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The performance of value versus growth stocks on the JSE during and post the financial crisis
The value-growth investment style is a popular strategy for obtaining abnormal returns. However, limited research has been done on how value and growth stocks perform during periods of economic downturn, particularly in emerging economies. The 2008 financial crisis has been named one of the worst re...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2019
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| _version_ | 1867613167127887872 |
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| access_status_str | Open Access |
| author | Mukandi, Joyce |
| author2 | Rajaratnam, Kanshukan |
| author_browse | Mukandi, Joyce Rajaratnam, Kanshukan |
| author_facet | Rajaratnam, Kanshukan Mukandi, Joyce |
| author_sort | Mukandi, Joyce |
| collection | Thesis |
| description | The value-growth investment style is a popular strategy for obtaining abnormal returns. However, limited research has been done on how value and growth stocks perform during periods of economic downturn, particularly in emerging economies. The 2008 financial crisis has been named one of the worst recessions. By the end of February 2009, it accounted for a destruction of equity worth $29 trillion worldwide. This study focused on the performance of value versus growth stocks on the Johannesburg Stock Exchange (JSE), during and post the financial crisis period. This was done by evaluating the general performance of value versus growth stocks and the performance of these stocks based on market size. Value stocks were defined as those constituting the lowest 30% Price to Book ratios on the JSE All Shares Index (ALSI). On the other hand, growth stocks comprised of shares with the highest 30% Price to Book ratios. The stocks were further divided by market capitalisation (cap) using the ALSI Top 40 (Large cap), Medium cap and Small cap indices. A one year holding period was used such that portfolios were reconstructed annually using the relevant ALSI constituents. Total Returns were used in the analysis in order to capture the contribution of both capital gains and dividend income. The results from Student’s t-test and the Mann-Whitney U test showed that there were no statistical significant differences between value and growth stocks returns on the JSE during the financial crisis period. Despite this, the trend implied that value stocks outperform growth stocks, but investing in the JSE ALSI produces relatively higher returns than value and growth stocks during crisis periods. This is useful to investors since small percentage differences may amount to significant monetary values. On the other hand, post the financial crisis period, overall return differences showed that growth stocks performed better than value stocks and the market. However, the results were statistically significant in only one of the three years. The study also found that the analysis of value versus growth stocks by size provides further explanations on their annual performance. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/29727 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:50.330Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| 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:11427/29727 The performance of value versus growth stocks on the JSE during and post the financial crisis Mukandi, Joyce Rajaratnam, Kanshukan Finance, Investment Management The value-growth investment style is a popular strategy for obtaining abnormal returns. However, limited research has been done on how value and growth stocks perform during periods of economic downturn, particularly in emerging economies. The 2008 financial crisis has been named one of the worst recessions. By the end of February 2009, it accounted for a destruction of equity worth $29 trillion worldwide. This study focused on the performance of value versus growth stocks on the Johannesburg Stock Exchange (JSE), during and post the financial crisis period. This was done by evaluating the general performance of value versus growth stocks and the performance of these stocks based on market size. Value stocks were defined as those constituting the lowest 30% Price to Book ratios on the JSE All Shares Index (ALSI). On the other hand, growth stocks comprised of shares with the highest 30% Price to Book ratios. The stocks were further divided by market capitalisation (cap) using the ALSI Top 40 (Large cap), Medium cap and Small cap indices. A one year holding period was used such that portfolios were reconstructed annually using the relevant ALSI constituents. Total Returns were used in the analysis in order to capture the contribution of both capital gains and dividend income. The results from Student’s t-test and the Mann-Whitney U test showed that there were no statistical significant differences between value and growth stocks returns on the JSE during the financial crisis period. Despite this, the trend implied that value stocks outperform growth stocks, but investing in the JSE ALSI produces relatively higher returns than value and growth stocks during crisis periods. This is useful to investors since small percentage differences may amount to significant monetary values. On the other hand, post the financial crisis period, overall return differences showed that growth stocks performed better than value stocks and the market. However, the results were statistically significant in only one of the three years. The study also found that the analysis of value versus growth stocks by size provides further explanations on their annual performance. 2019-02-22T10:05:38Z 2019-02-22T10:05:38Z 2018 2019-02-22T09:25:30Z Master Thesis Masters MCom http://hdl.handle.net/11427/29727 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Finance, Investment Management Mukandi, Joyce The performance of value versus growth stocks on the JSE during and post the financial crisis |
| thesis_degree_str | Master's |
| title | The performance of value versus growth stocks on the JSE during and post the financial crisis |
| title_full | The performance of value versus growth stocks on the JSE during and post the financial crisis |
| title_fullStr | The performance of value versus growth stocks on the JSE during and post the financial crisis |
| title_full_unstemmed | The performance of value versus growth stocks on the JSE during and post the financial crisis |
| title_short | The performance of value versus growth stocks on the JSE during and post the financial crisis |
| title_sort | performance of value versus growth stocks on the jse during and post the financial crisis |
| topic | Finance, Investment Management |
| url | http://hdl.handle.net/11427/29727 |
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