Cyclicality of size, value, and momentum on the Johannesburg Stock Exchange
Kapche Fotso, Moise Herve
Brown, W G P
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The study examines the cyclical behaviour of style premiums on the Johannesburg Stock Exchange (JSE) over the period 2002–2018. More specifically, the study establishes whether there is a contemporaneous relationship between style premiums and certain regime dynamics. The examination period extends over two consecutive business cycles, each with an upward and a downward phase. A robust factor-mimicking portfolio construction procedure is employed. Findings show that the small-cap risk premium shrinks significantly or becomes negative during downward phases while the momentum premium is strongly positive throughout the study period, but is lower during downward phases.