratio, and could improve the spread in the q effect to improve investment yields. The Tobin’s q index was compiled using the most recent estimate and the index included the top 160 shares by market capitalisation, excluding the resources and financial sector for firms listed from 1990, to create a representative index for the Johannesburg Stock Exchange. Tobin’s q long term average was 1,83 at December 2013, indicating a consistent upward bias mainly due to share valuations. A time serious approach was followed to compare cumulative returns between different ranked quintile portfolios, ranked by Tobin’s q to analyse for style effects. Tobin’s q displayed style characteristics, although it was not as prominent as other value indicators. The adjustment from the supply approach could not improve investment yields. zkgibs2015 Gordon Institute of Business Science (GIBS) Unrestricted 2015-05-07T07:29:41Z 2015-05-07T07:29:41Z 2015-03-24 2014 Mini Dissertation Geldenhuys, J. (2014). The benefits of adding a cost function to Tobin’s q as an investment style on the JSE (MBA mini-dissertation).Gordon Institute of Business Science, University of Pretoria. Retrieved from http://repository.up.ac.za/handle/2263/1818 http://hdl.handle.net/2263/45023 en © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Tobin's q Investments Johannesburg Stock Exchange (JSE) Quantitative research The benefits of adding a cost function to Tobin’s q as an investment style on the JSE |
| title | The benefits of adding a cost function to Tobin’s q as an investment style on the JSE |
| title_full | The benefits of adding a cost function to Tobin’s q as an investment style on the JSE |
| title_fullStr | The benefits of adding a cost function to Tobin’s q as an investment style on the JSE |
| title_full_unstemmed | The benefits of adding a cost function to Tobin’s q as an investment style on the JSE |
| title_short | The benefits of adding a cost function to Tobin’s q as an investment style on the JSE |
| title_sort | benefits of adding a cost function to tobin s q as an investment style on the jse |
| topic | UCTD Tobin's q Investments Johannesburg Stock Exchange (JSE) Quantitative research |
| url | http://hdl.handle.net/2263/45023 |