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Understanding the low volatility anomaly in the South African equity market
The Capital Asset Pricing Model (CAPM) advocates that expected return has a linear proportional relationship with beta (and subsequently volatility). As such, the higher the systematic risk of a security the higher the CAPM expected return. However, empirical results have hardly supported this view...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2016
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