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

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorVan Heerden, Jakobus Daniëlen_ZA
dc.date.accessioned2014-11-11T07:02:52Z
dc.date.available2014-11-11T07:02:52Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThe 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.identifier.apacitationVan 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/11427/9543en_ZA
dc.identifier.chicagocitationVan 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/11427/9543en_ZA
dc.identifier.citationVan 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.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
dc.identifier.urihttp://hdl.handle.net/11427/9543
dc.identifier.vancouvercitationVan 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/11427/9543en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.titleThe impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returnsen_ZA
dc.typeDoctoral Thesis
dc.type.qualificationlevelDoctoral
dc.type.qualificationnamePhDen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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