Browsing by Author "Charteris, Ailie Heather."

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The applicability of the risk-free rate proxy in South Africa : a zero-beta approach.
(2009) Charteris, Ailie Heather.; Strydom, Barry Stephen.
Explaining the cross-section of share returns in South Africa using macroeconomic factor models.
(2016) Charteris, Ailie Heather.; Fairburn, James A.; Strydom, Barry Stephen.
Understanding asset prices is critical for the decision-making of many; from professional and individual investors, who seek to earn the highest possible return from their investments, to governments and corporates evaluating investment and consumption choices. Given that the behaviour of asset prices may differ across countries, especially across varying levels of development, applying knowledge of the determinants of asset prices from one country to another may not be appropriate. Asset pricing models can typically be grouped into one of two categories – portfolio or macroeconomic. The principle focus of this study is on models which fall under the latter grouping, where little research has been conducted on the South African market. These models are concerned with identifying the true risk factors which drive share returns, in contrast to portfolio-based models, which simply measure risk as the sensitivity of a share’s returns to portfolios of securities. The consumption-based capital asset pricing model (CAPM), which links consumption to investor behaviour in their demand for securities, provides the foundation for the majority of the macroeconomic models. Labour income and household wealth are seen as two critical measures that are linked to the consumption decisions of investors and several models which have incorporated these two factors are evaluated in this study. In particular, those of Lettau and Ludvigson (2001b), Piazzesi, Schneider, and Tuzel (2003, 2007), Lustig and van Nieuwerburgh (2005), Santos and Veronesi (2006) and Yogo (2006) are examined to assess their ability to explain the size and value anomalies on the Johannesburg Stock Exchange (JSE). The results are compared to several portfolio-based models including the CAPM, the conditional CAPM and the Fama and French (1993) three-factor model. The models are tested over the period June 1990 to April 2013 using a comprehensive sample of JSE-listed shares based on the Fama and MacBeth (1973) and generalised method of moments methods. The study finds that many of the macroeconomic models are less successful in explaining returns of South African shares compared to the developed markets which have been examined internationally. However, there is weak evidence to suggest that returns are correlated with factors which capture how investors’ returns vary with labour income, housing wealth and consumption. In particular, value shares earn higher returns than growth shares partly to compensate investors for greater risk in the macroeconomy where risk is captured by the interaction of consumption, asset wealth and labour income, while small shares are more sensitive to shocks in housing scarcity thus partially accounting for their higher returns compared to larger shares. The results of this study are analysed in conjunction with the international evidence so as to consider possible reasons for the weaker results obtained and the implications for understanding the factors that drive assets prices are reviewed. Finally, suggestions for future research are provided.
The impact of foreign ownership on firm performance: evidence from South Africa.
(2020) Naidu, Delane Deborah.; Charteris, Ailie Heather.; Moores-Pitt, Peter Brian Denton.
The inflow of Foreign Direct Investment (FDI) is an important source of finance for South Africa. The South African government continuously attempts to attract more FDI to improve economic growth. Several studies have examined the determinants and effects of FDI at a macroeconomic level in South Africa, but very little research has analysed the effects of FDI at a microeconomic level, where the focus is on firm performance. Foreign ownership sourced from FDI can have both direct and spillover (indirect) effects on firm performance. The absence of evidence regarding the effect of foreign ownership on firm performance raises questions about the impact of FDI at the firm-level in South Africa. Hence, this study seeks to determine the direct and horizontal spillover effects of foreign ownership on the financial performance of firms listed on the Johannesburg Stock Exchange (JSE). This study uses panel data for non-financial firms listed on the JSE, covering the seven-year period from 2012 to 2018. The system Generalized Method of Moments (GMM) approach is employed to estimate the relationship as it accounts for endogeneity, simultaneity and unobserved heterogeneity, thus ensuring unbiased results. Firm performance is measured with Return on Assets (ROA), Return on Equity (ROE) and Tobin’s Q. The results for the direct effects vary across performance measures, with a non-linear effect of foreign ownership identified only when ROE is used. The findings show that foreign ownership has a positive effect on ROE at levels of foreign ownership below 40.1% but a negative effect at higher levels of foreign ownership. No evidence of horizontal spillovers are found for any performance measures. The implications of these findings are discussed along with recommendations for future research.