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Predicting extreme performers on the JSE securities exchange
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2015
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| _version_ | 1867613308502147072 |
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| access_status_str | Open Access |
| author | Kornik, Jonathan |
| author2 | Van Rensburg, Paul |
| author_browse | Kornik, Jonathan Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Kornik, Jonathan |
| author_sort | Kornik, Jonathan |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/11142 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:03.682Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/11142 Predicting extreme performers on the JSE securities exchange Kornik, Jonathan Van Rensburg, Paul Finance Includes bibliographical references. In this context, this thesis builds on the prior literature on extreme performance by Reinganum (1988), Glickman, DiRienzo and Ochman (2001), O'Neil (2002) and Dong, Duan and Jang (2003), where an extreme winner (loser) is a stock which at least doubles (halves) in a twelve month period. The research is conducted on the JSE Securities Exchange over the ten year period from January 1995 until December 2004. The dataset employed contains monthly data for 213 companies listed on this exchange, incorporating 7807 (5397) unique company months of extreme gain (loss). The data are adjusted for look-ahead bias but not survivorship bias. 2015-01-03T05:45:51Z 2015-01-03T05:45:51Z 2006 Master Thesis Masters MCom http://hdl.handle.net/11427/11142 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Finance Kornik, Jonathan Predicting extreme performers on the JSE securities exchange |
| thesis_degree_str | Master's |
| title | Predicting extreme performers on the JSE securities exchange |
| title_full | Predicting extreme performers on the JSE securities exchange |
| title_fullStr | Predicting extreme performers on the JSE securities exchange |
| title_full_unstemmed | Predicting extreme performers on the JSE securities exchange |
| title_short | Predicting extreme performers on the JSE securities exchange |
| title_sort | predicting extreme performers on the jse securities exchange |
| topic | Finance |
| url | http://hdl.handle.net/11427/11142 |
| work_keys_str_mv | AT kornikjonathan predictingextremeperformersonthejsesecuritiesexchange |