Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa
dc.contributor.advisor | Abraham, Haim | en_ZA |
dc.contributor.author | Mangani, Ronald Dadi | en_ZA |
dc.date.accessioned | 2014-07-31T12:24:41Z | |
dc.date.available | 2014-07-31T12:24:41Z | |
dc.date.issued | 2004 | en_ZA |
dc.description | Includes bibliographical references. | |
dc.description.abstract | Recent South African asset pricing research has generally established a preference for the arbitrage pricing theory of Ross (1976) over the capital asset pricing model of Sharpe (1964) and others. However, both the APT and the CAPM are single-period linear models based on the assumption that security prices follow a normal strong random walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information. | en_ZA |
dc.identifier.apacitation | Mangani, R. D. (2004). <i>Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/5743 | en_ZA |
dc.identifier.chicagocitation | Mangani, Ronald Dadi. <i>"Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2004. http://hdl.handle.net/11427/5743 | en_ZA |
dc.identifier.citation | Mangani, R. 2004. Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa. University of Cape Town. | en_ZA |
dc.identifier.ris | TY - Thesis / Dissertation AU - Mangani, Ronald Dadi AB - Recent South African asset pricing research has generally established a preference for the arbitrage pricing theory of Ross (1976) over the capital asset pricing model of Sharpe (1964) and others. However, both the APT and the CAPM are single-period linear models based on the assumption that security prices follow a normal strong random walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information. DA - 2004 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2004 T1 - Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa TI - Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa UR - http://hdl.handle.net/11427/5743 ER - | en_ZA |
dc.identifier.uri | http://hdl.handle.net/11427/5743 | |
dc.identifier.vancouvercitation | Mangani RD. Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2004 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5743 | en_ZA |
dc.language.iso | eng | en_ZA |
dc.publisher.department | School of Economics | en_ZA |
dc.publisher.faculty | Faculty of Commerce | en_ZA |
dc.publisher.institution | University of Cape Town | |
dc.subject.other | Economics | en_ZA |
dc.title | Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa | en_ZA |
dc.type | Doctoral Thesis | |
dc.type.qualificationlevel | Doctoral | |
dc.type.qualificationname | PhD | en_ZA |
uct.type.filetype | Text | |
uct.type.filetype | Image | |
uct.type.publication | Research | en_ZA |
uct.type.resource | Thesis | en_ZA |
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