An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorMoore, Daviden_ZA
dc.date.accessioned2014-12-30T19:59:12Z
dc.date.available2014-12-30T19:59:12Z
dc.date.issued2008en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis paper aims to expand on the growing area of asset pricing research in developed markets by extending such analyses to those nations considered to be emerging. Of late the accuracy of a previously established cornerstone of asset pricing theory, namely the Capital Asset Pricing Model (CAPM) has been questioned. The discovery of numerous firm related anomalies that have predictive power over the cross sectional variation of share returns in excess of that explained by established market proxy models has served to fuel interest and speculation as to the true robustness and exploitability of such influences. These firm specific influences have been termed 'style characteristics' . This study employed the use of the DataStream International Emerging Market Index for the extraction of all firm specific and return data. In addition to the considered 'style' characteristics this study explores the broader systematic effects associated with changes in key macroeconomic variables.en_ZA
dc.identifier.apacitationMoore, D. (2008). <i>An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/10676en_ZA
dc.identifier.chicagocitationMoore, David. <i>"An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2008. http://hdl.handle.net/11427/10676en_ZA
dc.identifier.citationMoore, D. 2008. An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Moore, David AB - This paper aims to expand on the growing area of asset pricing research in developed markets by extending such analyses to those nations considered to be emerging. Of late the accuracy of a previously established cornerstone of asset pricing theory, namely the Capital Asset Pricing Model (CAPM) has been questioned. The discovery of numerous firm related anomalies that have predictive power over the cross sectional variation of share returns in excess of that explained by established market proxy models has served to fuel interest and speculation as to the true robustness and exploitability of such influences. These firm specific influences have been termed 'style characteristics' . This study employed the use of the DataStream International Emerging Market Index for the extraction of all firm specific and return data. In addition to the considered 'style' characteristics this study explores the broader systematic effects associated with changes in key macroeconomic variables. DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns TI - An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns UR - http://hdl.handle.net/11427/10676 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/10676
dc.identifier.vancouvercitationMoore D. An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10676en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.titleAn investigation of firm specific and macroeconomic variables and their influence on emerging market stock returnsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMBusScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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