Articles by Author: Christo Auret

Search results for Christo Auret

We found 19 results for you
  1. Idiosyncratic risk and anomaly persistence on the Johannesburg Stock Exchange (JSE)

    Idiosyncratic risk and anomaly persistence on the Johannesburg Stock Exchange (JSE)

    Item type: Journal Article • Journal: Investment Analysts Journal
    This study examines arbitrage costs and the persistence of the size, value and momentum premiums on the Johannesburg Stock Exchange (JSE). Two arbitrage costs are considered: transaction and holding costs. Transaction costs refer to indirect and direct costs of engaging...
  2. Univariate tests of momentum on the JSE

    Univariate tests of momentum on the JSE

    Item type: Journal Article • Journal: Investment Analysts Journal
    This study intends to test whether medium-term price momentum is present on the cross-section of shares listed on the JSE. Using the methodology of Jegadeesh and Titman (1993; 2001), shares are sorted applying four estimation periods (E = 3, 6,...
  3. Do share prices lead economic activity in emerging markets? Evidence from South Africa using Granger-causality tests

    Do share prices lead economic activity in emerging markets? Evidence from South Africa using Granger-causality tests

    Item type: Journal Article • Journal: Investment Analysts Journal
    The forward-looking characteristic of share prices and their subsequent role as leading indicators of economic activity has been widely documented in advanced economies, with evidence in emerging countries being less prevalent. This paper investigates the information content of share prices...
  4. The effectiveness of price limits in the South African white maize futures market

    The effectiveness of price limits in the South African white maize futures market

    Item type: Journal Article • Journal: Investment Analysts Journal
    Futures markets perform two essential functions by creating a platform for price discovery and permitting low cost hedging of risk. Some futures markets impose limits on the amount asset prices can change within a trading day to prevent the market...
  5. Liquidity and the convergence to market efficiency

    Liquidity and the convergence to market efficiency

    Item type: Journal Article • Journal: Investment Analysts Journal
    The aim of this study is to investigate the relationship between market liquidity changes on the Johannesburg Stock Exchange (JSE) and the market’s degree of efficiency. Market efficiency is characterised in terms of two philosophies: Fama’s (1970) Efficient Markets Hypothesis...
  6. Can non-momentum factor premiums explain the momentum anomaly on the JSE? An in-depth portfolio attribution analysis

    Can non-momentum factor premiums explain the momentum anomaly on the JSE? An in-depth portfolio attribution analysis

    Item type: Journal Article • Journal: Investment Analysts Journal
    South African literature related to the momentum anomaly is generally limited to the exploration of momentum on a univariate and at most a bivariate basis, such as in combination with value (Fraser & Page, 2000) or liquidity (Page, Britten, &...
  7. TAALGEOGRAFIE TWEE REKONSTRUKSIES

    Item type: Journal Article • Journal: Taalfasette
  8. TER INLEIDING

    TER INLEIDING

    Item type: Journal Article • Journal: South African Journal of Linguistics
    Maar dit is so dat daar diegene is—mense soos prof Gawie Nienaber—wat in hulle kort tyd soveel verrig dat die res van Fugard se woorde eintlik ook hierbo moes staan: Aan die einde van hierdie kort tyd is al wat...
  9. TB/HIV-related training, knowledge and attitudes of community health workers in the Free State province, South Africa

    TB/HIV-related training, knowledge and attitudes of community health workers in the Free State province, South Africa

    Item type: Journal Article • Journal: African Journal of AIDS Research
    With its emphasis on task shifting and multi-trained and skilled outreach teams the primary healthcare (PHC) re-engineering strategy in South Africa depends on the training, knowledge and attitudes of community health workers (CHWs) to provide a variety of TB/HIV services...