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Pure quantile portfolios on the Johannesburg Stock Exchange

Page, Daniel; McClelland, David E.; Auret, C. - In: Cogent economics & finance 11 (2023) 2, pp. 1-15

Rules-based portfolio sorts are commonplace for the evaluation of style anomalies. An unfortunate consequence of constructing portfolios on a target style is the unintended loading on non-target factors. A plausible approach is the application of optimisation to maintain target factor loading...

Persistent link: https://www.econbiz.de/10014503142

Style rotation on the JSE

Page, Daniel; McClelland, David E.; Auret, C. - In: Finance research letters 46 (2022) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10013342824

Quality as an investment style : evidence from south africa

Britten, James; Page, Daniel; McClelland, David E. - In: African finance journal 24 (2022) 1, pp. 24-36

Persistent link: https://www.econbiz.de/10014637206

Financial constraints and capital structure dynamics across the business cycle : some evidence from the JSE

Auret, Christo; Chipeta, Chimwemwe; Krishna, S. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 37 (2013) 1, pp. 75-103

Persistent link: https://www.econbiz.de/10010248315

Rand hedge as an investment strategy on the JSE

Page, Daniel; Britten, James; Auret, C. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 39 (2015) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10011418893

Volatility transmission in the South African white maize futures market

Sayed, Ayesha; Auret, C. - In: Eurasian economic review : a journal in applied … 10 (2020) 1, pp. 71-88

Persistent link: https://www.econbiz.de/10012224439

Machine learning and manager selection : evidence from South Africa

Page, Daniel; Seetharam, Yudhvir; Auret, C. - 2025

Persistent link: https://www.econbiz.de/10015399055

Speculative ratios and returns volatility in the South African white maize futures market

Sayed, Ayesha; Auret, C. - In: Cogent economics & finance 11 (2023) 1, pp. 1-21

This paper examines the relationship between trading activity and returns volatility in white maize futures listed on the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns volatility is estimated using a GARCH (1,1) model. Trading...

Persistent link: https://www.econbiz.de/10014500465