| Article ID: | iaor1999738 |
| Country: | South Africa |
| Volume: | 21 |
| Issue: | 3 |
| Start Page Number: | 67 |
| End Page Number: | 78 |
| Publication Date: | Jan 1997 |
| Journal: | JSEE |
| Authors: | Bradfield D.J., Ardington C.S. |
| Keywords: | risk, investment |
This note focuses on the risk of longer term investment in equity on the Johannesburg Stock Exchange (JSE). Graphical and quantitative evidence of serial dependence in annual returns is presented. Based on 16 years of price data on the JSE the study finds significant evidence of mean reversion in annual returns. This note argues that, due to this serial dependence, the risk of longer term investment in equity, as measured by variance, is probably less than perceived.