Bradfield, D. J.; Barr, G. D.I.; Affleck-Graves, J. F. - In: South African Journal of Business Management 19 (1988) 1, pp. 11-21
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...