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Investment Analysts Journal Volume 46, 2017 - Issue 3: Special Issue: Southern African Finance Association (SAFA) 2017 Conference
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Articles

Univariate tests of momentum on the JSE

Daniel PageFinance Division, School of Economic & Business Sciences, University of the Witwatersrand, Johannesburg, South AfricaCorrespondence[email protected]
&
Christo AuretFinance Division, School of Economic & Business Sciences, University of the Witwatersrand, Johannesburg, South Africa
Pages 149-164 | Received 13 Feb 2017, Accepted 07 Apr 2017, Published online: 27 Jun 2017

Citations (7)

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Read on this site (4)

M. H. Kapche Fotso & W. G. P. Brown. (2021) Cyclicality of size, value, and momentum on the Johannesburg Stock Exchange. Studies in Economics and Econometrics 45:2, pages 117-129.
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Daniel Page, David McClelland & Christo Auret. (2020) Idiosyncratic momentum on the JSE. Investment Analysts Journal 49:3, pages 180-198.
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Daniel Page & Christo Auret. (2019) A panel-data analysis of the explanatory power of factor premiums on the Johannesburg Stock Exchange (JSE). Investment Analysts Journal 48:2, pages 102-113.
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Daniel Page & Christo Auret. (2019) Can non-momentum factor premiums explain the momentum anomaly on the JSE? An in-depth portfolio attribution analysis. Investment Analysts Journal 48:1, pages 1-17.
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Articles from other publishers (3)

Mwangele Kaluba & Yudhvir Seetharam. (2022) Can market state and market volatility explain time-varying momentum profits in South Africa?. International Journal of Emerging Markets 18:10, pages 4363-4382.
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Daniel Page, David McClelland & Christo Auret. (2022) Style rotation on the JSE. Finance Research Letters 46, pages 102504.
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Runxin Lin. (2022) Empirical Asset Pricing with Individual Assets on the JSE: Betas versus Characteristics. SSRN Electronic Journal.
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