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- Title
Applying Joel Greenblatt's value investment strategy to the Johannesburg Stock Exchange.
- Authors
Lambrechts, Hugo; Roos, Marcel
- Abstract
The researchers investigated the effectiveness of Joel Greenblatt' s value investment strategy on the Johannesburg Stock Exchange (JSE) from January 1996 until December 2013. This investment strategy ranks stocks based on their price-to-earnings ratio and their return on assets. The effectiveness of the investment strategy was measured by means of excess returns and excess risk-adjusted returns over the market index. The optimal portfolio size and holding periods were also investigated. The results indicate that Greenblatt' s value investment strategy can be effectively implemented on the JSE to produce statistically significant excess returns above the market index as well as superior risk-adjusted returns. The results of the study confirm the findings of Greenblatt (2006: 56) and Sareewiwatthana (2011: 10-11).
- Subjects
VALUE investing (Finance); INVESTMENT policy; GREENBLATT, Joel; JOHANNESBURG Stock Exchange; STOCK ratings; RATE of return on stocks
- Publication
Management Dynamics / Bestuursdinamika, 2017, Vol 26, Issue 1, p2
- ISSN
1019-567X
- Publication type
Article