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Inter-relationships between the January effect, market capitalisation and value investment strategies on the JSE

Inter-relationships between the January effect, market capitalisation and value investment... EM Robins, M Sandler and F Durand* Inter-relationships between the January effect, market capitalisation and value investment strategies on the JSE provided a larger risk adjusted return than shares with 1. INTRODUCTION• a high ratio. This was first empirically demonstrated by Basu (1977). The most successful measure used to South African research has become increasingly operationalise this effect is the price-to-book (P/B) ratio circumspect regarding market efficiency on the JSE. which is "the most powerful explanatory variable in the Philpott and Firer (1995) indicated that the JSE may cross-section of average returns." (Fama, 1991 :1592). not efficient in the semi-strong form. Thompson and The effect has been found in the U.S. (e.g. Rosenberg, Ward's (1995) review of market efficiency concluded Reid and Lanstein, 1985; Jaffe et al., 1989; Jacobs that the JSE was strong form inefficient, with uat bese and Levy, 1988; Barber and Lyon, 1992; Fama and mixed evidence regarding its weak and semi-strong French 1992: Fuller, Hubers and Levinson, 1992; form efficiency. Ear1ier authors had claimed that it was Davis, 1994), Japan (Chan, Hamao and Lakonishok, semi-strong form efficient (Knight and Affleck-Graves, 1991), other countries (Capaul, Rowley and Sharpe, 1985), efficient (Gilbertson and Roux, 1977) or efficient http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

Inter-relationships between the January effect, market capitalisation and value investment strategies on the JSE

Investment Analysts Journal , Volume 28 (50): 12 – Jan 1, 1999
9 pages

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References (36)

Publisher
Taylor & Francis
Copyright
© 1999 Taylor and Francis Group, LLC
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.1999.11082401
Publisher site
See Article on Publisher Site

Abstract

EM Robins, M Sandler and F Durand* Inter-relationships between the January effect, market capitalisation and value investment strategies on the JSE provided a larger risk adjusted return than shares with 1. INTRODUCTION• a high ratio. This was first empirically demonstrated by Basu (1977). The most successful measure used to South African research has become increasingly operationalise this effect is the price-to-book (P/B) ratio circumspect regarding market efficiency on the JSE. which is "the most powerful explanatory variable in the Philpott and Firer (1995) indicated that the JSE may cross-section of average returns." (Fama, 1991 :1592). not efficient in the semi-strong form. Thompson and The effect has been found in the U.S. (e.g. Rosenberg, Ward's (1995) review of market efficiency concluded Reid and Lanstein, 1985; Jaffe et al., 1989; Jacobs that the JSE was strong form inefficient, with uat bese and Levy, 1988; Barber and Lyon, 1992; Fama and mixed evidence regarding its weak and semi-strong French 1992: Fuller, Hubers and Levinson, 1992; form efficiency. Ear1ier authors had claimed that it was Davis, 1994), Japan (Chan, Hamao and Lakonishok, semi-strong form efficient (Knight and Affleck-Graves, 1991), other countries (Capaul, Rowley and Sharpe, 1985), efficient (Gilbertson and Roux, 1977) or efficient

Journal

Investment Analysts JournalTaylor & Francis

Published: Jan 1, 1999

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