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Abnormal returns on the Johannesburg Stock Exchange : alpha as an investment style
Mini Dissertation (MBA)--University of Pretoria, 2019.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2020
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| _version_ | 1867613486198030336 |
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| access_status_str | Open Access |
| author2 | Ward, Mike |
| author_browse | Ward, Mike |
| author_facet | Ward, Mike |
| collection | Thesis |
| dc_rights_str_mv | © 2020 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 | Mini Dissertation (MBA)--University of Pretoria, 2019. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/73961 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:54.588Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| 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:2263/73961 Abnormal returns on the Johannesburg Stock Exchange : alpha as an investment style Ward, Mike ichelp@gibs.co.za Fielding, Sean UCTD Mini Dissertation (MBA)--University of Pretoria, 2019. While alpha is one of the most common indicators by which the performance of investment portfolios are measured little has been studied on its properties in relation to individual shares. Using the ‘style engine’ the study followed a portfolio based approach to evaluating alpha (as measured at share level) as an investment style on the JSE. Five equally weighted portfolios were constructed based on the alpha level displayed by shares under two different models for expected return: A JSE twelve factor model and the Fama-French five factor model. Individual portfolio performance was presented in a graphical time-series format and results were interpreted visually though the construction of price relatives as well as statistically at a significance level of 0.05. The results showed that the effectiveness of an alpha investment style relied to a large degree on the model for expected return from which alpha was derived. Nevertheless, significant underperformance in relation to the market was observed in the lowest quintile portfolios under both models for expected return. ls2020 Gordon Institute of Business Science (GIBS) MBA 2020-04-06T09:59:59Z 2020-04-06T09:59:59Z 2020/04/01 2019 Mini Dissertation Fielding, S 2019, Abnormal returns on the Johannesburg Stock Exchange : alpha as an investment style, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/73961> http://hdl.handle.net/2263/73961 en © 2020 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 Abnormal returns on the Johannesburg Stock Exchange : alpha as an investment style |
| title | Abnormal returns on the Johannesburg Stock Exchange : alpha as an investment style |
| title_full | Abnormal returns on the Johannesburg Stock Exchange : alpha as an investment style |
| title_fullStr | Abnormal returns on the Johannesburg Stock Exchange : alpha as an investment style |
| title_full_unstemmed | Abnormal returns on the Johannesburg Stock Exchange : alpha as an investment style |
| title_short | Abnormal returns on the Johannesburg Stock Exchange : alpha as an investment style |
| title_sort | abnormal returns on the johannesburg stock exchange alpha as an investment style |
| topic | UCTD |
| url | http://hdl.handle.net/2263/73961 |