Thomas, V., & Gossel, Sean J. (2017) The authors aimed to test,the semi-strong form efficiency of the Johannesburg Stock Exchange through conducting a study of portfolio which aimed in understanding whether certain firm characteristics or strategies could be utilised to create portfolios of shares that would yield high returns when compared to the stock market. In the semi-strong form, market efficiency is through the fact that all public information is made and processed efficiently, making it impossible to yield abnormal returns by making use of investment strategies that utilise this information.
The price to book value ratio, the price to earnings ratio, market capitalisation, and the share price momentum were used for determining strategies. The results demonstrate that an investment strategy consisting of shares with high price momentum outperformed the market during the time by generating significant abnormal returns. The study discovered that portfolios that had high capitalised share generated more returns and outperformed the market for the period. This study shows that certain characteristics of a firm in the past can be useful in predicting future returns. Here they found evidence of semi-strong and weak form efficiency of the JSE