Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns
Includes bibliographical references.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2014
|
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613882537738240 |
|---|---|
| access_status_str | Open Access |
| author | Moore, David |
| author2 | Van Rensburg, Paul |
| author_browse | Moore, David Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Moore, David |
| author_sort | Moore, David |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10676 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:43:12.740Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10676 An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns Moore, David Van Rensburg, Paul Includes bibliographical references. 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. 2014-12-30T19:59:12Z 2014-12-30T19:59:12Z 2008 Master Thesis Masters MBusSc http://hdl.handle.net/11427/10676 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Moore, David An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns |
| thesis_degree_str | Master's |
| title | An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns |
| title_full | An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns |
| title_fullStr | An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns |
| title_full_unstemmed | An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns |
| title_short | An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns |
| title_sort | investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns |
| url | http://hdl.handle.net/11427/10676 |
| work_keys_str_mv | AT mooredavid aninvestigationoffirmspecificandmacroeconomicvariablesandtheirinfluenceonemergingmarketstockreturns AT mooredavid investigationoffirmspecificandmacroeconomicvariablesandtheirinfluenceonemergingmarketstockreturns |