The ability to accurately estimate systematic risk (or beta) in the presence of reference-day risk is an ineluctable requirement for all applications of the capital asset pricing model (CAPM). This research documents evidence of reference-day risk for shares on the Johannesburg All Share Index....

The ability to accurately estimate systematic risk (or beta) when reference-day risk is considered is an ineluctable requirement for all applications of the capital asset pricing model (CAPM). This research documents evidence of reference-day risk for shares on the Johannesburg All Share Index....