Performance of fundamental indices in African capital markets
No Thumbnail Available
Date
2018
Authors
Van Jaarsveldt, Riaan
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
This research study aims to establish whether fundamental indices outperform cap-weighted indices in African emerging markets using data from 2003 to 2017. The risk-return characteristics of indices are compared using mean-variance analysis techniques to account for variations in risk. The sources of any excess returns are further investigated by analysing single factor fundamental indices. The results indicate that fundamental indices outperformed cap-weighted indices in African emerging markets, even after accounting for risk. The outperformance was not always significant. The fundamental factors contributing most to the outperformance are cash flow and revenue.
Keywords: Fundamental Indexation; Cap-weighted Indices; Indexation; Value Bias; Value Investing; Price Noise; JSE; Egyptian Exchange; Nigerian Stock Exchange; Nairobi Securities Exchange; Stock Exchange of Mauritius.
Description
MBA
Keywords
Capital market -- South Africa. Portfolio management -- South Africa.