TESTING FORMARKET ANOMALIES IN DIFFERENT SECTORS OFTHE JOHANNESBURG STOCK EXCHANGE

Thisstudy comparedthe performance of different asset-pricing models and theirability to account for market anomalies in different sectors of the JohannesburgStock Exchange (JSE). The total sample size of the study consisted of 156companies categorised into six differentsectors namely, resources, consumergoods, consumer services, financial, industrial and others.Various asset-pricingmodels such asthe Capital Asset pricing Model(CAPM),the Fama and Frenchthree-factor model andthe Carhartfour-factor model were used to analyse monthlydata from January 2002 to December 2014. Variables used include themonthlystock return for each company and different market anomalies namely, size, value,January and momentum effects. The study revealedthat whenever the asset-pricingmodels were not restricted, they tend to capture the market anomalies in fourout ofthe six sectors. In contrast,when the models are restricted, they only seem to capturetheanomaliesinone of the six examined sectors.Thus,market anomalies aresensitive to model specifications, as restricting the modelstends to reduce thelikelihood of finding the presence of the market anomaliesacross the sectors.Ourfindings also show that market anomaliestend to differ across sectors and somesectors seem to bemore efficient than others