Cyclicality of size, value, and momentum on the Johannesburg Stock Exchange
Author:
Affiliation:
1. Faculty of Economic and Management Sciences, University of the Western Cape, Cape Town, South Africa
2. Asset Management, MiPlan Asset Management, Cape Town, South Africa
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/03796205.2021.1978857
Reference37 articles.
1. Do the value, size and January effects exist on the JSE?
2. The relationship between return and market value of common stocks
3. Value and size investment strategies during the global financial crisis: evidence from the South African equity market
4. Feasibility of the Fama and French three factor model in explaining returns on the JSE
5. INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE-EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS
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