The cross-section of Johannesburg Securities Exchange listed equity returns (1994-2011)

Jakobus Daniel Van Heerden and Paul Van Rensburg

Studies in Economics and Finance, 2015, vol. 32, issue 4, 422-444

Abstract: Purpose - – The aim of this study is to examine the impact of technical and fundamental (referred to as firm-specific) factors on the cross-sectional variation in equity returns on the Johannesburg Securities Exchange (JSE). Design/methodology/approach - – To reach the objective, the study follows an empirical research approach. Cross-sectional regression analyses, factor-portfolio analyses and multifactor analyses are performed using 50 firm-specific factors for listed shares over three sample periods during 1994 to 2011. Findings - – The results suggest that a strong value and momentum effect is present and robust on the JSE, while a size effect is present but varies over time. Multifactor analyses show that value and momentum factors are collectively significant in explaining the cross-section of returns. The results imply that the JSE is either not an efficient market or that current market risk models are incorrectly specified. Practical implications - – The findings of the study offers practical application possibilities to investment analysts and portfolio managers. Originality/value - – To the authors’ knowledge, this is the first study to use such a comprehensive data set for the specific analyses on the JSE over such a long period. All previously identified statistical biases are addressed in this study. Different approaches are applied to compare results and test for robustness for the first time.

Keywords: Value; Size; Equities; Momentum; Cross-section (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:v:32:y:2015:i:4:p:422-444

DOI: 10.1108/SEF-09-2014-0181

Access Statistics for this article

Studies in Economics and Finance is currently edited by Prof Niklas Wagner

More articles in Studies in Economics and Finance from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().