ETD Collection

Permanent URI for this collectionhttps://wiredspace.wits.ac.za/handle/10539/104


Please note: Digitised content is made available at the best possible quality range, taking into consideration file size and the condition of the original item. These restrictions may sometimes affect the quality of the final published item. For queries regarding content of ETD collection please contact IR specialists by email : IR specialists or Tel : 011 717 4652 / 1954

Follow the link below for important information about Electronic Theses and Dissertations (ETD)

Library Guide about ETD

Browse

Filters

20181

Settings

Author: search.filters.author.Vincent, Christopher JohnHas files: Yes

Search Results

Now showing 1 - 1 of 1
  • No Thumbnail Available
    Item
    Analysing the efficiency of the Johannesburg Stock Exchange using the magic formula
    (2018) Vincent, Christopher John
    This study examined the efficiency of South African markets, namely the Johannesburg Stock Exchange (JSE) through the use of a value investing strategy called the “magic formula”, which was created by Joel Greenblatt and published in his 2006 book “the little book that beats the market”. This study back tested the magic formula on the JSE from 2000 to 2016. It ranked stocks according to the magic formula methodology, using earnings yield and return on capital to derive portfolios. The portfolios were then compared against the JSE All Share Index (the market). The magic formula showed evidence of outperformance of the market over the period, even when accounting for risk. The magic formula was compared against other portfolios derived from value investing ratios, namely ROA, ROE and EY. The ROA portfolio produced the best risk-adjusted results, but all value investing portfolios outperformed the market providing evidence against efficient markets.