Cyclicality of size, value, and momentum on the Johannesburg Stock Exchange
| dc.contributor.author | Kapche Fotso, Moise Herve | |
| dc.contributor.author | Brown, W G P | |
| dc.date.accessioned | 2022-02-21T08:04:52Z | |
| dc.date.available | 2022-02-21T08:04:52Z | |
| dc.date.issued | 2021 | |
| dc.description.abstract | The study examines the cyclical behaviour of style premiums on the Johannesburg Stock Exchange (JSE) over the period 2002–2018. More specifically, the study establishes whether there is a contemporaneous relationship between style premiums and certain regime dynamics. The examination period extends over two consecutive business cycles, each with an upward and a downward phase. A robust factor-mimicking portfolio construction procedure is employed. Findings show that the small-cap risk premium shrinks significantly or becomes negative during downward phases while the momentum premium is strongly positive throughout the study period, but is lower during downward phases. | en_US |
| dc.identifier.citation | Kapche Fotso, M. H., & Brown, W.G.P. (2021). Cyclicality of size, value, and momentum on the Johannesburg stock exchange. Studies in Economics and Econometrics, 45(2), 117-129. https://doi.org/10.1080/03796205.2021.1978857 | en_US |
| dc.identifier.issn | 2693-5198 | |
| dc.identifier.uri | https://doi.org/10.1080/03796205.2021.1978857 | |
| dc.identifier.uri | http://hdl.handle.net/10566/7282 | |
| dc.language.iso | en | en_US |
| dc.publisher | Taylor & Francis | en_US |
| dc.subject | Cyclical behaviour | en_US |
| dc.subject | Johannesburg Stock Exchange (JSE) | en_US |
| dc.subject | Business cycle | en_US |
| dc.subject | Economic value | en_US |
| dc.subject | Business momentum | en_US |
| dc.title | Cyclicality of size, value, and momentum on the Johannesburg Stock Exchange | en_US |
| dc.type | Article | en_US |