Browsing by Author "Chowa, Taonaziso"

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    Enhanced Index Tracking-an Extension of the Elton and Gruber (1976) Model
    (SCIENCEDOMAIN international, 2014-05) Nyangara, Davis; Mazviona, Batsirai Winmore; Chowa, Taonaziso
    Aims: The purpose of the study is to make a case for the development of middle-range models for use in developing markets by modifying the Elton and Gruber (1976) model to come up with semi-optimized index-tracking models with desirable tracking and excess return features. Study Design: Non-experimental empirical design. Place and Duration of Study: Zimbabwe, Department of Finance and Department of Insurance and Actuarial Science, covering the period between February 2009 and June 2010. Methodology: We use weekly data of 71 industrial closing prices from the Zimbabwe Stock Exchange (ZSE) for the period starting February 2009 to June 2010 to compare the return and tracking performance of the adapted models against simple capitalization- based tracking models. Results: We find that the semi-optimized models yield tracking and excess return results that are not statistically significantly different from simple capitalization-based models, at the 1% significance level, yet only utilizing about half as many stocks. Conclusion: The use of semi-optimized index-tracking models has potential to significantly reduce transaction costs while keeping tracking error within reasonable limits. However, their use results in inferior excess return performance on a risk-adjusted basis when compared to simple capitalization-based models. The use of the correlation coefficient in filtering stocks to include in a tracking portfolio yields superior tracking error results but inferior excess return results compared to the use of the ratio of beta to idiosyncratic risk. Portfolios with higher Active Share measures produce poorer tracking error and excess return results compared to lower Active Share portfolios. The use of passive portfolio management strategies on the ZSE is supported by our findings.
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    An Event Study Of The Zimbabwe Stock Exchange (ZSE): Implications For Post-dollarisation Market Efficiency
    (MCSER Publishing, 2014-03) Chowa, Taonaziso; Nyanhete, Alois I.; Mhlanga, Richard
    This paper investigates the impact of earnings (full-year, half-year and dividend) announcements and cautionary statements on returns of ZSE listed companies post-dollarisation of the economy in 2009. A standard CMRM based event study methodology (EVM) is applied to weekly returns from January 2010 to December 2012. Findings suggest that earnings announcements and cautionary statements have no impact on returns of companies traded on the ZSE characterised by a very weak correlation of between ‘good/bad news’ and the direction of significant CARs. We conclude that alleged insider trading, high costs of trading and market undervaluation make it difficult for EVM to detect abnormal returns, thereby painting picture of compliance with the weak to semi-strong forms of the Efficient Market Hypothesis (EMH).
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    A Review of Foreign Investments Allowance for Pension Funds in Zimbabwe
    (Mediterranean Journal of Social Sciences MCSER Publishing, 2014-05) Chowa, Taonaziso; Mhlanga, Richard
    The hyperinflation era in Zimbabwe (2003-2008) eroded pensioners’ capital values and has seen pre-dollarisation retirees receiving paltry pension payouts from year 2009. We review global trends on foreign investments for pension funds in order to add input to the local debate pitting the Zimbabwe Association of Pension Funds (ZAPF) members against the Insurance and Pensions Commission (IPEC) on whether the Pension and Provident Fund Act [Chapter 24:6] of Zimbabwe should permit foreign/offshore investment. We interview ZAPF members & partners and carry out secondary analysis of data on pension payouts, asset management and life & pensions asset allocations and returns post-dollarisation. Findings reveal that meeting liquidity and diversification goals require allowances for foreign investments. ZAPF members and partners would welcome any level of foreign investments allowance, despite Zimbabwe offering weighted returns that are above those currently obtainable from foreign assets. We conclude that there is lack of confidence in the long-term sustainability of the capital values and returns given that the tenure of the prevailing Multi-Currency System (Dollarisation) is uncertain and hence the need to allow limited foreign investment by pension funds.