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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... -
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 • Authors: Daniel Page --- Finance Division, School of Economic & Business Sciences, South Africa Christo Auret --- Finance Division, School of Economic & Business Sciences, South AfricaSouth 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, &... -
Idiosyncratic momentum on the JSE
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Daniel Page --- , South Africa David McClelland --- , South Africa Christo Auret --- , South AfricaIdiosyncratic momentum, like price momentum, is a trading strategy that considers a share’s recent relative performance over the short to medium term. Idiosyncratic momentum differs from price momentum as it uses residual returns post-orthogonalization on a single or multi-factor asset... -
Idiosyncratic food preferences of children with autism spectrum disorder in England
Item type: Journal Article • Journal: South African Journal of Clinical Nutrition • Authors: Leanie Huxham --- , South Africa Maritha Marais --- , South Africa Evette van Niekerk --- , South AfricaObjectives: To obtain a better understanding of feeding difficulties experienced by children with autism spectrum disorder (ASD). -
Does board diversity influence idiosyncratic risk: Empirical evidence from Chinese listed firms
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Furman Ali --- School of Finance, Southwestern University of Finance and Economics, China Muhammad Awais Khan --- Research Institute of Economics and Management, Southwestern University of Finance and Economics, China Zohaib Zahid --- Jiangsu University, China Khadim Hussain --- College of Economics, Shenzhen University, ChinaThis study examines the relationship between board diversity, measured as cognitive (tenure, expertise, and education) and demographic (age, gender, and nationality) diversities, and idiosyncratic risk for 2000 Chinese non-financial firms from 2008 to 2020. This study highlights that cognitive board... -
Can good ESG performance help companies resist external shocks?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Xin Yang --- Nanfang College, China Ahmad Fahmi Sheikh Hassan --- Universiti Putra Malaysia, Malaysia Yusuf Karbhari --- Cardiff University, UKIn order to validate the varied conclusions regarding the integration of corporate ESG practices by investors during external shocks, this study utilises the COVID-19 crisis as a specific external shock. The findings from our difference-in-differences methodology suggest that companies demonstrating...