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Contribution Details

Type Bachelor's Thesis
Scope Discipline-based scholarship
Title Value Investing in South Africa
Organization Unit
Authors
  • Christian Knecht
Supervisors
  • Benjamin Wilding
  • Markus Leippold
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Date 2020
Abstract Text I examine the size and value effect from 2002 to 2019 in South Africa. I use the FTSE/JSE All Share Index to represent its stock market. I sort stocks on size (market capitalisation) and on value (book-to-price, cash flow-to-price and earnings-to-price). Then, I construct portfolios based on these sorts to analyse the effects. I find a value effect with all three strategies but only the cash flow-to-price one shows a significant effect. I also find a reverse size effect. The effects decrease in the second part of the sample period. Moreover, the value premium is indistinguishable between different firm sizes.
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