Asset pricing in small markets: The South African case
The authors examine the validity of the CAPM for Johannesburg Stock Exchange (JSE) stocks. Additional effects, namely, dividend yield, size and liquidity are also considered using traditional tests. The results indicate that the one-parameter CAPM is well-specified for the JSE. The betas of gold shares, however, are found to be poor predictors of rand returns - but improve when viewed in dollar terms. None of the above-mentioned effects are found to be significant, however, a slight preference for high-yielding gold shares is documented. Explanations for these findings are offered and contrasted with results documented on the NYSE.
Year of publication: |
1988
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Authors: | Bradfield, D. J. ; Barr, G. D.I. ; Affleck-Graves, J. F. |
Published in: |
South African Journal of Business Management. - Cape Town : African Online Scientific Information Systems (AOSIS), ISSN 2078-5976. - Vol. 19.1988, 1, p. 11-21
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Publisher: |
Cape Town : African Online Scientific Information Systems (AOSIS) |
Saved in:
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