IJMP Multifactor.pdf (450.68 kB)
Multifactor explanation of security returns in South Africa
journal contribution
posted on 2023-06-10, 03:30 authored by Osita Chukwulobelu, Samuel FosuSamuel Fosu, William CoffieThis 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.
History
Publication status
- Published
File Version
- Accepted version
Journal
International Journal of Management PracticeISSN
1477-9064Publisher
InderscienceExternal DOI
Issue
4Volume
7Page range
380-397Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2022-05-11First Open Access (FOA) Date
2022-05-11First Compliant Deposit (FCD) Date
2022-05-11Usage metrics
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