Browsing Faculty of Economics and Management Sciences by Subject "Value effect"

Now showing items 1-2 of 2

  • Application of fundamental indexation for South African equities 

    Engel, Joswil Scott (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 

    Kapche Fotso, Herve Moise (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 ...