Cyclicality of size, value and momentum on the Johannesburg stock exchange

Simple item page
dc.contributor.advisorBrown, Warren
dc.contributor.authorKapche Fotso, Herve Moise
dc.date.accessioned2020-08-19T13:44:58Z
dc.date.accessioned2024-05-03T08:14:54Z
dc.date.available2020-08-19T13:44:58Z
dc.date.available2024-05-03T08:14:54Z
dc.date.issued2019
dc.descriptionMagister Commercii - MComen_US
dc.description.abstractOver the past four decades, size, value and momentum effects have been uncovered on stock markets, and several multifactor asset pricing models have been proposed to explain them. The associated premiums have been found to be time-varying and the explanations behind the effects are still debated. In South Africa, contradictory findings have been reported on the existence of those effects and the explanatory power of multifactor models. More important, the cyclicality of the effects and the risk/mispricing debate have been given little attention. In this regard, this study purports to establish the existence of size, value and momentum effects, investigate the explanatory power of the Fama-French three- and five-factor models (FF3F and FF5F respectively), and Carhart four-factor model (C4F), and examine the cyclicality and risk-based rationale of the style premiums on the Johannesburg Stock Exchange (JSE). Using a research sample comprised of common stocks included in the FTSE/JSE All Share Index (ALSI) for the period 1 January 2002 - 31 December 2018, the study subdivides the examination period into two business cycles, with each cycle including one upward phase and one downward phaseen_US
dc.identifier.urihttps://hdl.handle.net/10566/12549
dc.language.isoenen_US
dc.publisherUniversity of the Western Capeen_US
dc.rights.holderUniversity of the Western Capeen_US
dc.subjectStock marketsen_US
dc.subjectMultifactor modelsen_US
dc.subjectCyclicalityen_US
dc.subjectExplanatory poweren_US
dc.subjectJohannesburg stock exchangeen_US
dc.subjectBusiness cyclesen_US
dc.subjectValue effecten_US
dc.titleCyclicality of size, value and momentum on the Johannesburg stock exchangeen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Herve_Mcom_EMS_2019.pdf
Size:
2.53 MB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Plain Text
Description:
Download

Collections

Magister Commercii - MCom (Economics)