Value and small firm premiums in the South African market

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dc.contributor.authorHammar, S
dc.date.accessioned2018-10-25T15:22:55Z
dc.date.available2018-10-25T15:22:55Z
dc.date.issued2014
dc.date.updated2018-10-25T14:38:27Z
dc.description.abstractNumerous studies have identified both value and size effects existing in international markets. Fewer studies have been conducted that document the same effects in the South African market. In this study, portfolios were constructed based on four valuation multiples, as well as market capitalisation from 1999 2012. In this 14-year period it was found that value stocks predominantly outperformed growth stocks when defined by P/E or P/CF. Growth stocks outperformed value stocks when the portfolios were based on P/B and DY. Also, significant evidence of a small firm premium was identified on the JSE, regardless of the valuation multiple. Furthermore, small-cap value stocks generated the highest mean returns over the period. The study identifies the prevalence of these premiums on the JSE, but the comprehensive explanations for these anomalies remain inconclusive.
dc.identifier.apacitationHammar, S. (2014). Value and small firm premiums in the South African market. <i>South African Journal of Business Management</i>, http://hdl.handle.net/11427/28949en_ZA
dc.identifier.chicagocitationHammar, S "Value and small firm premiums in the South African market." <i>South African Journal of Business Management</i> (2014) http://hdl.handle.net/11427/28949en_ZA
dc.identifier.citationHammar, S. (2014). Value and small firms premium in the South African market. South African Journal of Business Management, 45(4), 71-91.
dc.identifier.ris TY - AU - Hammar, S AB - Numerous studies have identified both value and size effects existing in international markets. Fewer studies have been conducted that document the same effects in the South African market. In this study, portfolios were constructed based on four valuation multiples, as well as market capitalisation from 1999 2012. In this 14-year period it was found that value stocks predominantly outperformed growth stocks when defined by P/E or P/CF. Growth stocks outperformed value stocks when the portfolios were based on P/B and DY. Also, significant evidence of a small firm premium was identified on the JSE, regardless of the valuation multiple. Furthermore, small-cap value stocks generated the highest mean returns over the period. The study identifies the prevalence of these premiums on the JSE, but the comprehensive explanations for these anomalies remain inconclusive. DA - 2014 DB - OpenUCT DP - University of Cape Town J1 - South African Journal of Business Management LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Value and small firm premiums in the South African market TI - Value and small firm premiums in the South African market UR - http://hdl.handle.net/11427/28949 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/28949
dc.identifier.vancouvercitationHammar S. Value and small firm premiums in the South African market. South African Journal of Business Management. 2014; http://hdl.handle.net/11427/28949.en_ZA
dc.language.isoeng
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.sourceSouth African Journal of Business Management
dc.source.urihttps://sajbm.org/index.php/sajbm
dc.titleValue and small firm premiums in the South African market
dc.typeJournal Article
uct.type.filetypeText
uct.type.filetypeImage
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