Style rotation on the JSE

Daniel Page, David McClelland and Christo Auret

Finance Research Letters, 2022, vol. 46, issue PB

Abstract: Global studies of style momentum show evidence of significant risk-adjusted profits over short estimation and holding periods. This study, conducted on the Johannesburg Stock Exchange (“JSE”) is partially consistent with developed market literature. First, we find that momentum-based style rotation is strongest over short estimation and holding periods. Second, we find a positive relationship between the number of styles applied and performance. Third, factor spanning tests indicate that price momentum and quality reduce time-series alphas, inconsistent with the more recent literature. Additionally, we find an inverse relationship between holding period and returns. The latter result favors a behavioural explanation.

Keywords: Equity; Stocks; Style; Factor; Asset pricing; Behavioural finance (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004797

DOI: 10.1016/j.frl.2021.102504

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