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The low price effect on the Johannesburg Stock Exchange

The low price effect on the Johannesburg Stock Exchange K Waelkens and M Ward* 1. INTRODUCTION Bar-Yosef and Brown (1979), however, found that the negative correlation held only for shares which had not Research in several financial markets has shown that split. This result was confirmed by Strong (1983), who low priced shares significantly outperform high priced showed that the average price range of split securities shares on a risk-adjusted return basis. This did not vary predictably by price group but that there phenomenon is referred to as the "low price effect". was an inverse relationship between price and range Furthermore, this effect has been shown to exist over for non-split securities. Likewise, Dubofsky and French and above the "small business effect" and the (1988) reported on findings by Drzycimski and Reilly "earnings yield" effect. (1976) who examined thirteen different measures of stock price variability before and after two-for-one­ The existence of the low price effect was alluded to in stock splits during the period 1960 to 1975. They research performed in 1981 on the JSE covering the concluded that the hypothesis of equal price volatility period 1968 to 1979 by Affleck-Graves, Gilbertson and was supported for the two samples (before and after Money (1982). This study attempts http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

The low price effect on the Johannesburg Stock Exchange

Investment Analysts Journal , Volume 26 (45): 14 – Jan 1, 1997
9 pages

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References (24)

Publisher
Taylor & Francis
Copyright
© 1997 Taylor and Francis Group, LLC
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.1997.11082375
Publisher site
See Article on Publisher Site

Abstract

K Waelkens and M Ward* 1. INTRODUCTION Bar-Yosef and Brown (1979), however, found that the negative correlation held only for shares which had not Research in several financial markets has shown that split. This result was confirmed by Strong (1983), who low priced shares significantly outperform high priced showed that the average price range of split securities shares on a risk-adjusted return basis. This did not vary predictably by price group but that there phenomenon is referred to as the "low price effect". was an inverse relationship between price and range Furthermore, this effect has been shown to exist over for non-split securities. Likewise, Dubofsky and French and above the "small business effect" and the (1988) reported on findings by Drzycimski and Reilly "earnings yield" effect. (1976) who examined thirteen different measures of stock price variability before and after two-for-one­ The existence of the low price effect was alluded to in stock splits during the period 1960 to 1975. They research performed in 1981 on the JSE covering the concluded that the hypothesis of equal price volatility period 1968 to 1979 by Affleck-Graves, Gilbertson and was supported for the two samples (before and after Money (1982). This study attempts

Journal

Investment Analysts JournalTaylor & Francis

Published: Jan 1, 1997

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