Avoiding frustrations of unprepared students with online quizzes

The hierarchical nature of many degrees enables higher-level courses to build on knowledge that has been developed in earlier courses. However, when students enter with weak prior knowledge, lecturers have to spend time addressing this before starting with the new material. This adds time pressure and frustration to lecturers as well as students who have strong prior knowledge. In this paper, we discuss a strategy that we implemented in order to encourage students to revise or learn prerequisite material at the beginning of a master's level module. Students were asked to take an online quiz on the prerequisite topics. Immediate feedback directed the students to resources which could enhance their knowledge and understanding of the material prior to course commencement. We discuss the multiple benefits this had, for both students and the lecturer, drawing on students' written responses to reflective questions about the experience and reflections from the lecturer on the use of online quizzes

Enhancing students' learning through practical knowledge taught by industry professionals

A topic of interest in teaching business courses is incorporating the practical aspect of the subject matter into teaching as this helps to bridge theory and real-world practice. Research indicates that students gain a deeper understanding of material when theory is contextualized through real-life practical examples. However, given the traditional career-path of academics in finance in countries such as South Africa, a significant proportion of finance lecturers have little or no relevant practical experience in the subject matter. In this paper, we discuss a strategy implemented in finance courses at sophomore and senior levels in order to link theory and practice. Guest speakers were invited from industry to contextualize the topics for the students. Students' perceptions on the benefit they derived from the speakers were deduced from statistical analyses of student evaluations. The results indicate that the experience was positive and aided in their understanding of the subject

Inference of Aggregational Gaussianity in Asset Returns Exhibiting a Paretian-distribution

AbstractAggregational Gaussianity (AG) has long been considered a stylized fact of empirical asset return distributions. This research links existing work on the stable-Paretian Hypothesis with the Aggregational Gaussianity hypothesis and notes that the two are incompatible. We use simulation to show that under certain conditions, AG can be falsely inferred to hold in a data set exhibiting the stable-Paretian distribution

The Day Of The Week Effect: An Analysis Of The Johannesburg Stock Exchange Top 40 Firms

This study investigates the existence of the Day of the Week (DoW) effect on returns and volatility on the Johannesburg Stock Exchange (JSE), with a specific focus on the market’s Top 40 firms (Top40). It is the most ‘micro’ analysis of the DoW effect conducted to date, as previous literature has only explored the effect on market and index levels. While this paper focuses on a firm-specific level, it also makes a comparison with the DoW effect on the All-Share Index (ALSI) and Top40 Index (TOPI). Drawing on Borges’ (2009) study, this paper investigates whether a DoW effect exists on a specific day compared with the rest of the week. This is achieved by regressing returns on each day of the week separately. GARCH estimation models are used to test for a DoW effect with regards to variance in share returns. The initial findings show that neither the ALSI nor the TOPI have any significant DoW effects. However, a more micro examination reveals that ten of the Top40 firms have significant DoW effects on at least one day of the week. The investigation reveals no significant DoW effects with regards to volatility, which highlights that the constituents of the Top40 typically achieve consistent returns compared to other listed companies

A Comparison Of Mean-Variance And Mean-Semivariance Optimisation On The JSE

This study investigates the effectiveness of semivariance versus mean-variance optimisation on a risk-adjusted basis on the JSE. We compare semivariance and mean-variance optimisation prior to, during and after the recent financial crisis period. Additionally, we investigate the inclusion of a fixed-income asset in the optimal portfolio. The results suggest that semivariance optimisation on the JSE in a pure equity case produces lower absolute returns, yet superior risk-adjusted returns. Further investigation suggests that semivariance metrics are effective within a certain range of portfolio sizes and diminishes in benefit once portfolios become larger. A fixed income asset scenario tested under the hypothesis of semivariance optimisation favoured greater bond weightings in optimal portfolios

A Comparative Study On The Effects Of Market Crisis And Recessions On The Performance Of Defensive Sectors

Research has shown that the performance of defensive sectors is consistent during a recession. However, whether such consistency still holds during periods of market crisis, which is considered an economic anomaly, is not immediately obvious. This paper proposes a further investigation into the performance of defensive sectors during a market crisis, particularly on the Johannesburg Stock Exchange (JSE). It will investigate whether these defensive sectors retained their non-cyclical nature during the recent market crisis (01/12/2007 – 31/08/2009) by comparing their performance during the crisis to their performance in South Africa’s most recent recession (1/12/1996 – 31/08/1999). Our investigation is carried out by assessing the betas of these sectors across both periods of focus. It then adds to the assessment of the betas by comparing the variances of the defensive sectors in both periods to determine whether there is a statistically significant difference. Our study is unique in that it proposes to investigate with the different market capitalisations (large, medium, and small) across the defensive sectors. The results of this study give conclusive evidence that defensive sectors do indeed remain non-cyclical during a market crisis. We can therefore give recommendations on switching to defensive strategies with greater certainty of the performance of defensive sectors during this economic anomaly

Beta estimates of shares on the JSE Top 40 in the context of reference-day risk

A topic of interest in the finance world is measuring systematic risk. Accurately measuring the systematic risk component - or Beta - of an asset or portfolio is important in many financial applications. In this work, we consider the effciency of a range of Beta estimation methods commonly used in practice from a reference-day risk perspective. We show that, when using the industry standard data sample of fi ve years of monthly returns, the choice of reference- day used to calculate underlying returns has a signifi cant impact on all of the Beta estimation methods considered. Driven by this finding, we propose and test an alternative non-parametric bootstrap approach for calculating Beta estimates which is unaffected by reference-day risk. Our primary goal is to determine a point-estimate of Beta, independent of reference-day. Keywords: reference-day risk, bootstrap, systematic risk, Beta.The National Research Foundation (NRF) of South Africa and the University of Cape Town Research Office through the Research Development Grant and the Conference Travel Grant.http://link.springer.com/journal/106692017-06-30hb2017Mathematics and Applied Mathematic

Regulatory Capital Decisions in the context of Consumer Loan Portfolios

A topic of interest in recent literature is regulatory capital requirements for consumer loan portfolios. Banks are required to hold regulatory capital for unexpected losses, while expected losses are to be covered by either provisions or future income. In this paper, we show the set of efficient operating points in the market share and profit space for a portfolio manager operating under Basel II capital requirement and under capital constraints are a union of single-cutoff-score and double cutoff-score operating points. For a portfolio manager to increase market-share beyond the maximum allowable under a single-cutoff score policy (eg, with binding capital constraints) requires granting loans to higher than optimal risk applicants. We show this result in greater portfolio risk but without an increase in regulatory capital requirement amount. The increase in forecasted losses is assumed to be absorbed by provisions or future margin income. Given portfolio managers take on higher risk under the same regulatory capital amount, our findings call for greater focus on provision amounts and future margin income under the supervisory review pillar of Basel II. This research raises the issue of whether the design of the regulatory formula for consumer loan portfolios is flawed