An Empirical Assessment of Low Volatilty Portfolio Construction Techniques in the South African Environment

Oladele, O.S.; Bradfield, D. J.

doi:10.1080/10800379.2018.12097326

Cited by 3 publications

(1 citation statement)

References 41 publications

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“…Multiple studies offer evidence of the enhanced performance of fundamental indices comprised of U.S. stocks. Furthermore, results appear to be consistent across international markets (see Cai, Jin, Qi, and Xu (2018); Duyvené de Wit, Polakow (2017); Oladele and Bradfield (2018); and Yan and Zhao (2010), among others). The evidence also extends beyond stock indices, as shown by Piljak and Swinkles (2017) in their application of fundamental indexing to bond markets.…”

Section: Literary Researchmentioning

confidence: 74%

An Employment-Weighted Municipal Stock Index

Brune¹,

Files²

2021

IJBM

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State and local officials are often tasked with policy decisions that are influenced by projections of future economic conditions. However, properly assessing and predicting local economic performance is challenging. Common macroeconomic indicators can be helpful, but additional tools are needed. Stock indices have traditionally been used in the investment community to evaluate performance. While a recent surge in fundamental indexing has led to a debate over performance measurement, other uses of fundamental indices have been largely ignored. We introduce an employment-weighted stock index as a supplement to traditional forecasting measures for policymakers at the state and local levels.

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Section: Literary Researchmentioning

confidence: 74%

An Employment-Weighted Municipal Stock Index

Brune¹,

Files²

2021

IJBM

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The low-volatility effect in African frontier equity markets

Steyn,

Gilbert,

Viviers

2024

Investment Analysts Journal

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An Investigation of the Beta Anomaly in Emerging Markets: A South African Case

Segojane

Ndlovu

2022

JRFM

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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.

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An Empirical Assessment of Low Volatilty Portfolio Construction Techniques in the South African Environment

Cited by 3 publications

References 41 publications

An Employment-Weighted Municipal Stock Index

An Employment-Weighted Municipal Stock Index

The low-volatility effect in African frontier equity markets

An Investigation of the Beta Anomaly in Emerging Markets: A South African Case

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