JSE Power of Value,Part-II

PREVIOUS : Power of Value on the JSE, Part-I

In October 2008, in another seminal research piece, the Brandes Institute sought to extend the research of Lakonishok, Shleifer and Vishny by first validating their methodology and then by adding 14 decile sets for the period 1990 to 2003 for a total of 36 decile sets. The research confirmed that the theory still held strong in more recent times.

The Brandes researchers then sought to build upon Fama and French’s 1998 work, examining value stocks and glamour stocks from a global perspective. Using the same methodology applied in the United States, they studied equities traded in 23 developed markets to evaluate global results. The results were startling and very similar for small and large cap stocks and are shown below:

Unfortunately, the JSE was not included in this research so naturally we decided to publish a seminal piece of research work ourselves, by conducting a similar excersise locally.

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