“van Rensburg P (2004), “Explaining the cross-section of returns in South Africa: attributes or factor loadings?”, Journal of Asset Management, Vol 4, No 5, 334-347″

Abstract: This study extends the analysis of Daniel and Titman (1997) and Daniel, Titman and Wei (2001) to the Johannesburg Securities Exchange (JSE) and reconsiders the theoretical interpretation of this branch of research. The empirical results, which are also presented graphically, are consistent with the interpretation that the asset pricing relationship on the JSE is better specified using attribute values rather than factor loadings. The theoretical reconsideration points out that this finding is insufficient to distinguish between a risk-based and non-risk-based explanation of the cross-section of returns as has been ‘debated’ in previous research. More precisely, it performs the task of identifying the form of the more appropriate form of asset pricing model specification.

Research Papers

The inflation hedging properties of South African and international asset classes

ABSTRACT Within the period 1965 to 2015 all domestic asset class returns (except cash) are found to exhibit negative correlations with the contemporaneous inflation rate. Cash has hedging qualities due to Reserve Bank inflation targeting policy action but has a low real yield. Furthermore, Engle-Granger cointegration tests show that none of the asset class prices […]

Read More
Diversification and the realised volatility of equity portfolios

ABSTRACT In Markowitz’s (1952) portfolio theory, a reduction in volatility for a given level of expected return is implied as being equivalent to an increase in diversification. The recent development of risk-based portfolio construction methods, which emphasise diversification separately from volatility reduction, challenges this equivalence. Using a point-in-time database of liquid equities listed on the […]

Read More
Common Firm-specific characteristics of extreme performers on the Johannesburg Securities Exchange

ABSTRACT In this study we investigate the common firm-specific factors associated with shares that experience extreme monthly performance on the Johannesburg Securities Exchange. READ MORE

Read More
PAIA Manual