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An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange
The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind wh...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2020
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| _version_ | 1867613332755709952 |
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| access_status_str | Open Access |
| author | Harrisberg, Richard |
| author2 | Huang, Chun-Sung |
| author_browse | Harrisberg, Richard Huang, Chun-Sung |
| author_facet | Huang, Chun-Sung Harrisberg, Richard |
| author_sort | Harrisberg, Richard |
| collection | Thesis |
| description | The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addition to other fundamental factors impacting expected returns. It is found that the low-volatility anomaly is present on the JSE and that using a number of different risk metrics does not significantly change where a stock is ranked on the risk spectrum. Additionally, including an interest rate exposure factor, a value factor and a momentum factor lowers the unexpected portion (Alpha) of the returns of low volatility stocks, at the same time as narrowing the gap between the unexpected performance of the lowest and highest volatility stocks. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/31727 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:27.383Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/31727 An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange Harrisberg, Richard Huang, Chun-Sung Volatility Alpha Expected Returns JSE Beta CAPM GARCH VaR The low-volatility anomaly can be described as the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently outperform their high volatility counterparts, as well as their own expected return, over the long-term are discussed. This includes analysing how financial risk is measured and whether this plays a role in obscuring the expected risk-return relationship, in addition to other fundamental factors impacting expected returns. It is found that the low-volatility anomaly is present on the JSE and that using a number of different risk metrics does not significantly change where a stock is ranked on the risk spectrum. Additionally, including an interest rate exposure factor, a value factor and a momentum factor lowers the unexpected portion (Alpha) of the returns of low volatility stocks, at the same time as narrowing the gap between the unexpected performance of the lowest and highest volatility stocks. 2020-04-30T08:07:24Z 2020-04-30T08:07:24Z 2019 2020-04-30T07:08:42Z Master Thesis Masters MCom https://hdl.handle.net/11427/31727 eng application/pdf Department of Finance and Tax Faculty of Commerce |
| spellingShingle | Volatility Alpha Expected Returns JSE Beta CAPM GARCH VaR Harrisberg, Richard An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange |
| thesis_degree_str | Master's |
| title | An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange |
| title_full | An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange |
| title_fullStr | An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange |
| title_full_unstemmed | An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange |
| title_short | An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange |
| title_sort | analysis of the low volatility anomaly on the johannesburg stock exchange |
| topic | Volatility Alpha Expected Returns JSE Beta CAPM GARCH VaR |
| url | https://hdl.handle.net/11427/31727 |
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