Asset pricing in small markets: The South African case
South African Journal of Business Management
| Field | Value | |
| Title | Asset pricing in small markets: The South African case | |
| Creator | Bradfield, D. J. Barr, G. D.I. Affleck-Graves, J. F. | |
| Description | 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. | |
| Publisher | AOSIS | |
| Date | 1988-03-31 | |
| Identifier | 10.4102/sajbm.v19i1.965 | |
| Source | South African Journal of Business Management; Vol 19, No 1 (1988); 11-21 2078-5976 2078-5585 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajbm.org/index.php/sajbm/article/view/965/905
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