11 research outputs found

    Profitability of Contrarian Strategies: Evidence From the Stock Exchange of Mauritius

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    The aim of this paper is to assess the profitability of contrarian strategies on the Stock exchange of Mauritius. Using data from 2001 till 2009 for all 40 listed companies on the official market, the study shows little support in favour of the contrarian effect. In particular, the losers portfolio seems to outperform the winners portfolio in one out of nine strategies. However, when considering the market return, negative excess returns are noted for all portfolios across all strategies, providing strong support for a passive portfolio management strategy and weak support for overreaction hypothesis. In addition, the Size, Price, Earnings to Price (E/P) and Book to Market (B/M) Effect has been tested. The results suggest that the average market return is greater than size-based portfolios and price-based portfolios. However, when accounting for the E/P and the B/M effect, there seems to be a strategy which can beat the market. Nevertheless, most strategies for E/P and B/M portfolios indicate insignificant excess returns. In general, the results of this paper are undoubtedly in sharp contrast with most popular studies in developed markets. However, it is observed that investors on the SEM may not possess similar characteristics to those of well-advanced markets. In particular, according to Harvey (1995), emerging market countries are sometimes relatively isolated from capital markets of other countries

    Exploring the Quality Of Corporate Governance Disclosure under An ‘Apply And Explain’ Regime

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    This study explores the quality of corporate governance disclosure under an ‘apply and explain’ regime in the context of an emerging economy (Mauritius), following a transition from the traditional ‘comply or explain’ approach within the national code of corporate governance. The research relies on a content analysis of corporate governance disclosure of 86 annual reports of companies listed on the Stock Exchange of Mauritius (SEM) for the financial periods 2018-2019 and 2019-2020 and One-way ANOVA tests and draws on the typology of corporate governance explanations developed by Shrives and Brennan (2015), focusing on specificity, location and comprehensiveness dimensions. We draw on legitimacy theory and the concepts of substantive and symbolic disclosures to guide our interpretation of the findings. From a specificity point of view, the disclosure index revealed significant variations, the highest score being four times the lowest score. With regards to location and comprehensiveness, only around half of companies are making optimum use of a corporate governance report and providing explanations by principles. We also illustrated how some firms provided symbolic disclosures. Overall, there are disparities in the application of the code by companies, reflected in a blend of substantive and symbolic disclosures to maintain their legitimacy. Our study examines ‘apply and explain’ disclosure in a developing country in contrast to the ’comply or explain’ approach studied so far in the literature. Merely professing a ‘well intended’ shift to the ‘apply and explain’ approach does not necessarily need to improvements in the quality of corporate governance disclosures. Companies, governance professionals and regulatory bodies could formulate disclosure guidance to better underpin the implications of the ‘apply and explain’ approach

    Hot and Cold IPO Markets: The case of the Stock Exchange of Mauritius

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    ABSTRACT The aim of this study is to assess the characteristics of the hot and cold IPO markets on the Stock Exchange of Mauritius. The results show that the hot issues exhibit, on average, a greater degree of underpricing than the cold issues, although the hot issue phenomenon is not a significant driving force in explaining this short-run underpricing. The results are consistent with the predictions of the changing risk composition hypothesis in suggesting that firms going public during hot markets are on average relatively more risky. The findings also support the time adverse selection hypothesis in that the firms' quality dispersion is statistically different between hot and cold markets. Finally, the study concludes that firms which go public during hot markets do not underperform those going public in cold markets over the longer term

    Seasonality, returns and volatility on the Stock Exchange of Mauritius

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    This article investigates the effects of any seasonality on stock market returns and volatility on the Stock Exchange of Mauritius. A standard GARCH model was used on daily SEMDEX returns from 1998 to 2006. The results obtained indicate that the return series are leptokurtic, indicating a higher peak and a thicker tail than a normal distribution. Also, the mean returns on Fridays seem to be the highest while average returns on Mondays turn out to be insignificant. Finally, significant effects of weekdays were found on the conditional variance on the stock returns.

    IFRS and the Evolution of Value Relevance : Evidence from an African Developing Country

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    This study aims to assess the evolution of the value relevance of book value, earnings and its components in Mauritius, an African developing country, focusing on value relevance changes after IFRS adoption and subsequent local reforms. The study relies on a dataset of 567 firm-year observations (2001-2018) and the Ohlson (1995) valuation model to investigate value relevance after (i) IFRS adoption, (ii) the implementation of institutional reforms, and (iii) enforcement reforms. First, we find support for a rise in the combined value relevance of earnings and book value, albeit that book value significantly contributes to changes over time. The findings highlight the combined importance of IFRS adoption with institutional and enforcement reforms to improve value relevance. Second, we do not find evidence of a shift in value relevance between earnings and book value. Third, the cash flow model reveals a higher level of significance relative to the earnings model. We extend the value relevance literature in the context of African developing countries. Our study’s findings underpin the need for a reinforcing of relevant institutional and enforcement frameworks to ensure the benefits of IFRS adoption materialise. It also offers a contribution of how developing countries’ experience IFRS post-adoption while adding to the dearth of studies analysing IFRS enforcement practices
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