Zero-cost collars are option-based strategies which-by matching prices received and paid for the component derivatives-provide costless protection for stock or index investments. The investors' risk appetite determines a return floor by selecting a relevant put strike and the associated call...

Purpose: Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in both high volatility period (HV) and low volatility period (LV)....

In South Africa, corporate finance events receive extensive coverage in the media. However, there are only a few studies examining the behaviour of share prices in response to such events. Using the event study methodology commonly used in corporate finance research, the reaction of a sample of...

Sector investing aims to guide investors in identifying undervalued securities. Knowing which sectors flourish at different phases of the business cycle, investment returns may be boosted by increasing holdings in securities from strengthening sectors and reducing holdings in weakening ones. As...

This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...

This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators' application by pairing an undeveloped trading strategy to gauge its forecasting...

Maximising returns is often the primary goal of asset management but managing and mitigating portfolio risk also plays a significant role. Successful active investing requires outperformance of a benchmark through skillful stock selection and market timing, but these bets necessarily give rise...

Purpose: This paper aims to examine the problem of conduct-risk measurement for banks, using South Africa as an example of a developing market. Conduct risk is a new and complex phenomenon in global financial services and could negatively impact various stakeholders. There are concerns about...