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The authors examine how financial analysts respond to online investor sentiment when updating recommendations for specific stocks in South Africa. The aim is to establish whether online sentiment contains significant information that can influence analyst recommendations. The authors follow up the above by examining when online investor sentiment is most associated with analyst recommendation changes.

For online investor sentiment proxies, the authors make use of the social media sentiment and news media sentiment scores provided by Bloomberg Inc. The sample size includes all companies listed on the Johannesburg Stock Exchange All Share Index. The study uses traditional ordinary least squares to examine the relation at the mean and quantile regression to identify the scope of the relationship across the distribution of the dependent variable.

The authors find evidence that pre-event news sentiment significantly influences analyst recommendation changes while no significant relationship is found with the Twitter sentiment. Further analysis shows that news sentiment is more influential when the recommendation changes are moderate (in the middle of the conditional distribution of the recommendation changes).

The study is the one of the first to examine the association between online sentiment and analyst recommendation changes in an emerging market using high frequency data. The authors also make a direct comparison between social media sentiment and news media sentiment, some of the most used contemporary investor sentiment proxies.

The authors examine the contemporaneous and causal association between tweet features (bullishness, message volume and investor agreement) and market features (stock returns, trading volume and volatility) using 140 South African companies and a dataset of firm-level Twitter messages extracted from Bloomberg for the period 1 January 2015 to 31 March 2020.

Panel regressions with ticker fixed-effects are used to examine the contemporaneous link between tweet features and market features. To examine the link between the magnitude of tweet features and stock market features, the study uses quantile regression.

No monotonic relationship is found between the magnitude of tweet features and the magnitude of market features. The authors find no evidence that past values of tweet features can predict forthcoming stock returns using daily data while weekly and monthly data shows that past values of tweet features contain useful information that can predict the future values of stock returns.

The study is among the earlier to examine the association between textual sentiment from social media and market features in a South African context. The exploration of the relationship across the distribution of the stock market features gives new insights away from the traditional approaches which investigate the relationship at the mean.

Opinions have been divided on whether there is a rational explanation to the reason behind seasoned equity offerings (SEOs) or whether the explanation lies within the behavioural intricacies attributed to stock market participants. The paper aims to discuss these issues.

This study investigates the long-run performance of firms conducting SEOs on the Johannesburg Stock Exchange (JSE) over the period of 1998–2015, by examining the return performance and operating performance of firms, along with the impact of investor sentiment on these variables.

The results of this study are inconsistent with the existing literature, which argues that the long-run performance of issuing firms signalled an initial underreaction to SEOs buoyed by over-optimistic investors.

Instead, the long-run performance of issuing firms is adequately explained by the rational models centred on the risk-return framework, implying that investors are reacting swiftly to SEOs in an unbiased fashion.

Investor sentiment does not materially influence the long-run share performance or operating performance of issuing firms, casting doubt on the ability of the market timing theory to explain the long-run performance of SEOs. The authors thus find that SEO performance cannot be explained by behavioural-based reasoning, in contrast to some asset pricing studies on the JSE which indicate the role of sentiment in explaining returns.

Recent studies have shown that low-volatility shares outperform high-volatility shares. Given the conventional finance theory that risk drives return, this study aims to investigate and attempt to explain the presence of the low-risk anomaly (LRA) in South Africa.

Using share prices from 1990 to 2016, various buy-and-hold strategies are constructed to determine the return to an investor attempting to capitalise on such an anomaly. These strategies involve combinations relating to a price filter, the calculation of risk and volatility, value-weighting or equal-weighting of portfolios and the window period to construct said portfolios.

It was found that the LRA exists on the Johannesburg Stock Exchange (JSE_=) when using univariate sorts, without controlling for the size or value effect. When using multivariate portfolio sorts (size and volatility or value and volatility), it was found that the LRA does not exist on the JSE under the majority of risk proxies, but particularly prevalent when downside risk is used. This loosely points towards a potential “inverse momentum” effect where low-return portfolios outperform their counterparts.

In general, it is established that the risk–return relationship is non-linear and deterministic under traditional proxies, but improves to being somewhat, but not completely, linear under a Kalman filter. The Kalman filter, which can be considered a proxy for learning, does not remove the anomaly in its entirety, indicating that behavioural approaches are needed to explain such phenomena.

The authors’ goal is to provide an overview and historical context for the various alternatives to the efficient market hypothesis (EMH) that have emerged over time. The authors found eight current alternatives that have emerged to address the EMH's flaws. Each of the proposed alternatives improves some of the assumptions made by the EMH, such as investor homogeneity, the immediate incorporation of information into asset values and the inadequacy of rationality to explain asset prices.

To come up with the list of studies relevant to this review article, the authors used three databases, namely Scopus, Web of Science and Google Scholar. The first two were mostly used to get peer-reviewed articles while Google Scholar was used to extract articles that are still work in progress. The following words were used as the search queries; “efficient market hypothesis” and “alternatives to the efficient market hypothesis”.

The alternatives to the EMH presented in this article demonstrate that market efficiency is a dynamic concept that can be best understood with a multidisciplinary approach. To better comprehend how financial markets work, it is crucial to draw on concepts, theories and ideas from a variety of disciplines, including physics, economics, anthropology, sociology and others.

The authors comprehensively summarise the current state of the behavioural finance literature on alternatives to the EMH.

This study aims to investigate the dynamic interconnectedness of economic policy uncertainty (EPU), fiscal policy uncertainty (FPU) and monetary policy uncertainty (MPU) in four nations, the USA, Japan, Greece and South Korea, between 1998 and 2021.

To comprehend the cross-category/cross-country evolution of uncertainty connectedness, the authors use the conditional connectedness approach. By using an inclusive network, this strategy lessens the bias caused by omitted variables. The TVP-VAR method is advantageous as it eliminates outliers that may potentially skew the results and reduces the bias caused by picking arbitrary rolling windows.

Based on the findings, aggregate EPU is a net transmitter of policy uncertainties across all countries when conditional-country connectedness is used. MPU receives significantly more spillovers than FPU does across all countries, even though both are primarily recipients of uncertainties. The USA appears to be a transmitter of categorical spillovers before COVID-19, while Greece appears to be a net receiver of all category spillovers in terms of category-specific connectedness. The existence of extreme global events is also seen to cause an increase in category-specific and country-specific connectedness. Additionally, the authors report that conditional country-specific connectedness is greater than conditional category-specific connectedness.

This study expands existing literature in several ways. Firstly, the authors use a novel conditional connectedness approach, which has not been used to untangle cross-category/cross-country policy uncertainty connectedness. Secondly, they use the TVP-VAR approach which does not depend on rolling windows to understand dynamic connectedness. Thirdly, they use an expanded number of countries in their analysis, a departure from existing studies that have in most cases used two countries to understand categorical EPU connectedness.

Literature shows that corporate governance matters more in countries with weak legal environments. The purpose of this study is to synthesise and map research that has been done so far on corporate governance in Zimbabwe, a country that has been characterised by weak legal systems and lack of respect for property rights.

A systematic review and bibliometric analysis of 20 articles indexed in the Scopus and Web of Science databases was carried out to establish the trends and evolution of corporate governance in Zimbabwe.

The articles reviewed looked at the association between corporate governance attributes and firm performance, disclosure of information and economic growth. The proportion of independent directors was found to significantly affect firm performance and information disclosure in most of the studies. The majority of the studies used descriptive statistics and simple regression in their methodologies. The stakeholder theory is the most used in the studies reviewed.

The study highlights the need to strengthen the state infrastructure that enhances corporate governance at the firm level. When state-owned companies adhere to good corporate governance practices, this can cascade to the private sector.

One of the most important phenomena that have been confronted in the field of household finance is the stock market participation puzzle. The puzzle describes the anomaly that the majority of households do not have ownership of stock market products, though empirically stocks give higher expected returns than risk-free assets. The stock market participation rate plays an important role as it has a direct bearing on the equity premium. In this study, the authors aim to investigate how financial literacy and various proxies of social interaction are associated with stock market participation in South Africa.

The study uses probit regression and ordinary least squares using the South African National Income Dynamics survey Wave 5 of 2017 to investigate whether financial literacy and social interaction are significantly associated with stock market participation. The financial literacy index is computed using factor analysis on the responses to the financial literacy questions used in the survey. The authors use three proxies for social interaction, namely membership in a Stokvel, membership in a men's association and membership in a women's association.

The results reveal that an increase in financial literacy increases the odds of respondents participating in the stock market. Among the control variables, age, race and level of education are significantly associated with stock market participation. When it comes to social interaction, it is belonging to a men's association that is significantly associated with stock market participation. The other proxies for social interaction are insignificantly associated with stock market participation.

The study contributes to the extant literature by using a set of proxies for social interaction that have the potential to influence stock market participation which have not been used in a South African context.

While the momentum anomaly is prevalent in South Africa, few have examined the reasons influencing it. This study examines whether momentum profits vary through time and are affected by the state of the market and market volatility between 1998 and 2019.

The authors consider combinations of portfolio construction, such as the lookback period, weighting scheme, measure of volatility and the volatility window period. They further examine the interaction of momentum with sentiment, default risk and semi-deviation as a measure of risk, as a means of testing whether behavioural factors have significant influence.

The results generally show that neither volatility nor market state has explanatory power on momentum profits.

These results make the momentum anomaly in South Africa an even greater mystery than before as they do not conform to the existing literature from developed economies. The authors do, however, find that default risk is a significant predictor of momentum profits, which is a useful additional factor for those fund managers who utilise momentum strategies. This implies that a fundamental factor, default risk, is a potential explanation for the market-related momentum anomaly.

Utilising a database that distinctly classifies firm-level ESG (environmental, social and governance) news sentiment as positive or negative, the authors examine the information flow between the two types of ESG news sentiment and stock returns for 20 companies listed on the Johannesburg Stock Exchange between 2015 and 2021.

The authors use Shannonian transfer entropy to examine whether information significantly flows from ESG news sentiment to stock returns and a modified event study analysis to establish how stock prices react to changes in the two types of ESG sentiment.

Using Shannonian transfer entropy, the authors find that for the majority of the companies studied, information flows from the positive ESG news sentiment to stock returns while only a minority of the companies exhibit significant information flow from negative ESG news sentiment to returns. Furthermore, the study’s findings show significantly positive (negative) abnormal returns on the event date and beyond for both upgrades and downgrades in positive ESG news sentiment.

This study is among the first in an African context to investigate the impact of ESG news sentiment on stock market returns at high frequencies.