Artikel

An investigation into the small firm effect on the Johannesburg Stock Exchange

Recent studies on the New York Stock Exchange have provided empirical evidence which suggests that small market capitalization firms outperform large market capitalization firms in terms of share price performance. This appears valid even after adjusting for the additional risk borne by the small firms. This has become known as the 'small firm effect' and questions the validity of many traditional pricing models such as the Capital Asset Pricing Model. In this paper, the small firm effect is examined on the Johannesburg Stock Exchange. The risk-adjusted performance of portfolios comprising large firms is contrasted with that of small firms. Three measures of size are used, namely market capitalization, asset base and traded volume. In all three cases, no evidence of a small firm effect is apparent. Indeed, if anything, the large firms appear to provide superior investment performance on the JSE.

Language
Englisch

Bibliographic citation
Journal: South African Journal of Business Management ; ISSN: 2078-5976 ; Volume: 17 ; Year: 1986 ; Issue: 4 ; Pages: 191-195 ; Cape Town: African Online Scientific Information Systems (AOSIS)

Classification
Management

Event
Geistige Schöpfung
(who)
De Villiers, P.
Lowings, A. J.
Pettit, T.
Affleck-Graves, J.
Event
Veröffentlichung
(who)
African Online Scientific Information Systems (AOSIS)
(where)
Cape Town
(when)
1986

DOI
doi:10.4102/sajbm.v17i4.1055
Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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Object type

  • Artikel

Associated

  • De Villiers, P.
  • Lowings, A. J.
  • Pettit, T.
  • Affleck-Graves, J.
  • African Online Scientific Information Systems (AOSIS)

Time of origin

  • 1986

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