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Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange?
New evidence suggests that share returns are cross-sectionally predictable in that shares which appear to be inexpensive relative to the company's underlying values (value shares), out-perform those shares that are perceived to provide substantial growth in the long run (growth shares). The magnitud...
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| Format: | Thesis |
| Language: | English |
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College of Accounting
2016
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| _version_ | 1867613244639674368 |
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| access_status_str | Open Access |
| author | Graham, Mark |
| author_browse | Graham, Mark |
| author_facet | Graham, Mark |
| author_sort | Graham, Mark |
| collection | Thesis |
| description | New evidence suggests that share returns are cross-sectionally predictable in that shares which appear to be inexpensive relative to the company's underlying values (value shares), out-perform those shares that are perceived to provide substantial growth in the long run (growth shares). The magnitude of the return premium suggests that these returns are induced by factors other than risk or perhaps suggests that our measures of risk are incorrect. There now seems to be little doubt that the new evidence indicates that the cross-section of average returns are predictable and that abnormal returns can be obtained by holding value shares. This is the value-growth phenomenon. The existence of this phenomenon casts doubt on the two major paradigms of modem finance, the Capital Asset Pricing Model and the Efficient Market Hypothesis. There has been limited empirical testing in South Africa as to the existence of this internationally observed phenomenon. This study's objective is to investigate whether or not this value-growth phenomenon exists on the JSE. The study examined monthly excess returns on portfolios of value and growth shares over the period 1987 to 1996. The ratio of a company's market value to its book value of common equity was used as the measure of value and growth. The conclusions of this research study indicate that a value-growth phenomenon does exist on the JSE and that the existence of superior returns by value shares is especially marked in the period post 1992 when South Africa returned to the international financial arena. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/18286 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:04.194Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | College of Accounting |
| publisherStr | College of Accounting |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/18286 Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange? Graham, Mark Financial Management New evidence suggests that share returns are cross-sectionally predictable in that shares which appear to be inexpensive relative to the company's underlying values (value shares), out-perform those shares that are perceived to provide substantial growth in the long run (growth shares). The magnitude of the return premium suggests that these returns are induced by factors other than risk or perhaps suggests that our measures of risk are incorrect. There now seems to be little doubt that the new evidence indicates that the cross-section of average returns are predictable and that abnormal returns can be obtained by holding value shares. This is the value-growth phenomenon. The existence of this phenomenon casts doubt on the two major paradigms of modem finance, the Capital Asset Pricing Model and the Efficient Market Hypothesis. There has been limited empirical testing in South Africa as to the existence of this internationally observed phenomenon. This study's objective is to investigate whether or not this value-growth phenomenon exists on the JSE. The study examined monthly excess returns on portfolios of value and growth shares over the period 1987 to 1996. The ratio of a company's market value to its book value of common equity was used as the measure of value and growth. The conclusions of this research study indicate that a value-growth phenomenon does exist on the JSE and that the existence of superior returns by value shares is especially marked in the period post 1992 when South Africa returned to the international financial arena. 2016-03-28T14:36:00Z 2016-03-28T14:36:00Z 1998 Master Thesis Masters MCom http://hdl.handle.net/11427/18286 eng application/pdf College of Accounting Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Management Graham, Mark Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange? |
| thesis_degree_str | Master's |
| title | Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange? |
| title_full | Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange? |
| title_fullStr | Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange? |
| title_full_unstemmed | Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange? |
| title_short | Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange? |
| title_sort | is there any evidence of a value growth factor on the johannesburg stock exchange |
| topic | Financial Management |
| url | http://hdl.handle.net/11427/18286 |
| work_keys_str_mv | AT grahammark isthereanyevidenceofavaluegrowthfactoronthejohannesburgstockexchange |