Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217942 
Year of Publication: 
1986
Citation: 
[Journal:] South African Journal of Business Management [ISSN:] 2078-5976 [Volume:] 17 [Issue:] 4 [Publisher:] African Online Scientific Information Systems (AOSIS) [Place:] Cape Town [Year:] 1986 [Pages:] 191-195
Publisher: 
African Online Scientific Information Systems (AOSIS), Cape Town
Abstract: 
Recent studies on the New York Stock Exchange have provided empirical evidence which suggests that small market capitalization firms outperform large market capitalization firms in terms of share price performance. This appears valid even after adjusting for the additional risk borne by the small firms. This has become known as the 'small firm effect' and questions the validity of many traditional pricing models such as the Capital Asset Pricing Model. In this paper, the small firm effect is examined on the Johannesburg Stock Exchange. The risk-adjusted performance of portfolios comprising large firms is contrasted with that of small firms. Three measures of size are used, namely market capitalization, asset base and traded volume. In all three cases, no evidence of a small firm effect is apparent. Indeed, if anything, the large firms appear to provide superior investment performance on the JSE.
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Creative Commons License: 
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Document Type: 
Article

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