n African Finance Journal - Firm characteristics and investment strategies in Africa : the case of South Africa
|Article Title||Firm characteristics and investment strategies in Africa : the case of South Africa|
|© Publisher:||AfricaGrowth Institute|
|Journal||African Finance Journal|
|Author||D. Achour, C.R. Harvey, G. Hopkins and C. Lang|
|Publication Date||Jan 1999|
|Pages||1 - 68|
We examine the viability of quantitative techniques for investing in individual stocks in the South African market. We measure the information in various firm specific attributes in forming portfolio strategies designed to outperform standard benchmarks. This market is particularly challenging given the extremely short sample by which we can calibrate our methods. Nevertheless, our out-of-sample analysis suggests that we can achieve up to 9% out-performance of standard benchmarks with our buy portfolio. Further, the difference between our recommended stocks and those we suggest avoiding is over 24% per year.
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