Value, size and momentum portfolios in real time: the cross section of South African stocks

Ryan Bartens and Shakill Hassan
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Ryan Bartens: Barclays Capital, London

Australian Journal of Management, 2010, vol. 35, issue 2, 181-202

Abstract: We implement a recursive out-of-sample method to examine anomalies-based ex-ante predictability in the cross section of stock returns. We obtain a series of simulated out-of-sample returns, consistent with investors using only prior information when choosing predictor variables. We find that, with commonly used performance criteria, real-time trading strategies based on size, value and momentum effects would not consistently outperform a passive index of South African stocks, despite consistent in-sample excess returns. Our results suggest that the empirical relationship between the anomalous factors and cross-sectional average returns is unstable.

Keywords: anomalies; emerging markets; long/short portfolios; real-time predictability; South Africa (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:35:y:2010:i:2:p:181-202

DOI: 10.1177/0312896210370081

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