Source: faculty.fuqua.duke.edu
Topic: Investment Firm
Sort Desciption: rationale that a dollar of retained earnings in a firm with. greater opportunities to invest at higher rates, has a higher. perceived investment value. ...
Content Inside: 1 Version: September 14, 1999 Firm characteristics and investment strategies in Africa: The case of South Africa ∗ Dana Achour Merrill Lynch Global Asset Management Ltd., London, EC2Y 9HA UK Campbell R. Harvey Fuqua School of Business, Duke University, Durham, NC 27708 USA National Bureau of Economic Research, Cambridge, MA 02138 USA Greg Hopkins, Merrill Lynch Global Asset Management Ltd., London, EC2Y 9HA UK and Clive Lang Merrill Lynch Global Asset Management Ltd., London, EC2Y 9HA UK ABSTRACT We examine the viability of quantitative techniques for investing in individual stocks in the South African market. We measure the information in various firm specific attributes in forming portfolio strategies designed to outperform standard benchmarks. This market is particularly challenging given the extremely short sample by which we can calibrate our methods. Nevertheless, our out-of- sample analysis suggests that we can achieve up to 9% out-performance of standard benchmarks with our buy portfolio. Further, the difference between our recommended stocks and those we suggest avoiding is over 24% per year. ∗ This research was jointly conducted at Duke University and at Merrill Lynch. We would like to thank Martin OHare and Caroline Godden at Merrill Lynch Global Asset Management Ltd. for their valuable input. Statements in this publication do not reflect the views currently or previously held by Merrill Lynch Global Asset Management Limited (MLGAM) and are not necessarily reflective of the strategy employed by MLGAM or other parts of the Merrill Lynch Group. This publication is intended solely to demonstrate the results of research conducted at MLGAM and does not constitute investment advice. Any information contained herein is not warranted by MLGAM to be accurate. 2 1. Introduction A quantitative framework for executing bottom up strategies in emerging markets was detailed in Achour, Harvey, Hopkins and Lang (1998). 1 This paper conducts in-dept ...
achour harvey hopkins lang, investment firms in africa, firm characteristics africa achour