“van Rensburg P and M Robertson (2003), “Size, PE, Beta and JSE returns”, Investment Analysts Journal, vol 58, 1-11″

Abstract: Using a technique similar to Fama and French (1992), simulated portfolios are constructed in each month from July 1990 to June 2000 by ranking stocks on their market capitalisation, price-to-earnings rations and betas. The selection of these factors is based on a prior exploratory study (van Rensburg and Robertson, 2003). It is found that the size and price-to-earnings effects are not proxies for the underlying influence of beta. Using two way sorts it is found that these effects also operate independently of each other. A mild negative relation is found between beta and the cross section of returns! The results of this study present a strong challenge to covariance based models of asset pricing on the JSE.

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 […]

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 […]

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