An investigation into the small firm effect on the Johannesburg Stock Exchange
South African Journal of Business Management
| Field | Value | |
| Title | An investigation into the small firm effect on the Johannesburg Stock Exchange | |
| Creator | De Villiers, P. Lowings, A. J. Pettit, T. Affleck-Graves, J. | |
| Description | Recent studies on the New York Stock Exchange have provided empirical evidence which suggests that small market capitalization firms outperform large market capitalization firms in terms of share price performance. This appears valid even after adjusting for the additional risk borne by the small firms. This has become known as the 'small firm effect' and questions the validity of many traditional pricing models such as the Capital Asset Pricing Model. In this paper, the small firm effect is examined on the Johannesburg Stock Exchange. The risk-adjusted performance of portfolios comprising large firms is contrasted with that of small firms. Three measures of size are used, namely market capitalization, asset base and traded volume. In all three cases, no evidence of a small firm effect is apparent. Indeed, if anything, the large firms appear to provide superior investment performance on the JSE. | |
| Publisher | AOSIS | |
| Date | 1986-12-31 | |
| Identifier | 10.4102/sajbm.v17i4.1055 | |
| Source | South African Journal of Business Management; Vol 17, No 4 (1986); 191-195 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/1055/997
|
|
ADVERTISEMENT
