A decomposition of style-based risk on the JSE

Rensburg, Paul van

doi:10.1080/10293523.2001.11082431

Cited by 50 publications

(23 citation statements)

References 51 publications

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“…Van Rensburg and Robertson (2003), using dividend adjusted monthly JSE data from the BARRA organisation between 1990 and 2000, re-examine more or less the same style strategies as van Rensburg (2001) but use individual share level characteristics. Using the standard cross-sectional regression procedure (Fama and Macbeth, 1973) and a multifactor model, they find only two significant styles: size and price to earnings.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Van Rensburg (2001), using dividend adjusted monthly return data from industrial shares on the JSE between * Gordon Institute of Business Science, University of Pretoria, Pretoria 0002, Republic of South Africa. Email: mchlwrd@gmail.com; chrism@iafrica.com 1983 and 1999, examines more than 20 style strategies using a portfolio approach, and finds eleven of these to be statistically significant after adjusting for risk.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Return on Capital As a measure of accounting return to both debt and equity providers we use the INET FAS code PF43 (Return on Capital Employed) ((van Rensburg, 2001) and (Muller, 1999)). Typically, momentum is ascribed to the short term effect of shares which have exhibited strong returns over the last 12 months (say), continuing with good returns over the short term (one or two months).…”

Section: Financial Ratio Based Stylesmentioning

confidence: 99%

See 2 more Smart Citations

Style-Based Effects on the Johannesburg Stock Exchange: A Graphical Time-Series Approach

Müller

Ward

2012

SSRN Journal

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Financial Ratio Based Stylesmentioning

confidence: 99%

See 1 more Smart Citation

Style-Based Effects on the Johannesburg Stock Exchange: A Graphical Time-Series Approach

Müller

Ward

2012

SSRN Journal

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“…Different benchmarks have been used in other studies, for example a standard market model (Kaul, Mehrotra, & Morck, 2000;Chen, Noronha, & Singal, 2004;Shankar & Miller, 2006) and a capital asset pricing model (CAPM) (Amihud & Mendelson, 1986;Elliot, Van Ness, Walker, & Wan, 2006;Shankar & Miller, 2006). These benchmarks have been shown to be inadequate -the CAPM, in particular, fails to account for expected returns on the basis of company size, as well as growth versus value (Fama & French, 1992;1993;1996;1998) and resource versus non-resource shares -which is relevant especially in the South African context (Van Rensburg 2001;Van Rensburg & Robertson 2003a, 2003b. A 12-parameter-style model to estimate benchmark returns was therefore used in this study.…”

Section: Methodsmentioning

confidence: 99%

Market reaction to tender and private offers on the JSE

Wesson

Müller

Ward

2017

SAJBM

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Investors can benefit when incorporating the information-signalling effect of share repurchases in their investment strategies. Previous South African studies on open market share repurchases confirmed the globally observed signallingeffect, but found open market share repurchases not to be the outright favoured share repurchase type in this country -as is the case globally. The present study is the first to examine the market reaction to the preferred share repurchase type, namely specific (or tender and private offers) share repurchases, in the South African regulatory environment. Abnormal returns were calculated using a 12-parameter benchmark over a four-year event window, for share repurchases announced from 1999 to 2009. Pro rata tender offers were found not to possess information-signalling benefits, but significant excess returns subsequent to the announcement date were reported for the two private offer types (namely other specific offers and the repurchase by the holding company of shares held by subsidiaries). The other specific offers were found to possess significant information-signalling benefits -especially over the long term and in respect of value companies.

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“…During the past three decades many academic studies have found evidence supporting the premise that value investing outperforms growth inv esting over the longer term -both internationally (see for example Basu, 1983;Fama & French, 1992;Lakonishok, Shleifer & Vishny, 1994;Fama & French, 1998) and in South Africa (see for example Fraser & Page, 2000;Van Rensburg, 2001;Van Rensburg & Robertson, 2003;Basciewitz & Auret, 2009;Strugnell, Gilbert & Kruger, 2011 ;Hoffman, 2012). However, value investing does not outperform growth investing on a consistent basis.…”

Section: Introductionmentioning

confidence: 99%

The price-to-book effect on the JSE: Valuation disparities and subsequent performance

Toit

Krige

2014

SAJBM

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The purpose of this study was to determine whether the relative out-or underperformance of a value portfolio versus a growth portfolio can be anticipated in advance by comparing a valuation difference multiple with the subsequent fiveyear relative performance of the value and growth portfolios. The valuation difference multiple was calculated as the median price-to-book value (P/B) ratio of the growth portfolio divided by the median P/B ratio of the value portfolio. Using monthly data for the period 1991 to 2011, this study found that in most instances the higher the valuation difference multiple, the higher the outperformance of the value portfolio over the subsequent five-year period, as compared to the growth portfolio.

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A decomposition of style-based risk on the JSE

Cited by 50 publications

References 51 publications

Style-Based Effects on the Johannesburg Stock Exchange: A Graphical Time-Series Approach

Style-Based Effects on the Johannesburg Stock Exchange: A Graphical Time-Series Approach

Market reaction to tender and private offers on the JSE

The price-to-book effect on the JSE: Valuation disparities and subsequent performance

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