Common firm-specific characteristics of extreme performers on the Johannesburg Securities Exchange

Abstract

In this study we investigate the common firm-specific factors associated with shares that experience extreme monthly performance on the Johannesburg Securities Exchange. A cross-sectional regression approach is followed to examine the common factors. The identified factors are used in a logistic regression approach to derive models which are used to filter shares from an independent sample to construct respective winner and loser portfolios. The results show that the winner portfolio significantly outperforms while the loser portfolio significantly underperforms the benchmark portfolio. Risk-adjusted performance evaluation further shows that the excess abnormal return obtained cannot be explained by previously suggested asset pricing models.