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Fundamental momentum on the Johannesburg Stock Exchange
Dissertation (MBA)--University of Pretoria, 2012.
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| Format: | Thesis |
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University of Pretoria
2013
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| _version_ | 1867613713225220096 |
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| access_status_str | Open Access |
| author2 | Saville, A. |
| author_browse | Saville, A. |
| author_facet | Saville, A. |
| collection | Thesis |
| dc_rights_str_mv | © 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MBA)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/22778 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:40:31.230Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/22778 Fundamental momentum on the Johannesburg Stock Exchange Saville, A. ichelp@gibs.co.za Moodley, Tashinee UCTD Johannesburg Stock Exchange (JSE) Financial market anomalies Momentum Dissertation (MBA)--University of Pretoria, 2012. Financial market anomalies are constant subjects of debate because of their devotion form the foundational financial theories. Fama and French (2008) referred to the momentum effect as the premier anomaly. Thus, this study sought to apply the concept of momentum to examine three investment strategies. The first strategy was price momentum, an existing investment strategy but which was used as a comparison to the returns of the second and third strategies. The second strategy applied momentum to return on equity, operating cash flow and earnings before interest, tax, depreciation and amortisation, whilst the third strategy combined stocks with momentum in both stock price and respective fundamental variable.Using a non-probability sampling method, a total of 109 stock listed on the JSE over the period 1999-2010 were tested. Momentum in stock price and respective fundamentals was used to rank stocks into quintiles. The viability of each investment strategy was measured by comparing its average and risk adjusted returns to the market.The results revealed that fundamental momentum can beat market returns, with the highest amount of significant differences found using momentum in return on equity. The combination strategy also reported results of beating the market, with the higest amount of significant differences found using the 12 month fundamental momentum combined with 6 month price momentum. Gordon Institute of Business Science (GIBS) unrestricted 2013-09-06T13:44:51Z 2013-04-29 2013-09-06T13:44:51Z 2013-04-25 2012 2013-02-23 Dissertation Moodley, T 2012, Fundamental momentum on the Johannesburg Stock Exchange, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/22778 > F13/4/229/zw http://hdl.handle.net/2263/22778 http://upetd.up.ac.za/thesis/available/etd-02232013-165615/ © 2012 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Johannesburg Stock Exchange (JSE) Financial market anomalies Momentum Fundamental momentum on the Johannesburg Stock Exchange |
| title | Fundamental momentum on the Johannesburg Stock Exchange |
| title_full | Fundamental momentum on the Johannesburg Stock Exchange |
| title_fullStr | Fundamental momentum on the Johannesburg Stock Exchange |
| title_full_unstemmed | Fundamental momentum on the Johannesburg Stock Exchange |
| title_short | Fundamental momentum on the Johannesburg Stock Exchange |
| title_sort | fundamental momentum on the johannesburg stock exchange |
| topic | UCTD Johannesburg Stock Exchange (JSE) Financial market anomalies Momentum |
| url | http://hdl.handle.net/2263/22778 http://upetd.up.ac.za/thesis/available/etd-02232013-165615/ |