Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange?

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dc.contributor.authorGraham, Marken_ZA
dc.date.accessioned2016-03-28T14:36:00Z
dc.date.available2016-03-28T14:36:00Z
dc.date.issued1998en_ZA
dc.description.abstractNew evidence suggests that share returns are cross-sectionally predictable in that shares which appear to be inexpensive relative to the company's underlying values (value shares), out-perform those shares that are perceived to provide substantial growth in the long run (growth shares). The magnitude of the return premium suggests that these returns are induced by factors other than risk or perhaps suggests that our measures of risk are incorrect. There now seems to be little doubt that the new evidence indicates that the cross-section of average returns are predictable and that abnormal returns can be obtained by holding value shares. This is the value-growth phenomenon. The existence of this phenomenon casts doubt on the two major paradigms of modem finance, the Capital Asset Pricing Model and the Efficient Market Hypothesis. There has been limited empirical testing in South Africa as to the existence of this internationally observed phenomenon. This study's objective is to investigate whether or not this value-growth phenomenon exists on the JSE. The study examined monthly excess returns on portfolios of value and growth shares over the period 1987 to 1996. The ratio of a company's market value to its book value of common equity was used as the measure of value and growth. The conclusions of this research study indicate that a value-growth phenomenon does exist on the JSE and that the existence of superior returns by value shares is especially marked in the period post 1992 when South Africa returned to the international financial arena.en_ZA
dc.identifier.apacitationGraham, M. (1998). <i>Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange?</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,College of Accounting. Retrieved from http://hdl.handle.net/11427/18286en_ZA
dc.identifier.chicagocitationGraham, Mark. <i>"Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange?."</i> Thesis., University of Cape Town ,Faculty of Commerce ,College of Accounting, 1998. http://hdl.handle.net/11427/18286en_ZA
dc.identifier.citationGraham, M. 1998. Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange?. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Graham, Mark AB - New evidence suggests that share returns are cross-sectionally predictable in that shares which appear to be inexpensive relative to the company's underlying values (value shares), out-perform those shares that are perceived to provide substantial growth in the long run (growth shares). The magnitude of the return premium suggests that these returns are induced by factors other than risk or perhaps suggests that our measures of risk are incorrect. There now seems to be little doubt that the new evidence indicates that the cross-section of average returns are predictable and that abnormal returns can be obtained by holding value shares. This is the value-growth phenomenon. The existence of this phenomenon casts doubt on the two major paradigms of modem finance, the Capital Asset Pricing Model and the Efficient Market Hypothesis. There has been limited empirical testing in South Africa as to the existence of this internationally observed phenomenon. This study's objective is to investigate whether or not this value-growth phenomenon exists on the JSE. The study examined monthly excess returns on portfolios of value and growth shares over the period 1987 to 1996. The ratio of a company's market value to its book value of common equity was used as the measure of value and growth. The conclusions of this research study indicate that a value-growth phenomenon does exist on the JSE and that the existence of superior returns by value shares is especially marked in the period post 1992 when South Africa returned to the international financial arena. DA - 1998 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 1998 T1 - Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange? TI - Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange? UR - http://hdl.handle.net/11427/18286 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/18286
dc.identifier.vancouvercitationGraham M. Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange?. [Thesis]. University of Cape Town ,Faculty of Commerce ,College of Accounting, 1998 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/18286en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentCollege of Accountingen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Managementen_ZA
dc.titleIs there any evidence of a value-growth factor on the Johannesburg Stock Exchange?en_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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