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Evidence of a value-growth phenomenon on the Johannesburg Stock Exchange

Evidence of a value-growth phenomenon on the Johannesburg Stock Exchange M Graham and E Uliana* Evidence of a value-growth phenomenon on the Johannesburg Stock Exchange 1. INTRODUCTION an investment approach based on classifying shares as either value or growth and consistently outperform 1.1 Background the market. Consequently evidence of a value-growth phenomenon has both theoretical and practical Early empirical evidence (see for example; Black, implications. Jensen and Scholes, 1972; Fama, 1970; Fama and Macbeth, 1973) provided support for the bases of Limited empirical testing has been conducted in South finance theory, the Capital Asset Pricing Model Africa specifically to determine whether or not there is (CAPM) and the Efficient Market Hypothesis (EMH), in any evidence of a value-growth phenomenon on the terms of which investors cannot consistently earn Johannesburg Stock Exchange (JSE). In a study on above average risk-adjusted returns. Nonetheless, value and momentum strategies Fraser and Page equity investment managers and analysts have (1999) found that value based portfolios offer higher pursued various investment strategies which, they returns. Although the value-growth phenomenon has believe, can outperform the market. This suggests that been observed on various international markets the two theories of finance must exhibit exploitable (Capaul et al., 1993), further confirmation is warranted anomalies. for the South African http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

Evidence of a value-growth phenomenon on the Johannesburg Stock Exchange

Investment Analysts Journal , Volume 30 (53): 12 – Jan 1, 2001
11 pages

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References (37)

Publisher
Taylor & Francis
Copyright
© 2001 Taylor and Francis Group, LLC
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.2001.11082423
Publisher site
See Article on Publisher Site

Abstract

M Graham and E Uliana* Evidence of a value-growth phenomenon on the Johannesburg Stock Exchange 1. INTRODUCTION an investment approach based on classifying shares as either value or growth and consistently outperform 1.1 Background the market. Consequently evidence of a value-growth phenomenon has both theoretical and practical Early empirical evidence (see for example; Black, implications. Jensen and Scholes, 1972; Fama, 1970; Fama and Macbeth, 1973) provided support for the bases of Limited empirical testing has been conducted in South finance theory, the Capital Asset Pricing Model Africa specifically to determine whether or not there is (CAPM) and the Efficient Market Hypothesis (EMH), in any evidence of a value-growth phenomenon on the terms of which investors cannot consistently earn Johannesburg Stock Exchange (JSE). In a study on above average risk-adjusted returns. Nonetheless, value and momentum strategies Fraser and Page equity investment managers and analysts have (1999) found that value based portfolios offer higher pursued various investment strategies which, they returns. Although the value-growth phenomenon has believe, can outperform the market. This suggests that been observed on various international markets the two theories of finance must exhibit exploitable (Capaul et al., 1993), further confirmation is warranted anomalies. for the South African

Journal

Investment Analysts JournalTaylor & Francis

Published: Jan 1, 2001

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