n African Finance Journal - A multivariate analysis of factors affecting stock returns on the JSE

Volume 11, Issue 2
  • ISSN : 1605-9786



This study examines the factors that explain the return generating process of stocks listed on the JSE. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly multivariate factor analysis techniques. The paper further explores the sensitivities of the factors identified in bull and bear markets. Evidence supporting the use of multi-factor models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s two-factor model for the JSE.

Loading full text...

Full text loading...


Article metrics loading...


This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error