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Employing the prespecified variable approach to APT factor identification on the segmented Johannesburg Stock Exchange
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: Paul van Rensburg --- Department of Accounting and Finance,Prior research has provided evidence that the return generating process on the Johannesburg Stock Exchange (JSE) is dichotomous in nature (Campbell, 1979; Gilbertson and Goldberg, 1981;Carter, 1983; Page, 1986, 1989; Venter, Bradfield and Bowie, 1992). More specifically, this prior work... -
Unifying the factor analytic and prespecified variable approaches to APT factor identification on the Johannesburg Stock Exchange
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: P van Rensburg --- Department of Accounting and Finance,This paper reviews recent empirical work concerning the number and macroeconomic nature of the priced Arbitrage Pricing Theory (APT) factors on the Johannesburg Stock Exchange (JSE). As a consolidation of prior factor analytic and prespecified variable findings, a brief empirical... -
On pricing kernels, information and risk
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Diane L. Wilcox --- School of Computational & Applied Mathematics, South Africa Tim J. Gebbie --- School of Computational & Applied Mathematics, South AfricaThis paper compares out-of-sample, ex-ante risk and returns of arbitrage pricing theory (APT) risk-factor based, zero-cost portfolios with characteristic-based, zero-cost portfolios. In particular the Haugen and Baker characteristic-based model framework is used in a comparison with the capital asset pricing... -
Macroeconomic variables and the Johannesburg Stock Exchange: A multifactor approach
Item type: Journal Article • Journal: De Ratione • Authors: Paul Van Rensburg --- Department of Accounting,This study estimates the simultaneous relationship between a number of selected macroeconomic variables and share prices on the Johannesburg Stock Exchange (JSE). A linear factor model identical in form to that assumed by the arbitrage pricing theory (APT) is estimated... -
Further Evidence of Firm Size and Earnings Anomalies on the Johannesburg Stock Exchange
Item type: Journal Article • Journal: De Ratione • Authors: Michael J. Page --- Graduate School of Business,In spite of the large body of evidence in favour of capital market efficiency in the semi-strong form, several enigmatic findings persist. As much of the research is based on the theoretical foundation of the Capital Asset Pricing Model, the... -
Idiosyncratic risk and anomaly persistence on the Johannesburg Stock Exchange (JSE)
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Daniel Page --- School of Economic & Business Sciences, University of the Witwatersrand, South Africa James Britten --- School of Economic & Business Sciences, University of the Witwatersrand, South Africa Christo Auret --- School of Economic & Business Sciences, University of the Witwatersrand, South AfricaThis 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... -
The investment return puzzle on the Johannesburg Stock Exchange
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Pravin Semnarayan --- Gordon Institute of Business Science, University of Pretoria, South Africa Michael Ward --- Gordon Institute of Business Science, University of Pretoria, South Africa Chris Muller --- Gordon Institute of Business Science, University of Pretoria, South AfricaFirms that invest into positive net present value projects should outperform firms that do not invest. Surprisingly, several studies on United States data have found a negative relationship between capital investment and subsequent shareholder return. There are conflicting explanations for... -
Statistical arbitrage on the JSE based on partial co-integration
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: A. J. Hoffman --- , South AfricaEarly forms of statistical arbitrage exploited the mean reversion of a model error extracted from pairs of instruments with a tendency to move together. Pairs trading was extended by Engle and Granger and by Johansen to include several co-integrated instruments... -
Nonlinear dependencies in the Fama and French three-factor model
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Jakub Bandurski --- University of Warsaw, Poland Łukasz Postek --- University of Warsaw, PolandThis article addresses the topic of nonlinear dependencies in the Fama and French three-factor model. Five time-series models, including nonlinear terms, are assessed using US and European data and compared with a benchmark linear model. The analysis found that nonlinear... -
Arbitrage opportunities in no-arbitrage portfolios: The case of Bitcoin and Treasury Bills
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Wing-Keung Wong --- Asia University, Taiwan Zhenzhen Zhu --- School of Statistics and Mathematics, Shandong University of Finance and Economics, China I-Ming Jiang --- College of Management, Yuan Ze University, Taiwan Elie Bouri --- Lebanese American University, LebanonEmploying both mean-variance portfolio optimization and stochastic dominance analysis, we examine whether including Bitcoin and 3-month US Treasury Bills could generate arbitrage opportunities and lead to better investment choices. The results show, independent of whether short sales are allowed, that:...