n African Finance Journal - The consistency of equity style anomalies on the JSE during a period of market crisis
|Article Title||The consistency of equity style anomalies on the JSE during a period of market crisis|
|© Publisher:||AfricaGrowth Institute|
|Journal||African Finance Journal|
|Affiliations||1 University of Cape Town and 2 University of Cape Town|
|Publication Date||Jan 2014|
|Pages||1 - 18|
We investigate return predictability on the Johannesburg Stock Exchange (JSE) with a particular emphasis on the consistency of return predictability between a stable and market crisis period. Ordinary Least Squares (OLS) univariate regressions of monthly share returns against fundamental firm characteristics provide evidence that all anomalies identified in the prior literature on return predictability on the JSE are significant during the stable period of the sample, suggesting consistency in these anomalies for a sustained period. These factors include growth in dividends and earnings, found to be inconsistent in prior literature. Over the market crisis period we find that only the cash flow-to-price variable remains a significant predictor of share returns, suggesting that firms with higher cash-flows are seen by the market to be better poised to outperform during periods of crisis. Statistically significant factors in either period are found to exhibit consistent payoffs during their respective periods of significance.
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