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

Volume 11, Issue 2
  • ISSN : 1605-9786
USD

 

Abstract

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.

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/content/finj/11/2/EJC33742
2009-01-01
2016-12-09

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