In the absence of clear accounting guidelines, the closing number of shares reported in the company annual report is not always equivalent to the closing balance of the group shares.The closing balance of the number of shares of 111 companies listed on the Johannesburg Stock Exchange, for the...

The purpose of this dissertation is to motivate, construct and test the suitability of the Fama and French (1993) three-factor model in pricing equities listed on the Johannesburg Stock Exchange. Before this can be achieved, however, the existence of the size and the value effects needs to be...