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An empirical investigation into cross-sectional return dispersion on the South African equity market
Thesis (MComm)--Stellenbosch University, 2013.
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| Other Authors: | |
| Format: | Thesis |
| Language: | en_ZA |
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Stellenbosch : Stellenbosch University
2013
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| _version_ | 1867613955307864064 |
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| access_status_str | Open Access |
| author | Van Reenen, Reenen James |
| author2 | De Villiers, J. U. |
| author_browse | De Villiers, J. U. Van Reenen, Reenen James |
| author_facet | De Villiers, J. U. Van Reenen, Reenen James |
| author_sort | Van Reenen, Reenen James |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch University |
| description | Thesis (MComm)--Stellenbosch University, 2013. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/85655 |
| institution | Stellenbosch University (South Africa) |
| language | en_ZA |
| last_indexed | 2026-06-10T12:44:21.913Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/85655 An empirical investigation into cross-sectional return dispersion on the South African equity market Van Reenen, Reenen James De Villiers, J. U. Stellenbosch University. Faculty of Economic & Management Sciences. Dept. of Business Management. Return dispersion -- South Africa Portfolio management -- South Africa Stock exchanges -- South Africa Rate of return -- South Africa Dissertations -- Business management Theses -- Business management Business Management Thesis (MComm)--Stellenbosch University, 2013. ENGLISH ABSTRACT: This study examines the role of cross-sectional return dispersion in portfolio management by examining two topics. To begin with, the study considers why return dispersion changes over time. Given the influence of return dispersion on active portfolio return opportunity, it is important for managers to understand why return dispersion changes over time. For a sample of South African listed shares over the period June 1996 to December 2011, univariate time-series analysis reveals significant serial correlation in return dispersion which may be modelled using ARMA (1, 1) and GARCH (1, 1) processes. Further analysis within a rational economic framework reveals that return dispersion is countercyclical to aggregate economic activity and related to both local and foreign economic uncertainty. The study then considers the relationship between return dispersion and the return to investment strategies. If substantial association between return dispersion and any investment strategy exists, then it is possible for managers and fund sponsors to augment an understanding of when active return opportunity is high with strategies for exploiting return opportunities. Continuing within the rational economic framework, the study uses Spearman‟s rank correlation coefficients to show a significant positive relationship between return dispersion and the value premium. In aggregate, these findings suggest that it is possible for South African investors to understand why return dispersion changes over time, as well as how to take advantage of changes in return dispersion. AFRIKAANSE OPSOMMING: Hierdie studie ondersoek die rol van opbrengsverspreiding oor die kruissnit van „n mark in portefeuljebestuur deur twee onderwerpe te bestudeer. Eerstens bestudeer die studie hoekom opbrengsverspreiding oor tyd verander. Gegewe die invloed van opbrengsverspreiding op aktiewe beleggingsgeleentheid is dit belangrik vir bestuurders om te verstaan hoekom opbrengsverspreiding oor tyd verander. Vir „n steekproef van Suid Afrikaanse aandele oor die periode Julie 1996 tot Desember 2011 dui enkelvoudige tydreeks analise aan dat opbrengsverspreiding beduidende outokorrelasie het, waar die outokorrelasie beskryf word deur ARMA (1, 1) en GARCH (1, 1) prosesse. Verdere analise binne „n rasionele ekonomiese raamwerk dui daarop dat opbrengsverspreiding kontra-siklies aan makro-ekonomiese aktiwiteit is en verwant is aan beide plaaslike en buitelandse ekonomiese onsekerheid. Die studies ondersoek daarna die verhouding tussen opbrengsverspreiding en die opbrengs van beleggings strategieë. Indien daar „n noemenswaardige verhouding is tussen opbrengsverspreiding en enige beleggings strategie, dan kan bestuurders beter oordeel watter strategieë hoë opbrengste lewer wanneer beleggingsgeleenthede hoog is. Die studie hou binne „n rasionele ekonomiese raamwerk en gebruik Spearman se rang-orde korrelasie koeffisiënte om „n beduidende positiewe verwantskap tussen opbrengsverspreiding en die opbrengs van die waardepremie aan te dui. As „n geheel dui hierdie bevindinge daarop aan dat dit moontlik is vir Suid-Afrikaanse beleggers om te verstaan hoekom opbrengsverspreiding oor tyd verander asook hoe om voordeel uit die verwantskappe te trek. Masters 2013-11-21T10:33:37Z 2013-12-13T15:10:47Z 2013-11-21T10:33:37Z 2013-12-13T15:10:47Z 2013-12 Thesis http://hdl.handle.net/10019.1/85655 en_ZA Stellenbosch University viii, 104 p. application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | Return dispersion -- South Africa Portfolio management -- South Africa Stock exchanges -- South Africa Rate of return -- South Africa Dissertations -- Business management Theses -- Business management Business Management Van Reenen, Reenen James An empirical investigation into cross-sectional return dispersion on the South African equity market |
| title | An empirical investigation into cross-sectional return dispersion on the South African equity market |
| title_full | An empirical investigation into cross-sectional return dispersion on the South African equity market |
| title_fullStr | An empirical investigation into cross-sectional return dispersion on the South African equity market |
| title_full_unstemmed | An empirical investigation into cross-sectional return dispersion on the South African equity market |
| title_short | An empirical investigation into cross-sectional return dispersion on the South African equity market |
| title_sort | empirical investigation into cross sectional return dispersion on the south african equity market |
| topic | Return dispersion -- South Africa Portfolio management -- South Africa Stock exchanges -- South Africa Rate of return -- South Africa Dissertations -- Business management Theses -- Business management Business Management |
| url | http://hdl.handle.net/10019.1/85655 |
| work_keys_str_mv | AT vanreenenreenenjames anempiricalinvestigationintocrosssectionalreturndispersiononthesouthafricanequitymarket AT vanreenenreenenjames empiricalinvestigationintocrosssectionalreturndispersiononthesouthafricanequitymarket |