Search
Search results for
We found
4 results for you
-
The role of South African property in balanced portfolios
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: David Bradfield --- Department of Statistical Sciences, South Africa Yashin Gopi --- Head of Quantitative Research, South Africa Joan Tshivhinda --- Quantitative Analyst, South AfricaThe overriding objective of this paper is to establish the features that South African property brings to a balanced portfolio – and importantly to give insight into a strategic investment weight for this asset class. We acknowledge that listed and... -
The Distribution Properties of the Financial Ratios of Listed South African Industrial Companies: 1980–1989
Item type: Journal Article • Journal: De Ratione • Authors: W R Muil --- University of Stellenbosch, W D Hamman --- University of Stellenbosch, E vd M Smit --- University of Stellenbosch,Financial ratios are widely used tools in financial statement analysis, where often the assumption of normality in the ratio distributions has to be made. The article examines the distributions of nine financial ratios for listed South African industrial companies over... -
Higher moments and industry momentum returns
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Xiaoyue Chen --- , Australia Bin Li --- , Australia Andrew C. Worthington --- , AustraliaMotivated by the demonstrated profitability of industry momentum strategies and the established explanatory power of higher moments for momentum returns at the firm level, we investigate the relation between higher moments and industry momentum returns. We use January 1970 to... -
The MAX puzzle in a frontier market before and during the Covid-19 pandemic
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Khoa Dang Duong --- Ton Duc Thang University, Vietnam Man Minh Tran --- Ton Duc Thang University, Vietnam Qui Nhat Nguyen --- Portfolio Management, Vietnam Hoa Thanh Phan Le --- Van Lang University, VietnamThis study analyses the MAX anomaly in a frontier market before and during the Covid19 pandemic. Our sample has 39,673 firm-month observations of non-financial firms in Vietnam from 2008 to 2021. Using the Carhart four-factor model augmented with MAX anomaly,...