Does idiosyncratic risk derive price momentum and long term reversal :evidence from the Johannesburg Stock Exchange

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dc.contributor.authorMahsayanyika, Rich
dc.date.accessioned2020-09-15T11:19:00Z
dc.date.available2020-09-15T11:19:00Z
dc.date.issued2019
dc.descriptionA research report presented in partial fulfilment (50%) of the requirements for the degree of Master of Commerce in Business Economics (Finance), September 2019en_ZA
dc.description.abstractThis study examines if the idiosyncratic risk is the main source behind the persistence of price momentum and reversal effects. Idiosyncratic risk limits arbitrage, regardless of the arbitrageur’s diversification. Price momentum is prevalent only in high idiosyncratic risk stocks, highlighting that idiosyncratic risk limits arbitrage in price momentum mispricing. Long-term reversal is not related to idiosyncratic risk. Long term reversal stocks generates a smaller aggregate return than price momentum stocks, so the findings along with those in related studies suggest that underreaction and overreaction might be the main driving force behind long term reversal returns. The findings of this study are consistent with some of South African literature which suggest that momentum is a more persistent investing strategy than long term reversal on the Johannesburg Stock Exchange (JSE).en_ZA
dc.description.librarianXN2020en_ZA
dc.facultyFaculty of Commerce, Law and Managementen_ZA
dc.format.extentOnline resource (59 leaves)
dc.identifier.citationMashayanyika, Rich (2019) Does idiosyncratic risk derive price momentum and long term reversal:evidence from the Johannesburg Stock Exchange, University of the Witwatersrand, Johannesburg, <http://hdl.handle.net/10539/29658>
dc.identifier.urihttps://hdl.handle.net/10539/29658
dc.language.isoenen_ZA
dc.schoolSchool of Business Sciencesen_ZA
dc.subject.lcshJohannesburg Stock Exchange
dc.subject.lcshRisk
dc.subject.lcshInvestments
dc.titleDoes idiosyncratic risk derive price momentum and long term reversal :evidence from the Johannesburg Stock Exchangeen_ZA
dc.typeThesisen_ZA
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