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Style rotation on the JSE

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  • Page, Daniel
  • McClelland, David
  • Auret, Christo

Abstract

Global studies of style momentum show evidence of significant risk-adjusted profits over short estimation and holding periods. This study, conducted on the Johannesburg Stock Exchange (“JSE”) is partially consistent with developed market literature. First, we find that momentum-based style rotation is strongest over short estimation and holding periods. Second, we find a positive relationship between the number of styles applied and performance. Third, factor spanning tests indicate that price momentum and quality reduce time-series alphas, inconsistent with the more recent literature. Additionally, we find an inverse relationship between holding period and returns. The latter result favors a behavioural explanation.

Suggested Citation

  • Page, Daniel & McClelland, David & Auret, Christo, 2022. "Style rotation on the JSE," Finance Research Letters, Elsevier, vol. 46(PB).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004797
    DOI: 10.1016/j.frl.2021.102504
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    References listed on IDEAS

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