Multifactor explanation of security returns in South Africa

Chukwulobelu, O. and Fosu, S. and Coffie, W. (2014) Multifactor explanation of security returns in South Africa. International Journal of Management Practice, 7 (4). pp. 380-397. ISSN 14779064 (ISSN)

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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. Copyright © 2014 Inderscience Enterprises Ltd.

Item Type: Article
Identification Number:
Uncontrolled Keywords: Fama-French three factor model, Johannesburg Stock Exchange, Security returns, Size and value premia, South Africa
Subjects: L100 Economics
N300 Finance
Divisions: REF UoA Output Collections > REF2021 UoA17: Business and Management Studies
Faculty of Business, Law and Social Sciences > Birmingham City Business School > Department of Accounting, Finance and Economics
Depositing User: Yasser Nawaz
Date Deposited: 23 Nov 2016 15:16
Last Modified: 23 Nov 2016 15:16

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