Value and small firm premiums in the South African market

Numerous studies have identified both value and size effects existing in international markets. Fewer studies have been conducted that document the same effects in the South African market. In this study, portfolios were constructed based on four valuation multiples, as well as market capitalisation from 1999 2012. In this 14-year period it was found that value stocks predominantly outperformed growth stocks when defined by P/E or P/CF. Growth stocks outperformed value stocks when the portfolios were based on P/B and DY. Also, significant evidence of a small firm premium was identified on the JSE, regardless of the valuation multiple. Furthermore, small-cap value stocks generated the highest mean returns over the period. The study identifies the prevalence of these premiums on the JSE, but the comprehensive explanations for these anomalies remain inconclusive.

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Stages in the life of a magnetic grain: Sediment source discrimination, particle size effects and spatial variability in the South African Karoo

Geoderma ◽

10.1016/j.geoderma.2016.02.015 ◽

2016 ◽

Vol 271 ◽

pp. 134-143 ◽

Cited By ~ 13

Author(s):

Simon Pulley ◽

Kate Rowntree

Keyword(s):

Particle Size ◽

Spatial Variability ◽

South African ◽

Size Effects ◽

Sediment Source ◽

The South ◽

Source Discrimination ◽

Particle Size Effects

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The value and accounting premium for South African-listed shares

Journal of Economic and Financial Sciences ◽

10.4102/jef.v2i2.354 ◽

2008 ◽

Vol 2 (2) ◽

pp. 187-202

Author(s):

Jürgen Ernstberger ◽

Christian Heinze ◽

Oliver Vogler

Keyword(s):

South African ◽

Financial Reporting ◽

The United States ◽

High Ratio ◽

Value Premium ◽

Accounting Standard ◽

Value Stocks ◽

Financial Reporting Standards ◽

The Us ◽

Growth Stocks

In the last decade, empirical research has found strong evidence that value stocks provide higher returns than growth stocks (value premium). Firms with a high ratio of book value of equity to market value of equity are regarded as value stocks; a low ratio identifies growth stocks. Most research is tailored to the market in the United States of America. Only a few studies consider country-specific distinctions. This research analyses the value premium for the South African market and compares its magnitude to the findings for the US market. Moreover, the effects of the introduction of International Financial Reporting Standards (IFRS) for companies listed at the JSE Limited are examined. The adoption of IFRS is used to demonstrate that investors award an accounting premium for voluntary compliance with this new accounting standard.

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Macroeconomic determinants of stock market development in South Africa

International Journal of Emerging Markets ◽

10.1108/ijoem-09-2017-0341 ◽

2019 ◽

Vol 14 (2) ◽

pp. 322-342 ◽

Cited By ~ 9

Author(s):

Sin-Yu Ho

Keyword(s):

South Africa ◽

Stock Market ◽

South African ◽

Banking Sector ◽

Trade Openness ◽

Market Development ◽

The South ◽

Content Type ◽

Stock Market Development ◽

Market Capitalisation

Purpose The purpose of this paper is to examine the macroeconomic determinants of stock market development in South Africa during the period 1975–2015. Specifically, it examines the impact of banking sector development, economic growth, inflation rate, real interest rate and trade openness on the development of the South African stock market. Design/methodology/approach The author employs autoregressive distributed lag bounds testing procedure that allows the author to empirically investigate both the short- and long-run relationships between the stock market development and its determinants in the context of South Africa. In addition, the author also conducts a sensitivity analysis by accounting for the presence of structural breaks in the underlying series to check for the robustness of the estimation. Findings This paper confirms the findings by other studies that banking sector development and economic growth promote stock market development, while inflation rate and real interest rate inhibit stock market development. In addition, this paper finds an interesting result in the fact that trade openness has a negative impact on stock market development, which is different from the findings of many other studies. Originality/value Currently, while the theoretical and empirical literature presents diverse views on the relationship between each determinant and stock market development, no study has focussed on the South African stock market. Given the significant role that the South African stock market plays in Africa as measured by its market capitalisation and market capitalisation ratio, there is a need for a better understanding of the macroeconomic factors influencing its development.

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Risk, Book to Market and Size Effects in the South African Stock Market

SSRN Electronic Journal ◽

10.2139/ssrn.1934720 ◽

2011 ◽

Author(s):

Jan Walters Kruger ◽

Shaun Lantermans

Keyword(s):

Stock Market ◽

South African ◽

Size Effects ◽

The South

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The Performance of Growth Stocks and Value Stocks in the Pacific Basin

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s0219091501000358 ◽

2001 ◽

Vol 04 (02) ◽

pp. 95-108 ◽

Cited By ~ 11

Author(s):

W. Scott Bauman ◽

C. Mitchell Conover ◽

Robert E. Miller

Keyword(s):

Stock Returns ◽

Stock Markets ◽

Market Price ◽

International Markets ◽

Pacific Rim ◽

Book Value ◽

Value Stocks ◽

The Pacific ◽

Growth Stocks ◽

Geographic Regions

Many studies show that value stock strategies outperform growth stock strategies in U.S. markets and in international markets. However, the evidence is not clear as growth stocks have had higher returns in a few countries. Because the behavior of stock markets vary between different geographic regions, it is possible that the performance of these strategies may differ in the Pacific Rim region. We examine the performance of value stocks and growth stocks, defined on the basis of market price to book value per share, over the 10-year period 1986-1996, for six Pacific Rim countries. Based on over 11,900 annual stock returns, value stocks generally outperformed growth stocks over the 10-year period, and in the various Pacific Rim country stock markets. In addition, smaller cap stocks outperformed large cap stocks. Regardless of cap size, however, value stocks, on the whole, outperformed growth stocks. When growth stocks occasionally outperformed value stocks, the margin of difference tended to be small.

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A Survey of Automated Financial Statement Fraud Detection with Relevance to the South African Context

South African Computer Journal ◽

10.18489/sacj.v32i1.777 ◽

2020 ◽

Vol 32 (1) ◽

Author(s):

Wilson Tsakane Mongwe ◽

Katherine Mary Malan

Keyword(s):

South African ◽

Fraud Detection ◽

Performance Measure ◽

Financial Statement ◽

South African Context ◽

Financial Statement Fraud ◽

The South ◽

Dataset Size ◽

African Context ◽

Market Capitalisation

Financial statement fraud has been on the increase in the past two decades and includes prominent scandals such as Enron, WorldCom and more recently in South Africa, Steinhoff. These scandals have led to billions of dollars being lost in the form of market capitalisation from different stock exchanges across the world. During this time, there has been an increase in the literature on applying automated methods to detecting financial statement fraud using publicly available data. This paper provides a survey of the literature on automated financial statement fraud detection and identifies current gaps in the literature. The paper highlights a number of important considerations in the implementation of financial statement fraud detection decision support systems, including 1) the definition of fraud, 2) features used for detecting fraud, 3) region of the case study, dataset size and imbalance, 4) algorithms used for detection, 5) approach to feature selection / feature engineering, 6) treatment of missing data, and 7) performance measure used. The current study discusses how these and other implementation factors could be approached within the South African context.

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