Do CAPM anomaly variables provide real-time tradable opportunities on the JSE

 

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dc.contributor.advisor Hassan, Shakill en_ZA
dc.contributor.author Bartens, Ryan en_ZA
dc.date.accessioned 2014-07-31T12:26:28Z
dc.date.available 2014-07-31T12:26:28Z
dc.date.issued 2005 en_ZA
dc.identifier.citation Bartens, R. 2005. Do CAPM anomaly variables provide real-time tradable opportunities on the JSE. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/5763
dc.description Includes bibliographical references (leaves 32-34).
dc.description.abstract 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. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Economics en_ZA
dc.title Do CAPM anomaly variables provide real-time tradable opportunities on the JSE en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department School of Economics en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MComm en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Bartens, R. (2005). <i>Do CAPM anomaly variables provide real-time tradable opportunities on the JSE</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/5763 en_ZA
dc.identifier.chicagocitation Bartens, Ryan. <i>"Do CAPM anomaly variables provide real-time tradable opportunities on the JSE."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2005. http://hdl.handle.net/11427/5763 en_ZA
dc.identifier.vancouvercitation Bartens R. Do CAPM anomaly variables provide real-time tradable opportunities on the JSE. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5763 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Bartens, Ryan AB - 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. DA - 2005 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2005 T1 - Do CAPM anomaly variables provide real-time tradable opportunities on the JSE TI - Do CAPM anomaly variables provide real-time tradable opportunities on the JSE UR - http://hdl.handle.net/11427/5763 ER - en_ZA


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