The cross-section of Johannesburg Securities Exchange listed equity returns (1994-2011)

摘要: Purpose – The aim of this study is to examine the impact technical and fundamental (referred as firm-specific) factors on cross-sectional variation in equity returns Johannesburg Securities Exchange (JSE). Design/methodology/approach To reach objective, follows an empirical research approach. Cross-sectional regression analyses, factor-portfolio analyses multifactor are performed using 50 firm-specific for listed shares over three sample periods during 1994 2011. Findings results suggest that a strong value momentum effect present robust JSE, while size but varies time. Multifactor show collectively significant explaining cross-section returns. imply JSE either not efficient market or current risk models incorrectly specified. Practical implications findings offers practical application...