期刊名称：International Journal of Economics and Finance Studies
电子版ISSN：1309-8055
出版年度：2017
卷号：9
期号：1
页码：219-234
出版社：Social Sciences Research Society
摘要：This study compared the performance of different asset-pricing models and theirability to account for market anomalies in different sectors of the JohannesburgStock Exchange (JSE). The total sample size of the study consisted of 156companies categorised into six different sectors namely, resources, consumergoods, consumer services, financial, industrial and others. Various asset-pricingmodels such as the Capital Asset pricing Model (CAPM), the Fama and Frenchthree-factor model and the Carhart four-factor model were used to analyse monthlydata from January 2002 to December 2014. Variables used include the monthlystock return for each company and different market anomalies namely, size, value,January and momentum effects. The study revealed that whenever the asset-pricingmodels were not restricted, they tend to capture the market anomalies in four out ofthe six sectors. In contrast, when the models are restricted, they only seem to capturethe anomalies in one of the six examined sectors. Thus, market anomalies aresensitive to model specifications, as restricting the models tends to reduce thelikelihood of finding the presence of the market anomalies across the sectors. Ourfindings also show that market anomalies tend to differ across sectors and somesectors seem to be more efficient than others..
