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Enhancing a value portfolio with price acceleration momentum
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_ | 1867613637508595712 |
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| access_status_str | Open Access |
| author2 | Halfer, Dieter |
| author_browse | Halfer, Dieter |
| author_facet | Halfer, Dieter |
| 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:2263/22827 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:39:18.847Z |
| 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:2263/22827 Enhancing a value portfolio with price acceleration momentum Halfer, Dieter Muller, Chris ichelp@gibs.co.za Schoeman, Cornelius Etienne UCTD Time series Cumulative average abnormal returns (caar) Price acceleration Momentum Value Dissertation (MBA)--University of Pretoria, 2012. Value shares are notorious for remaining stagnant for extended periods of time, forcing value investors to remain locked in their investments often for excessive periods. This research study applied the price acceleration momentum indicator of Bird and Casavecchia (2007) on a value portfolio with the objective of improving the timing of value share acquisitions.A time series study was conducted, taking into account the top 160 JSE shares over the period 1 January 1985 to 31 August 2012. A price acceleration momentum indicator was applied to enhance a value portfolio formed on the basis of book-tomarket ratio, dividend yield and EBITDA/EV. Cumulative average abnormal returns (CAAR) were used to compare portfolio results statistically.A substantial contribution is made to the literature by proving that a value-only portfolio can be significantly enhanced by the combination of price acceleration momentum. Results indicated an increase in CAAR from 199.83% to 321.29%. Risk-adjusted returns (Sharpe ratio) were also improved without the detriment of increased share price volatility (standard deviation). This research study further contributes to the literature by proving that a price acceleration momentum indicator adds no additional value over a value portfolio combined with ordinary price momentum. Gordon Institute of Business Science (GIBS) unrestricted 2013-09-06T13:48:44Z 2013-04-30 2013-09-06T13:48:44Z 2013-04-25 2012 2013-02-24 Dissertation Schoeman, CE 2012, Enhancing a value portfolio with price acceleration momentum, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/22827 > F13/4/259/zw http://hdl.handle.net/2263/22827 http://upetd.up.ac.za/thesis/available/etd-02242013-124453/ © 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 Time series Cumulative average abnormal returns (caar) Price acceleration Momentum Value Enhancing a value portfolio with price acceleration momentum |
| title | Enhancing a value portfolio with price acceleration momentum |
| title_full | Enhancing a value portfolio with price acceleration momentum |
| title_fullStr | Enhancing a value portfolio with price acceleration momentum |
| title_full_unstemmed | Enhancing a value portfolio with price acceleration momentum |
| title_short | Enhancing a value portfolio with price acceleration momentum |
| title_sort | enhancing a value portfolio with price acceleration momentum |
| topic | UCTD Time series Cumulative average abnormal returns (caar) Price acceleration Momentum Value |
| url | http://hdl.handle.net/2263/22827 http://upetd.up.ac.za/thesis/available/etd-02242013-124453/ |