ABSTRACT

This study examines the factors that explain the return generating process of stocks listed on the JSE. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly multivariate factor analysis techniques. The paper further explores the sensitivities of the factors identified in bull and bear markets.  Evidence supporting the use of multi-factor models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s two-factor model for the JSE.