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Style characteristics and the cross-section of JSE returns

Style characteristics and the cross-section of JSE returns P van Rensbura* and M Robertson** 1. INTRODUCTION AND PRIOR RESEARCH the values of various style characteristics as observed at the beginning of the period. The time-series of the Internationally the influence of, what have become slope coefficients estimated in this manner represent labelled, "style-based' effects, is a rapidly expanding the 'rewards' accruing to each characteristic in each arena of enquiry. While earlier studies on the period while a share's exposure to the factor is directly Johannesburg Stock Exchange (JSE) such as De observable by the value of the characteristic Villiers, Lowlings, Petit and Affleck-Graves (1986), concerned. Note that, unlike Daniel and Titman Bradfield, Barr and Affleck-Graves (1988), Page and ( 1997), the focus of this paper is not on the relative Palmer ( 1991) and Page ( 1996) investigate the appropriateness of the characteristic approach versus existence of isolated 'anomalies' within the framework the (allegedly) more theoretically appealing 'risk based' of traditional asset pricing theory, only recently have factor loading approach (see Robertson and van research methodologies been specifically designed to Rensburg, 2003 for an empirical investigation of this on the JSE). Rather, the central concern of the comprehensively determine the identity of style effects issue on the http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

Style characteristics and the cross-section of JSE returns

Rensburq, P van; Robertson, M
Investment Analysts Journal , Volume 32 (57): 9 – Jan 1, 2003
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Publisher
Taylor & Francis
Copyright
© 2003 Taylor and Francis Group, LLC
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.2003.11082444
Publisher site
See Article on Publisher Site

Abstract

P van Rensbura* and M Robertson** 1. INTRODUCTION AND PRIOR RESEARCH the values of various style characteristics as observed at the beginning of the period. The time-series of the Internationally the influence of, what have become slope coefficients estimated in this manner represent labelled, "style-based' effects, is a rapidly expanding the 'rewards' accruing to each characteristic in each arena of enquiry. While earlier studies on the period while a share's exposure to the factor is directly Johannesburg Stock Exchange (JSE) such as De observable by the value of the characteristic Villiers, Lowlings, Petit and Affleck-Graves (1986), concerned. Note that, unlike Daniel and Titman Bradfield, Barr and Affleck-Graves (1988), Page and ( 1997), the focus of this paper is not on the relative Palmer ( 1991) and Page ( 1996) investigate the appropriateness of the characteristic approach versus existence of isolated 'anomalies' within the framework the (allegedly) more theoretically appealing 'risk based' of traditional asset pricing theory, only recently have factor loading approach (see Robertson and van research methodologies been specifically designed to Rensburg, 2003 for an empirical investigation of this on the JSE). Rather, the central concern of the comprehensively determine the identity of style effects issue on the

Journal

Investment Analysts Journal – Taylor & Francis

Published: Jan 1, 2003

References

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  • Risk, return and equilibrium: empirical tests.
  • Value and momentum strategies: evidence from the Johannesburg Stock Exchange.
  • Further evidence of firm size and earnings anomalies on the Johannesburg Stock Exchange.
  • The relationship between excess returns firm size and earnings anomalies on the Johannesburg Stock Exchange.
  • A decomposition of style based risk on the JSE.
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