Performance of fundamental indices in African capital markets

dc.contributor.authorVan Jaarsveldt, Riaan
dc.date.accessioned2021-05-13T08:58:32Z
dc.date.available2021-05-13T08:58:32Z
dc.date.issued2018
dc.descriptionMBAen_ZA
dc.description.abstractThis 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.en_ZA
dc.description.librarianMK2021.en_ZA
dc.facultyFaculty of Commerce, Law and Managementen_ZA
dc.identifier.urihttps://hdl.handle.net/10539/31248
dc.language.isoenen_ZA
dc.schoolWITS BUSINESS SCHOOLen_ZA
dc.subjectCapital market -- South Africa. Portfolio management -- South Africa.en_ZA
dc.titlePerformance of fundamental indices in African capital marketsen_ZA
dc.typeThesisen_ZA

Files

Collections