A Note on the Riskiness of Long Term Investment on the JSE

D J Bradfield and C S Ardington

Studies in Economics and Econometrics, 1997, vol. 21, issue 3, 67-78

Abstract: This note focuses on the risk of longer term investment in equity on the JSE. Graphical and quantitative evidence of serial dependence in annual returns is presented. Based of 16 years of price data on the JSE the study finds significant evidence of mean reversion in annual returns. This note argues that, due to this serial dependence, the risk of longer term investment in equity, as measured by variance, is probably less than perceived.

Date: 1997
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DOI: 10.1080/03796205.1997.12129113

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