Abstract
This study revisits the concept of momentum and explores the efficacy of different well-known momentum-based strategies in the South African equity market. The work expands on existing research by contrasting three well-known momentum strategies, namely the traditional approach (Jeegadeesh & Titman, 1993), the industry approach (Moskowitz & Grinblatt, 1999) and the 52-week-high strategy (George & Hwang, 2004) in terms of their performance to a passive (control) portfolio and one another as applied to the South African equity market. The results confirm that South African investors can expect excess returns from employing either the traditional momentum approach or the industry momentum approach (there is no significant difference in performance) but not the 52-week-high approach. This study could also contribute to the growing body of research on the efficiency of the South African market since the success of trading strategies supports the predictability of asset prices which may challenge weak form efficiency.
M.Com. (Finance)