The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns

 

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dc.contributor.advisor Van Rensburg, Paul en_ZA
dc.contributor.author Van Heerden, Jakobus Daniël en_ZA
dc.date.accessioned 2014-11-11T07:02:52Z
dc.date.available 2014-11-11T07:02:52Z
dc.date.issued 2014 en_ZA
dc.identifier.citation Van Heerden, J. 2014. The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/9543
dc.description Includes bibliographical references. en_ZA
dc.description.abstract The aim of this study is to examine the impact of technical and fundamental (referred to as firm-specific) factors on the cross-sectional variation in equity returns on the Johannesburg Securities Exchange (JSE). Three approaches to address this objective were identified through an extensive literature study covering more than half a century’s research, namely a cross-sectional regression approach, a factor portfolio approach and an extreme performer approach. All three approaches are applied in this study, allowing for comparison and robustness- tests to be performed on the JSE for the first time. In addition to factors identified through the literature review, factors that make economic sense from a South African point of view have also been included in the dataset, resulting in a total of fifty firm-specific factors to be examined. A fresh data set was created by collecting monthly data through numerous data sources on all shares listed on the JSE for the period January 1994 through May 2011, for these factors. The seventeen and a half year period is the longest period used to date (to the author’s knowledge) for the kind of research conducted in this thesis. Furthermore, the data has been prepared to correct for potential statistical biases that may affect the results, including data snooping, infrequent trading, survivorship bias, look-ahead bias and outliers. This lengthy period further allows for the formation of two independent subsamples, each covering a full investment cycle, enabling in- and out of- sample empirical research and testing to be conducted on the JSE for the first time. en_ZA
dc.language.iso eng en_ZA
dc.title The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns en_ZA
dc.type Doctoral Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Department of Finance and Tax en_ZA
dc.type.qualificationlevel Doctoral
dc.type.qualificationname PhD en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Van Heerden, J. D. (2014). <i>The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/9543 en_ZA
dc.identifier.chicagocitation Van Heerden, Jakobus Daniël. <i>"The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2014. http://hdl.handle.net/11427/9543 en_ZA
dc.identifier.vancouvercitation Van Heerden JD. The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/9543 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Van Heerden, Jakobus Daniël AB - The aim of this study is to examine the impact of technical and fundamental (referred to as firm-specific) factors on the cross-sectional variation in equity returns on the Johannesburg Securities Exchange (JSE). Three approaches to address this objective were identified through an extensive literature study covering more than half a century’s research, namely a cross-sectional regression approach, a factor portfolio approach and an extreme performer approach. All three approaches are applied in this study, allowing for comparison and robustness- tests to be performed on the JSE for the first time. In addition to factors identified through the literature review, factors that make economic sense from a South African point of view have also been included in the dataset, resulting in a total of fifty firm-specific factors to be examined. A fresh data set was created by collecting monthly data through numerous data sources on all shares listed on the JSE for the period January 1994 through May 2011, for these factors. The seventeen and a half year period is the longest period used to date (to the author’s knowledge) for the kind of research conducted in this thesis. Furthermore, the data has been prepared to correct for potential statistical biases that may affect the results, including data snooping, infrequent trading, survivorship bias, look-ahead bias and outliers. This lengthy period further allows for the formation of two independent subsamples, each covering a full investment cycle, enabling in- and out of- sample empirical research and testing to be conducted on the JSE for the first time. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns TI - The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns UR - http://hdl.handle.net/11427/9543 ER - en_ZA


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