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The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns
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
2014
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| _version_ | 1867613290880827392 |
|---|---|
| access_status_str | Open Access |
| author | Van Heerden, Jakobus Daniël |
| author2 | Van Rensburg, Paul |
| author_browse | Van Heerden, Jakobus Daniël Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Van Heerden, Jakobus Daniël |
| author_sort | Van Heerden, Jakobus Daniël |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/9543 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:48.261Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| 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:11427/9543 The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns Van Heerden, Jakobus Daniël Van Rensburg, Paul Includes bibliographical references. The aim of this study is to examine the impact of technical and fundamental (referred to as firm-specific) factors on the cross-sectional variation in equity returns on the Johannesburg Securities Exchange (JSE). Three approaches to address this objective were identified through an extensive literature study covering more than half a century’s research, namely a cross-sectional regression approach, a factor portfolio approach and an extreme performer approach. All three approaches are applied in this study, allowing for comparison and robustness- tests to be performed on the JSE for the first time. In addition to factors identified through the literature review, factors that make economic sense from a South African point of view have also been included in the dataset, resulting in a total of fifty firm-specific factors to be examined. A fresh data set was created by collecting monthly data through numerous data sources on all shares listed on the JSE for the period January 1994 through May 2011, for these factors. The seventeen and a half year period is the longest period used to date (to the author’s knowledge) for the kind of research conducted in this thesis. Furthermore, the data has been prepared to correct for potential statistical biases that may affect the results, including data snooping, infrequent trading, survivorship bias, look-ahead bias and outliers. This lengthy period further allows for the formation of two independent subsamples, each covering a full investment cycle, enabling in- and out of- sample empirical research and testing to be conducted on the JSE for the first time. 2014-11-11T07:02:52Z 2014-11-11T07:02:52Z 2014 Doctoral Thesis Doctoral PhD http://hdl.handle.net/11427/9543 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Van Heerden, Jakobus Daniël The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns |
| thesis_degree_str | Doctoral |
| title | The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns |
| title_full | The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns |
| title_fullStr | The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns |
| title_full_unstemmed | The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns |
| title_short | The impact of firm-specific factors on the cross- sectional variation in Johannesburg security exchange listed equity returns |
| title_sort | impact of firm specific factors on the cross sectional variation in johannesburg security exchange listed equity returns |
| url | http://hdl.handle.net/11427/9543 |
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