Do the value, size and January effects exist on the JSE?

This paper updates and expands the study done by Robins, Sandler and Durand (1999) in which they investigated whether or not the inter-relationships between the value, size and January effects can be detected on the JSE. The aim of this study is to investigate whether or not their findings can be corroborated in the first period and whether these effects can be detected in the second period. Therefore, the two periods used in this study are from January 1988 to December 1995 (chosen to coincide with Robins et al, 1999) and from January 1996 to December 2006. No significant value, size or January effects were found in either of the periods. This is partially consistent with Robins et al. (1999)'s findings in so far as they do not find significant value or size effects. However, unlike Robins et al. (1999), no January effect was evident in either period.