Short-term return reversion on the JSE

Short-term return reversion on the JSE

Includes abstract. === This study explores the existence of mean reversion in returns on the Johannesburg Stock Exchange (JSE). Finding that most research on the JSE applies to the long term, this paper investigates mean reversion across relatively shorter periods. Thus investment horizons between 1...

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Bibliographic Details
Main Author: Garisch, Jarryd
Other Authors: Van Rensburg, Paul
Format: Dissertation
Language:English
Published: University of Cape Town 2015
Subjects:
Finance and Tax
Online Access:http://hdl.handle.net/11427/12331

Internet

http://hdl.handle.net/11427/12331

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