An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange
| dc.contributor.advisor | Huang, Chun-Sung | |
| dc.contributor.author | Harrisberg, Richard | |
| dc.date.accessioned | 2020-04-30T08:07:24Z | |
| dc.date.available | 2020-04-30T08:07:24Z | |
| dc.date.issued | 2019 | |
| dc.date.updated | 2020-04-30T07:08:42Z | |
| dc.description.abstract | The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addition to other fundamental factors impacting expected returns. It is found that the low-volatility anomaly is present on the JSE and that using a number of different risk metrics does not significantly change where a stock is ranked on the risk spectrum. Additionally, including an interest rate exposure factor, a value factor and a momentum factor lowers the unexpected portion (Alpha) of the returns of low volatility stocks, at the same time as narrowing the gap between the unexpected performance of the lowest and highest volatility stocks. | |
| dc.identifier.apacitation | Harrisberg, R. (2019). <i>An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange</i>. (). ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from | en_ZA |
| dc.identifier.chicagocitation | Harrisberg, Richard. <i>"An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange."</i> ., ,Faculty of Commerce ,Department of Finance and Tax, 2019. | en_ZA |
| dc.identifier.citation | Harrisberg, R. 2019. An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange. . ,Faculty of Commerce ,Department of Finance and Tax. | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Harrisberg, Richard AB - The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addition to other fundamental factors impacting expected returns. It is found that the low-volatility anomaly is present on the JSE and that using a number of different risk metrics does not significantly change where a stock is ranked on the risk spectrum. Additionally, including an interest rate exposure factor, a value factor and a momentum factor lowers the unexpected portion (Alpha) of the returns of low volatility stocks, at the same time as narrowing the gap between the unexpected performance of the lowest and highest volatility stocks. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - Volatility KW - Alpha KW - Expected Returns KW - JSE KW - Beta KW - CAPM KW - GARCH KW - VaR LK - https://open.uct.ac.za PY - 2019 T1 - An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange TI - An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange UR - ER - | en_ZA |
| dc.identifier.uri | https://hdl.handle.net/11427/31727 | |
| dc.identifier.vancouvercitation | Harrisberg R. An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange. []. ,Faculty of Commerce ,Department of Finance and Tax, 2019 [cited yyyy month dd]. Available from: | en_ZA |
| dc.language.rfc3066 | eng | |
| dc.publisher.department | Department of Finance and Tax | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.subject | Volatility | |
| dc.subject | Alpha | |
| dc.subject | Expected Returns | |
| dc.subject | JSE | |
| dc.subject | Beta | |
| dc.subject | CAPM | |
| dc.subject | GARCH | |
| dc.subject | VaR | |
| dc.title | An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MCom |