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

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dc.contributor.advisorHassan, Shakillen_ZA
dc.contributor.authorBartens, Ryanen_ZA
dc.date.accessioned2014-07-31T12:26:28Z
dc.date.available2014-07-31T12:26:28Z
dc.date.issued2005en_ZA
dc.descriptionIncludes bibliographical references (leaves 32-34).
dc.description.abstractThis 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.identifier.apacitationBartens, 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/11427/5763en_ZA
dc.identifier.chicagocitationBartens, 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/11427/5763en_ZA
dc.identifier.citationBartens, R. 2005. Do CAPM anomaly variables provide real-time tradable opportunities on the JSE. University of Cape Town.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
dc.identifier.urihttp://hdl.handle.net/11427/5763
dc.identifier.vancouvercitationBartens 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/11427/5763en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherEconomicsen_ZA
dc.titleDo CAPM anomaly variables provide real-time tradable opportunities on the JSEen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMCommen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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