Cyclicality of size, value, and momentum on the Johannesburg Stock Exchange

The study examines the cyclical behaviour of style premiums on Johannesburg Stock Exchange (JSE) over period 2002–2018. More specifically, establishes whether there is a contemporaneous relationship between and certain regime dynamics. examination extends two consecutive business cycles, each with an upward downward phase. A robust factor-mimicking portfolio construction procedure employed. Findings show that small-cap risk premium shrinks significantly or becomes negative during phases while momentum strongly positive throughout period, but lower phases. value periods particularly strong around 2008 financial crisis low Thus, size effects are procyclical effect countercyclical JSE. adds to limited JSE-related literature likely be interest factor allocation investors wanting exploit cycle.