Return prediction in small capitalization companies on the Johannesburg Stock Exchange

This report analyzes return prediction in small capitalization companies on the Johannesburg Stock Exchange over the period from 1 January 2010 to 31 December 2015. Well-established fundamental company characteristics and additional small capitalization specific characteristics were regressed against the returns of 104 small capitalization companies. The results show contrary predictability than what is seen in prior studies, which focused on larger companies. The results highlight the difference in the nature of returns earned by small caps and provide insight into unique predictive characteristics that can be used by investors and analysts of small capitalization companies.