The effects of selected trading strategies on the value of closed-end investment trusts: A test of the efficiency of the Johannesburg Stock Exchange
South African Journal of Business Management
| Field | Value | |
| Title | The effects of selected trading strategies on the value of closed-end investment trusts: A test of the efficiency of the Johannesburg Stock Exchange | |
| Creator | Bhana, Narendra | |
| Description | Closed-end investment funds listed on the Johannesburg Stock Exchange invariably trade at discounts from their net asset value. The purpose of this article is to test a series of trading rules to determine whether an investor can capitalize on these discounts to earn excess returns. The buy-and-sell points strategy produced returns significantly in excess of these obtainable by holding the market portfolio or by following a buy-and-hold strategy. Using standard deviation of return as a proxy for risk, the results fail to confirm that an investor had to accept significantly more risk to earn a larger return. However, there is no assurance that the same strategies will produce excess returns in the future. The trading strategies tested over the 1979-88 period may require adjustments in today's market. | |
| Publisher | AOSIS | |
| Date | 1993-09-30 | |
| Identifier | 10.4102/sajbm.v24i3.866 | |
| Source | South African Journal of Business Management; Vol 24, No 3 (1993); 77-82 2078-5976 2078-5585 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajbm.org/index.php/sajbm/article/view/866/804
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