Title page for ETD etd-06042011-110555

Document Type Master's Dissertation
Author Mweli, Peter Vusi
URN etd-06042011-110555
Document Title Empirical evaluation of South African share analystsí performance
Degree MBA
Department Gordon Institute of Business Science
Advisor Name Title
Dr J Rossouw Supervisor
  • returns
  • investment analyst
  • sharpe ratio
  • shares
  • market
Date 2010-11-10
Availability unrestricted

This paper sets out to evaluate whether investment recommendations of South African share analysts provide any value to an investor in the Johannesburg Stock Exchange (JSE). The study focuses on the creation of a portfolio based on the recommendations by analysts between December 2002 and July 2010. The monthly returns and respective risk-adjusted returns of this portfolio are compared to those of the SATRIX Top 40 over the same period of time. The paper also evaluates the effectiveness of the SATRIX Top 40 as a performance benchmark by comparing it to a portfolio for shares of family-controlled or owner-managed companies listed on the JSE.

The study utilises analyst consensus recommendations, with focus on buy and sell recommendations, to create a buy and hold portfolio that is compared to the SATRIX Top 40. The SATRIX Top 40 is further compared to ten-share portfolio of family-owned or owner-managed companies.

The study finds that analystsí recommendations lead to higher risk-adjusted returns for an investor when compared to the SATRIX Top 40. The returns are even better in a bear market environment when compared the benchmark SATRIX Top 40. It is also found that a portfolio of shares of family-controlled or owner-managed companies performs better than the SATRIX Top 40 and thus provides a better benchmark for an investor.

Copyright © 2010, 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

Please cite as follows:

Mweli, PV 2010 , Empirical evaluation of South African share analystsí performance, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-06042011-110555/>


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