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dc.contributor.authorTerblanche, S.E.
dc.contributor.authorVenter, J.H.
dc.date.accessioned2016-08-31T09:46:21Z
dc.date.available2016-08-31T09:46:21Z
dc.date.issued2015
dc.identifier.citationTerblanche, S.E. & Venter, J.H. 2015. Profitability of short term reversal strategies on the Johannesburg Stock Exchange. Journal for studies in economics and econometrics, 39(3):67-91. [http://reference.sabinet.co.za/webx/access/electronic_journals/bersee/bersee_v39_n3_a4.pdf]en_US
dc.identifier.issn0379-6205
dc.identifier.urihttp://hdl.handle.net/10394/18486
dc.identifier.urihttp://reference.sabinet.co.za/webx/access/electronic_journals/bersee/bersee_v39_n3_a4.pdf
dc.description.abstractShort term reversal strategies involve the frequent buying (or selling) of loser (or winner) stocks in order to profit in the short run if prices revert. Several studies report profitability of these strategies while others reject profitability due to trading costs. This study reports profitability of a short term reversal rule when trading in large capitalization Johannesburg Stock Exchange listed stocks, while allowing for trading costs and taking trade execution skills into account. Evaluation of the performance of the rule is done in terms of newly introduced reward and risk measures based on daily cash flows and market exposures respectivelyen_US
dc.language.isoenen_US
dc.publisherBureau for Economic Research and the Graduate School of Business, University of Stellenbosch.en_US
dc.titleProfitability of short term reversal strategies on the Johannesburg Stock Exchangeen_US
dc.typeArticleen_US
dc.contributor.researchID10794549 - Terblanche, Stephanus Esias
dc.contributor.researchID10168907 - Venter, Johannes Hendrik


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