Inter-relationships between the January effect, market capitalisation and value investment strategies on the JSE

Abstract

Extracted from text ... Number 50 - Part 4 1999 EM Robins, M Sandler and F Durand* Inter-relationships between the January effect, market capitalisation and value investment strategies on the JSE * Wits Business School, 2 St Davids Place, Parktown, Johannesburg 2193, Republic of South Africa. E-mail: durandf@zeus.mgmt.wits.ac.za 1. Introduction* South African research has become increasingly circumspect regarding market efficiency on the JSE. Philpott and Firer (1995) indicated that the JSE may not efficient in the semi-strong form. Thompson and Ward's (1995) review of market efficiency concluded that the JSE was strong form inefficient, with at best mixed evidence regarding its weak and semi-strong ..