Analysis of predictable behaviour of security returns on the JSE

No Thumbnail Available

Date

2014-02-17

Authors

Muzenda, Simon

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

This paper replicates Jegadeesh`s (1990) paper entitled “Evidence of Predictable Behavior of Security Returns”. Jegadeesh (1990) states that by using the observed systematic behaviour of stock returns it is possible to make “one-step-ahead return forecasts”. That is forecast the return one month in the future. The aim of this research is to assess the predictability of monthly returns on the Johannesburg Stock Exchange (JSE) by analysing the monthly returns of stocks and portfolios of stocks from the JSE. This thesis will show that it is not possible to accurately or reliably forecast future returns for individual stocks or portfolios of stocks from the JSE. In addition the findings in this paper also indicate that stocks and portfolios of stocks from the JSE follow the random walk theory.

Description

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013.

Keywords

Stocks, Prices, Johannesburg Stock Exchange, Portfolios

Citation

Collections

Endorsement

Review

Supplemented By

Referenced By