This study examines the performance of acquisitions in the Real Estate Investment Trust (REIT) industry around the acquisition announcement and in the long-run. The results suggest that the acquiring REITs experience statistically significant negative abnormal returns while the target REITs earn...

The spatial interactions between the areas express the existence of a spatial dependence also called autocorrelation. The modelization of these interactions requires the use of spatial weights matrix. In the literature, the matrix of adjacency and k-nearest neighbors are most usually used. We...

It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...

Copula functions have become the standard tool in modelling multivariate dependence over the last decade hence there are toolboxes available for simulating and estimating copulas in the major statistical software such as R/S+, SAS and MATLAB. However recent developments in copulas like copula...

This paper studies what can be learned from pairwise stable networks. I specify the marginal utility of a pair forming a link as a function of individual-level unobserved heterogeneity as well as pair level observed characteristics. I derive a tetrad-level utility inequality from pairwise...

I consider a simultaneous spatial panel data model, jointly modeling three effects: simultaneous effects, spatial effects and common shock effects. This joint modeling and consideration of cross-sectional heteroskedasticity result in a large number of incidental parameters. I propose two...

This paper provides an approach to estimation and inference for non-linear conditional mean panel data models, in the presence of cross-sectional dependence. We modify the common correlated effects (CCE) correction of Pesaran (2006) to filter out the interactive unobserved multifactor structure....

This study was carried out to analyse the technical efficiency of micro-enterprises in the Nigerian economy, using cross-sectional data collected on micro-enterprises selected from block-making, metal-fabricating and sawmilling enterprises in the three geographical regions (north, southwest and...

Equipped with financial market data labeled with DTW and Pattern Rule label showing the likelihood of corresponding sequences as specific financial pattern, a financial pattern prediction model can be developed by training the labeled data, to predict the probability of pattern formation in the...

Risk factors and systematic factor strategies are fast becoming an integral part of the global asset management landscape. In this report, we provide an introduction to, and critique of, the factor investing paradigm in a South African setting. We initially discuss the general factor...