1887

n South African Journal of Business Management - An investigation into the small firm effect on the Johannesburg Stock Exchange

Volume 17 Number 4
  • ISSN : 2078-5585

Abstract

Recent studies on the New York Stock Exchange have provided empirical evidence which suggests that small market capitalization firms outperform large market capitalization firms in terms of share price performance. This appears valid even after adjusting for the additional risk borne by the small firms. This has become known as the 'small firm effect' and questions the validity of many traditional pricing models such as the Capital Asset Pricing Model. In this paper, the small firm effect is examined on the Johannesburg Stock Exchange. The risk-adjusted performance of portfolios comprising large firms is contrasted with that of small firms. Three measures of size are used, namely market capitalization, asset base and traded volume. In all three cases, no evidence of a small firm effect is apparent. Indeed, if anything, the large firms appear to provide superior investment performance on the JSE.

Onlangse navorsing van die New Yorkse Effektebeurs het empiriese gegewens verskaf wat toon dat klein markkapitaliseringsfirmas beter vaar as die groter firmas in terme van die prestasie van aandeelpryse. Dit skyn geldig te wees selfs nadat aanpassings gemaak is vir die addisionele risiko wat deur die klein firmas gedra word. Dit het bekend geraak as die 'kleinfirma-effek' en bevraagteken tradisionele prysvasstellingsmodelle soos die 'Capital Asset Pricing'model. In hierdie artikel word die 'kleinfirma-effek' ondersoek op die Johannesburgse Effektebeurs. Die saamgestelde portfolio's, aangepas vir risiko, word vergelyk met die van klein firmas. Drie meetinstrumente vir grootte is gebruik, naamlik markkapitalisering, batebasis, en handelsvolume. In al drie gevalle is geen 'kleinfirma-effek' bespeur nie. Eintlik lewer die groot firmas 'n beter investeringsprestasie op die Johannesburgse Effektebeurs.

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/content/journal/10520/EJC-64d574454
1986-12-01
2019-04-18

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