Interaction between firm-level variables and stock betas : a South African perspective

Master Thesis

2011

Permanent link to this Item
http://hdl.handle.net/11427/12242
Files
thesis_sci_2011_yang_y.pdf (2.75 MB)
Authors
Yang, Yanni
Supervisors
Witten, Gareth
Journal Title
Link to Journal
Journal ISSN
Volume Title
Publisher
Publisher

University of Cape Town

Department
Division of Actuarial Science
Faculty
Faculty of Commerce
License
Series
Abstract
This paper aims to determine the existence of the interaction between firm-level variables and stock betas in the South African equity market and if existent, use this relationship to aid market participants in the investment process. This paper looks at the use of Kalman filter in estimating stock betas which vary over time. A brief overview of the Kalman filter method is provided. In particular, this paper examines the impact of sub-sector betas and firm-specific variables on stock betas over the full period under study and over two market regimes to determine if the impact is dependent on the direction of the market.
Description

Includes abstract.


Includes bibliographical references (leaves 42-44).

Keywords
Mathematical Finance

Reference:

Yang, Y. 2011. Interaction between firm-level variables and stock betas : a South African perspective. University of Cape Town.

Collections
Masters