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

Simple item page
dc.contributor.advisorWitten, Garethen_ZA
dc.contributor.authorYang, Yannien_ZA
dc.date.accessioned2015-01-15T18:38:00Z
dc.date.available2015-01-15T18:38:00Z
dc.date.issued2011en_ZA
dc.descriptionIncludes abstract.en_ZA
dc.descriptionIncludes bibliographical references (leaves 42-44).en_ZA
dc.description.abstractThis 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.en_ZA
dc.identifier.apacitationYang, Y. (2011). <i>Interaction between firm-level variables and stock betas : a South African perspective</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/12242en_ZA
dc.identifier.chicagocitationYang, Yanni. <i>"Interaction between firm-level variables and stock betas : a South African perspective."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2011. http://hdl.handle.net/11427/12242en_ZA
dc.identifier.citationYang, Y. 2011. Interaction between firm-level variables and stock betas : a South African perspective. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Yang, Yanni AB - 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. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Interaction between firm-level variables and stock betas : a South African perspective TI - Interaction between firm-level variables and stock betas : a South African perspective UR - http://hdl.handle.net/11427/12242 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/12242
dc.identifier.vancouvercitationYang Y. Interaction between firm-level variables and stock betas : a South African perspective. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/12242en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleInteraction between firm-level variables and stock betas : a South African perspectiveen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_sci_2011_yang_y.pdf
Size:
2.75 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters