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Interaction between firm-level variables and stock betas : a South African perspective
Includes abstract.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2015
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| _version_ | 1867613253055545344 |
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| access_status_str | Open Access |
| author | Yang, Yanni |
| author2 | Witten, Gareth |
| author_browse | Witten, Gareth Yang, Yanni |
| author_facet | Witten, Gareth Yang, Yanni |
| author_sort | Yang, Yanni |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/12242 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:12.104Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/12242 Interaction between firm-level variables and stock betas : a South African perspective Yang, Yanni Witten, Gareth Mathematical Finance Includes abstract. Includes bibliographical references (leaves 42-44). 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. 2015-01-15T18:38:00Z 2015-01-15T18:38:00Z 2011 Master Thesis Masters MPhil http://hdl.handle.net/11427/12242 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Yang, Yanni Interaction between firm-level variables and stock betas : a South African perspective |
| thesis_degree_str | Master's |
| title | Interaction between firm-level variables and stock betas : a South African perspective |
| title_full | Interaction between firm-level variables and stock betas : a South African perspective |
| title_fullStr | Interaction between firm-level variables and stock betas : a South African perspective |
| title_full_unstemmed | Interaction between firm-level variables and stock betas : a South African perspective |
| title_short | Interaction between firm-level variables and stock betas : a South African perspective |
| title_sort | interaction between firm level variables and stock betas a south african perspective |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/12242 |
| work_keys_str_mv | AT yangyanni interactionbetweenfirmlevelvariablesandstockbetasasouthafricanperspective |