n Investment Analysts Journal - Value and momentum strategies : evidence from the Johannesburg Stock Exchange

Volume 2000, Issue 51
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
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Extracted from text ... Number 51 - Part 2 E Fraser and M Page* Value and momentum strategies: Evidence from the Johannesburg Stock Exchange * Eleanor Fraser is a lecturer in the School of Management Studies, University of Cape Town and Mike Page is the Len Abrahamse Professor of Finance at the Graduate School of Business, University of Cape Town, Private Bag, Rondebosch 7701, Republic of South Africa. Email:efraser@commerce.uct.ac.za 1. Introduction Value strategies are defined as those in which shares perceived to be relatively under-valued by the market are purchased in order to realise superior returns. Measures of value have included equity book-to-market ratios, ..

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