An Investigation of the Beta Anomaly in Emerging Markets: A South African Case
| dc.contributor.author | Segojane, Mabekebeke | |
| dc.contributor.author | Ndlovu, Godfrey | |
| dc.date.accessioned | 2022-07-21T09:46:49Z | |
| dc.date.available | 2022-07-21T09:46:49Z | |
| dc.date.issued | 2022-05-08 | |
| dc.date.updated | 2022-05-27T13:36:49Z | |
| dc.description.abstract | High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These results (referred to as the low-beta anomaly) run counter to theoretical expectations. This paper examines the beta anomaly in one of the largest emerging markets in Africa, the Johannesburg Stock Exchange (JSE). It employs both time-series and cross-sectional econometric techniques to analyze the risk–return relationship implied by the CAPM, using data that span over 5 years and 220 companies. To check for robustness, the analysis period was extended to 10 years, and we also applied the Fama–French three-factor model. The findings suggest the existence of the beta anomaly and a negatively sloped SML, indicating that beta is not the only determinant of risk in the South African stock market. We also found positive beta–idiosyncratic volatility (IVOL) correlations. However, after controlling for IVOL and the adverse effects of COVID-19 for an extended study period, the beta anomaly disappeared. | en_US |
| dc.identifier | doi: 10.3390/jrfm15050214 | |
| dc.identifier.apacitation | Segojane, M., & Ndlovu, G. (2022). An Investigation of the Beta Anomaly in Emerging Markets: A South African Case. <i>Journal of Risk and Financial Management</i>, 15(5), 214. http://hdl.handle.net/11427/36652 | en_ZA |
| dc.identifier.chicagocitation | Segojane, Mabekebeke, and Godfrey Ndlovu "An Investigation of the Beta Anomaly in Emerging Markets: A South African Case." <i>Journal of Risk and Financial Management</i> 15, 5. (2022): 214. http://hdl.handle.net/11427/36652 | en_ZA |
| dc.identifier.citation | Segojane, M. & Ndlovu, G. 2022. An Investigation of the Beta Anomaly in Emerging Markets: A South African Case. <i>Journal of Risk and Financial Management.</i> 15(5):214. http://hdl.handle.net/11427/36652 | en_ZA |
| dc.identifier.ris | TY - Journal Article AU - Segojane, Mabekebeke AU - Ndlovu, Godfrey AB - High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These results (referred to as the low-beta anomaly) run counter to theoretical expectations. This paper examines the beta anomaly in one of the largest emerging markets in Africa, the Johannesburg Stock Exchange (JSE). It employs both time-series and cross-sectional econometric techniques to analyze the risk–return relationship implied by the CAPM, using data that span over 5 years and 220 companies. To check for robustness, the analysis period was extended to 10 years, and we also applied the Fama–French three-factor model. The findings suggest the existence of the beta anomaly and a negatively sloped SML, indicating that beta is not the only determinant of risk in the South African stock market. We also found positive beta–idiosyncratic volatility (IVOL) correlations. However, after controlling for IVOL and the adverse effects of COVID-19 for an extended study period, the beta anomaly disappeared. DA - 2022-05-08 DB - OpenUCT DP - University of Cape Town IS - 5 J1 - Journal of Risk and Financial Management LK - https://open.uct.ac.za PY - 2022 T1 - An Investigation of the Beta Anomaly in Emerging Markets: A South African Case TI - An Investigation of the Beta Anomaly in Emerging Markets: A South African Case UR - http://hdl.handle.net/11427/36652 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/36652 | |
| dc.identifier.vancouvercitation | Segojane M, Ndlovu G. An Investigation of the Beta Anomaly in Emerging Markets: A South African Case. Journal of Risk and Financial Management. 2022;15(5):214. http://hdl.handle.net/11427/36652. | en_ZA |
| dc.language.iso | en | en_US |
| dc.publisher.department | School of Economics | en_US |
| dc.publisher.faculty | Faculty of Commerce | en_US |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | en_US |
| dc.source | Journal of Risk and Financial Management | en_US |
| dc.source.journalissue | 5 | en_US |
| dc.source.journalvolume | 15 | en_US |
| dc.source.pagination | 214 | en_US |
| dc.source.uri | https://www.mdpi.com/journal/jrfm | |
| dc.source.uri | https://www.mdpi.com/journal/jrfm | |
| dc.title | An Investigation of the Beta Anomaly in Emerging Markets: A South African Case | en_US |
| dc.type | Journal Article | en_US |