Multifactor explanation of security returns in South Africa

Chukwulobelu, Osita, Fosu, Samuel and Coffie, William (2014) Multifactor explanation of security returns in South Africa. International Journal of Management Practice, 7 (4). pp. 380-397. ISSN 1477-9064

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Abstract

This paper evaluates the performance of the Fama and French threefactor model in South Africa for individual securities. We employed a multivariate time series methodology similar to Fama and French. The empirical results contradict the theoretical proposition of the Fama-French model and are inconsistent with the results documented by most studies in the developed and some emerging markets. The size and value premia are very weak when included in the regression model. Furthermore, the Fama and French three-factor model is unable to explain the return-generating process of securities trading on the Johannesburg Stock Exchange. This has important implication for corporate managers, investors as well as fund and portfolio managers in terms of estimating cost of equity, rate of return and portfolio allocation.

Item Type: Article
Schools and Departments: University of Sussex Business School > Accounting and Finance
SWORD Depositor: Mx Elements Account
Depositing User: Mx Elements Account
Date Deposited: 11 May 2022 11:23
Last Modified: 11 May 2022 11:30
URI: http://sro.sussex.ac.uk/id/eprint/105827

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