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Application of fundamental indexation for South African equities
(University of the Western Cape, 2014)
The primary objectives of this research are to determine whether indices constructed from fundamental attributes of ALSI constituents outperform indices weighted by market capitalisations; and whether the performance of ...
Cyclicality of size, value and momentum on the Johannesburg stock exchange
(University of the Western Cape, 2019)
Over the past four decades, size, value and momentum effects have been uncovered on stock
markets, and several multifactor asset pricing models have been proposed to explain them.
The associated premiums have been found ...