Asset pricing in small markets: The South African case

Artikel

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: South African Journal of Business Management ; ISSN: 2078-5976 ; Volume: 19 ; Year: 1988 ; Issue: 1 ; Pages: 11-21 ; Cape Town: African Online Scientific Information Systems (AOSIS)

Klassifikation und Themen

• Klassifikation: Management

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bradfield, D. J. ; Barr, G. D.I. ; Affleck-Graves, J. F.
• Ereignis: Veröffentlichung
• (wer): African Online Scientific Information Systems (AOSIS)
• (wo): Cape Town
• (wann): 1988

Weitere Informationen

• DOI: doi:10.4102/sajbm.v19i1.965
• Handle: http://hdl.handle.net/10419/217984
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ