A Note on the Riskiness of Long Term Investment on the JSE

D J Bradfield* Respectively Associate professor and lecturer, Department of Statistical Sciences, University of Cape Town, Private Bag, Rondebosch7700, Republic of South Africa. The authors would like to thank Andrew Heaven, Senior Quantitative Analyst at Old Mutual Asset Managers for initialing this research and for the helpful discussions on this topic. The authors would also like to thank the two anonymous reviewers for their helpful comments.

C S Ardington* Respectively Associate professor and lecturer, Department of Statistical Sciences, University of Cape Town, Private Bag, Rondebosch7700, Republic of South Africa. The authors would like to thank Andrew Heaven, Senior Quantitative Analyst at Old Mutual Asset Managers for initialing this research and for the helpful discussions on this topic. The authors would also like to thank the two anonymous reviewers for their helpful comments.

Abstract

This note focuses on the risk of longer term investment in equity on the JSE. Graphical and quantitative evidence of serial dependence in annual returns is presented. Based of 16 years of price data on the JSE the study finds significant evidence of mean reversion in annual returns. This note argues that, due to this serial dependence, the risk of longer term investment in equity, as measured by variance, is probably less than perceived.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

A Note on the Riskiness of Long Term Investment on the JSE

Information for

Open access

Opportunities

Help and information

A Note on the Riskiness of Long Term Investment on the JSE

Abstract

Reprints and Corporate Permissions

Academic Permissions

Related research

To cite this article:

Download citation

Information for

Open access

Opportunities

Help and information

Keep up to date

Your download is now in progress and you may close this window

Login or register to access this feature