Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Do the value, size and January effects exist on the JSE?

Do the value, size and January effects exist on the JSE? This paper updates and expands the study done by Robins, Sandler and Durand (1999) in which they investigated whether or not the inter-relationships between the value, size and January effects can be detected on the JSE. The aim of this study is to investigate whether or not their findings can be corroborated in the first period and whether these effects can be detected in the second period. Therefore, the two periods used in this study are from January 1988 to December 1995 (chosen to coincide with Robins et al, 1999) and from January 1996 to December 2006. No significant value, size or January effects were found in either of the periods. This is partially consistent with Robins et al. (1999)'s findings in so far as they do not find significant value or size effects. However, unlike Robins et al. (1999), no January effect was evident in either period. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

Do the value, size and January effects exist on the JSE?

Auret, C; Cline, R
Investment Analysts Journal , Volume 40 (74): 9 – Jan 1, 2011
Download PDF
9 pages

Loading next page...
 
/lp/taylor-francis/do-the-value-size-and-january-effects-exist-on-the-jse-h6hitNfDwH

References (40)

Publisher
Taylor & Francis
Copyright
© 2011 Taylor and Francis Group, LLC
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.2011.11082539
Publisher site
See Article on Publisher Site

Abstract

This paper updates and expands the study done by Robins, Sandler and Durand (1999) in which they investigated whether or not the inter-relationships between the value, size and January effects can be detected on the JSE. The aim of this study is to investigate whether or not their findings can be corroborated in the first period and whether these effects can be detected in the second period. Therefore, the two periods used in this study are from January 1988 to December 1995 (chosen to coincide with Robins et al, 1999) and from January 1996 to December 2006. No significant value, size or January effects were found in either of the periods. This is partially consistent with Robins et al. (1999)'s findings in so far as they do not find significant value or size effects. However, unlike Robins et al. (1999), no January effect was evident in either period.

Journal

Investment Analysts Journal – Taylor & Francis

Published: Jan 1, 2011

There are no references for this article.