Browsing by Author "Bartens, Ryan"

Now showing 1 - 1 of 1
  • Thumbnail Image
    Item
    Open Access
    Do CAPM anomaly variables provide real-time tradable opportunities on the JSE
    (2005) Bartens, Ryan; Hassan, Shakill
    This study applies the recursive out-of-sample methodology of Cooper et al. (2005) to determine whether CAPM anomaly variables provide real-time tradable opportunities on the Johannesburg Stock Exchange (JSE). The three predictor variables selected on the basis of the South African literature (size, earnings yield and one-year lagged returns) fail to show any statistical evidence of predictability in realtime.