ABSTRACT This paper examines the institutional determinants shaping the dividend policy of 357 non-financial firms listed across 13 African markets. Utilising panel data estimation techniques, our findings indicate that weaker investor protection, increased financial development, high GDP growth, and greater press freedom are linked to higher dividend payouts, while corruption and property rights protection show no significant effects. Notably, financial market development positively impacts dividend policy, whereas the development of financial institutions does not. Policymakers should prioritise several key areas: strengthening investor protection to encourage diverse value creation and improve governance; enhancing financial market development to increase capital access and market efficiency; supporting press freedom to promote transparency and accountability; and fostering GDP growth to improve firm performance and boost dividend distributions. A balanced approach integrating financial development, press freedom, and economic growth is essential for optimising dividend policies and advancing sustainable economic development in Africa.

ABSTRACT This study examines the connectedness among eco-friendly assets and how volatility in fossil energy markets affects this connectedness. Using a broad coverage for eco-friendly assets such as a clean energy index, a clean cryptocurrency (Cardano), a green bond index, and a sustainability-leaders index, our results show that the connectedness is higher in the extremities (tail-risk spillovers) and more significant during essential world events such as a pandemic or war. Further, we employ nonparametric causality in quantiles, quantile regression, and kernel-based regularised least squares methods to investigate the influence of fossil energy markets (crude oil, natural gas, and gas oil) volatility on eco-friendly assets’ connectedness. Our results imply that fossil energy market volatility has a positive and causal effect on connectedness dynamics among eco-friendly assets. Our study offers important implications for investors and policymakers in crafting portfolio strategies and policy decisions.

ABSTRACT This paper examines the impact of COVID-19 on five of the world's most liquid futures markets. The results of our wavelet coherence analysis for spot futures reveal two important findings. First, spot futures coherence movements during the pandemic period are influential at both low and high frequency scales. Second, the spectrogram shows mixed causality directions at all scales of observation in the period before and during the pandemic. In terms of hedging effectiveness, OLS and VECM show improvements in hedging effectiveness. Nevertheless, multiscale analysis with wavelet methods shows that hedging effectiveness depends on the hedge period due to the instability of the spot-futures association during the pandemic period. Our results refute the conventional wisdom among finance scholars that a stronger link between spot and futures markets during the crisis improves hedging effectiveness. We would emphasise that investment baskets and hedge pairs should be reviewed frequently to optimise results.

ABSTRACT This paper employs quantile autoregression to investigate the influence of ‘market size’ and ‘industry’ effects on the South African equity market volatility response to return shocks. It is now well documented that equity market volatility exhibits asymmetric response to positive and negative return shocks. This paper provides empirical evidence which shows that the South African equity market asymmetric volatility response is significantly a large company phenomenon and with the exception of the Resources 10 and Financials 15 Indices, there is generally no volatility asymmetric response heterogeneity at the sector level. These results have important implications for investors and fund managers in relation to portfolio construction, risk management and optimal equity risk premium determination.

ABSTRACT The COVID-19 pandemic has led global investors to draw a parallel between pandemics and climate risk, focusing their attention on climate risk. We examine COVID-19’s effect on investors’ awareness of climate risk by analysing novel trading data for Korean-listed firms that include investor information. We observe that institutional investors divest from high-emission firms during the market crash induced by the COVID-19 pandemic, whereas individual investors do not, suggesting that investor attention to climate risk is heterogeneous.

ABSTRACT In this paper, we investigate the information sharing within an organisation and its consequences on mutual fund performance. Using a sample from the US open-end mutual fund industry, information sharing inside an organisation is quantified via the dependence of individual funds from the fund family joint information set. The findings indicate a positive relationship between the degree of information sharing and the resulting fund performance. This remains robust across different performance evaluation metrics and various model specifications. Such superior performance can be attributed to the quality of information shared across affiliated fund members and timely information diffusion within the fund family.

ABSTRACT Motivated by the demonstrated profitability of industry momentum strategies and the established explanatory power of higher moments for momentum returns at the firm level, we investigate the relation between higher moments and industry momentum returns. We use January 1970 to December 2021 data on 48 US industry return series from Kenneth French’s data library to calculate realised skewness and kurtosis and to construct double-sort trading strategies over dynamic trading horizons up to 24 months. The results reveal that the lowest-skewness group earns the strongest industry momentum returns over most trading horizons, while kurtosis is positively related to industry momentum returns. Additional testing reveals that these relations are uncaptured by the market, size, value, investment, profitability, and firm-level momentum risk factors in common asset pricing models.

ABSTRACT This article studies the effect of real increases in salary on required contribution rates when saving for retirement to maintain a Sustainable Lifestyle Level (SLL). We consider two strategies. The first sets conventional contribution rates, recalculating whenever an increase occurs. This requires smaller initial contribution rates, which then need to be increased later in the employee’s working life. The second strategy requires that a constant contribution rate be maintained that allows for the anticipated increases. This rate requires a substantially higher contribution rate from the start. The result is particularly important for setting appropriate default contribution rates for defined contribution retirement funds.

ABSTRACT Tactical asset allocation (TAA) is a dynamic investment strategy which seeks actively to adjust fund allocation to a variety of asset classes by systematically exploiting inefficiencies and temporary imbalances in equilibrium values. This approach contrasts with strategic asset allocation (SAA) in which a long-term investment view target allocation is established using a combination of target return and risk tolerance. Asset returns are forecasted using the Capital Asset Pricing Model (CAPM), complemented with results obtained from the Kalman filter. Performance of TAA and SAA approaches are compared using several diagnostic metrics. The TAA approach outperforms its SAA counterpart for most of these metrics for the period under consideration, showing some potential benefits of using this approach.

ABSTRACT The historical skewness of stock return distributions could potentially affect future stock returns. Previous studies in developed markets have shown that investors prefer shares exhibiting positively skewed or ‘lottery-like’ payoff profiles. The higher demand for these shares results in a negative relationship between skewness and expected stock returns. This study investigates the extent to which asymmetrical returns are priced on the Johannesburg Stock Exchange over the period August 2002 to December 2019. Using portfolio-level analysis, this study analyses the returns of quintile portfolios sorted on past self-skewness. Risk-adjusted returns are evaluated against an equally weighted benchmark. In addition, the presence of a monotonic relationship between past self-skewness and future returns is tested with the monotonic relation test of Patton and Timmermann (2010), as well as the Wolak (1987, 1989) test. Unlike the developed market evidence, this study finds evidence of a positive relationship between past self-skewness and future returns on the JSE. This effect remains even after controlling for size and industry effects. The results suggest that positive skewness is rewarded on a risk-adjusted basis. Overall, the study provides insights for investors regarding the importance of considering the past asymmetry of stock return distributions in investment decision-making processes.