Understanding the low volatility anomaly in the South African equity market

dc.contributor.advisorBradfield, Den_ZA
dc.contributor.authorKhuzwayo, Bhekinkosien_ZA
dc.date.accessioned2016-07-08T10:40:37Z
dc.date.available2016-07-08T10:40:37Z
dc.date.issued2015en_ZA
dc.description.abstractThe Capital Asset Pricing Model (CAPM) advocates that expected return has a linear proportional relationship with beta (and subsequently volatility). As such, the higher the systematic risk of a security the higher the CAPM expected return. However, empirical results have hardly supported this view as argued as early as Black (1972). Instead, an anomaly has been evidenced across a multitude of developed and emerging markets, where portfolios constructed to have lower volatility have outperformed their higher volatility counterparts as found by Baker and Haugen (2012). This result has been found to exist in most Equity markets globally. In the South African market the studies of Khuzwayo (2011), Panulo (2014) and Oladele (2014) focused on establishing whether low volatility portfolios had outperformed market-cap weighted portfolios in the South African market. While they found this to be the case, it is important to understand if this is truly an anomaly or just a result of prevailing market conditions that have rewarded lower volatility stocks over the back-test period. As such, those conditions might not exist in the future and low volatility portfolios might then underperform. This research does not aim to show, yet again, the existence of this 'anomaly'; instead the aim is to dissect if there is any theoretical backing for low volatility portfolios to outperform high volatility portfolios. If this can be uncovered, then it should help one understand if the 'anomaly' truly exists and also if it can be expected to continue into the future.en_ZA
dc.identifier.apacitationKhuzwayo, B. (2015). <i>Understanding the low volatility anomaly in the South African equity market</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/20256en_ZA
dc.identifier.chicagocitationKhuzwayo, Bhekinkosi. <i>"Understanding the low volatility anomaly in the South African equity market."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2015. http://hdl.handle.net/11427/20256en_ZA
dc.identifier.citationKhuzwayo, B. 2015. Understanding the low volatility anomaly in the South African equity market. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Khuzwayo, Bhekinkosi AB - The Capital Asset Pricing Model (CAPM) advocates that expected return has a linear proportional relationship with beta (and subsequently volatility). As such, the higher the systematic risk of a security the higher the CAPM expected return. However, empirical results have hardly supported this view as argued as early as Black (1972). Instead, an anomaly has been evidenced across a multitude of developed and emerging markets, where portfolios constructed to have lower volatility have outperformed their higher volatility counterparts as found by Baker and Haugen (2012). This result has been found to exist in most Equity markets globally. In the South African market the studies of Khuzwayo (2011), Panulo (2014) and Oladele (2014) focused on establishing whether low volatility portfolios had outperformed market-cap weighted portfolios in the South African market. While they found this to be the case, it is important to understand if this is truly an anomaly or just a result of prevailing market conditions that have rewarded lower volatility stocks over the back-test period. As such, those conditions might not exist in the future and low volatility portfolios might then underperform. This research does not aim to show, yet again, the existence of this 'anomaly'; instead the aim is to dissect if there is any theoretical backing for low volatility portfolios to outperform high volatility portfolios. If this can be uncovered, then it should help one understand if the 'anomaly' truly exists and also if it can be expected to continue into the future. DA - 2015 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2015 T1 - Understanding the low volatility anomaly in the South African equity market TI - Understanding the low volatility anomaly in the South African equity market UR - http://hdl.handle.net/11427/20256 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/20256
dc.identifier.vancouvercitationKhuzwayo B. Understanding the low volatility anomaly in the South African equity market. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2015 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/20256en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherStatistics (Operations Research)en_ZA
dc.titleUnderstanding the low volatility anomaly in the South African equity marketen_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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