“Prayag A and P van Rensburg (2005), The Accuracy of Analysts’ Earnings Forecasts: The South African Case” Investment Analysts Journal , vol 61, 11-22 (Prize: Best IAJ article of 2005)”

Abstract: The investigation of the accuracy of security analysts’; earnings forecasts of firms listed on the JSE demonstrates that analysts display a pattern of increasing accuracy as the announcement date approaches. A declining trend in the level of error, using both the average absolute percentage error and Theil‟s inequality coefficient methods, is observed. A 1-month forecast horizon displays a 7,95% of average absolute percentage error and 0,07 Theil‟s inequality coefficient, while a 6-month horizon results in 16,66% average absolute percentage error and 0.1 Theil’s inequality coefficient. The 12-month horizon depicts a 23,62% of average absolute percentage error and 0,17 Theil’s inequality coefficient. This result is consistent with findings of prior international research.

Research Papers

The inflation hedging properties of South African and international asset classes

ABSTRACT Within the period 1965 to 2015 all domestic asset class returns (except cash) are found to exhibit negative correlations with the contemporaneous inflation rate. Cash has hedging qualities due to Reserve Bank inflation targeting policy action but has a low real yield. Furthermore, Engle-Granger cointegration tests show that none of the asset class prices […]

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Diversification and the realised volatility of equity portfolios

ABSTRACT In Markowitz’s (1952) portfolio theory, a reduction in volatility for a given level of expected return is implied as being equivalent to an increase in diversification. The recent development of risk-based portfolio construction methods, which emphasise diversification separately from volatility reduction, challenges this equivalence. Using a point-in-time database of liquid equities listed on the […]

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Common Firm-specific characteristics of extreme performers on the Johannesburg Securities Exchange

ABSTRACT In this study we investigate the common firm-specific factors associated with shares that experience extreme monthly performance on the Johannesburg Securities Exchange. READ MORE

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