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Do CAPM anomaly variables provide real-time tradable opportunities on the JSE
Includes bibliographical references (leaves 32-34).
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2014
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| _version_ | 1867613214475288576 |
|---|---|
| access_status_str | Open Access |
| author | Bartens, Ryan |
| author2 | Hassan, Shakill |
| author_browse | Bartens, Ryan Hassan, Shakill |
| author_facet | Hassan, Shakill Bartens, Ryan |
| author_sort | Bartens, Ryan |
| collection | Thesis |
| description | Includes bibliographical references (leaves 32-34). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/5763 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:34.479Z |
| 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 | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/5763 Do CAPM anomaly variables provide real-time tradable opportunities on the JSE Bartens, Ryan Hassan, Shakill Economics Includes bibliographical references (leaves 32-34). This study applies the recursive out-of-sample methodology of Cooper et al. (2005) to determine whether CAPM anomaly variables provide real-time tradable opportunities on the Johannesburg Stock Exchange (JSE). The three predictor variables selected on the basis of the South African literature (size, earnings yield and one-year lagged returns) fail to show any statistical evidence of predictability in realtime. 2014-07-31T12:26:28Z 2014-07-31T12:26:28Z 2005 Master Thesis Masters MComm http://hdl.handle.net/11427/5763 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Economics Bartens, Ryan Do CAPM anomaly variables provide real-time tradable opportunities on the JSE |
| thesis_degree_str | Master's |
| title | Do CAPM anomaly variables provide real-time tradable opportunities on the JSE |
| title_full | Do CAPM anomaly variables provide real-time tradable opportunities on the JSE |
| title_fullStr | Do CAPM anomaly variables provide real-time tradable opportunities on the JSE |
| title_full_unstemmed | Do CAPM anomaly variables provide real-time tradable opportunities on the JSE |
| title_short | Do CAPM anomaly variables provide real-time tradable opportunities on the JSE |
| title_sort | do capm anomaly variables provide real time tradable opportunities on the jse |
| topic | Economics |
| url | http://hdl.handle.net/11427/5763 |
| work_keys_str_mv | AT bartensryan docapmanomalyvariablesproviderealtimetradableopportunitiesonthejse |