“Roland Rousseau and Paul van Renburg, “Time and the Payoff to Value Investing”, (2004), Journal of Asset Management, Vol 4, No 5, 318-325″

Abstract: Using a simulation study methodology it is found that the rewards to value investing become both larger and more reliable as the investor’s holding period lengthens. Value investors appear to be rewarded for time. Evidence is also found of a right skewness in the distributions of returns to value portfolios that becomes more pronounced over longer horizons. This implies that that the rewards to value investing are not distributed evenly across stocks and time. Rather it is a minority of shares over particular periods that constitute the majority of the value effect.

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 […]

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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 […]

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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

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