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Empirical testing of implied cost of equity in the capital asset pricing model using JSE listed companies
Dissertation (MBA)--University of Pretoria, 2013.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2014
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| _version_ | 1867613491459784704 |
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| access_status_str | Open Access |
| author2 | Ward, Mike |
| author_browse | Ward, Mike |
| author_facet | Ward, Mike |
| collection | Thesis |
| dc_rights_str_mv | © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MBA)--University of Pretoria, 2013. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/40768 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:59.722Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/40768 Empirical testing of implied cost of equity in the capital asset pricing model using JSE listed companies Ward, Mike ichelp@gibs.co.za Kempff, Paul UCTD Johannesburg Stock Exchange (JSE) Capital asset pricing model Dissertation (MBA)--University of Pretoria, 2013. The capital asset pricing model (CAPM) has for half a century been considered a pillar of modern finance in describing the relationship that is deemed to exist between the risk of owning an asset and the expected future returns from that asset. The model has however been subject to criticisms and attacks in the literature and some doubt remains about the validity and successful application of the model. This research builds on previous empirical testing of the CAPM with a specific focus on the cost of equity of companies listed on the Johannesburg Stock Exchange. The approach of this research was to use market values, as indicated by the share price of a listed company and discounted free cash-flow valuations to determine both an estimated and implied cost of equity. The aim was to test the validity of the CAPM empirically and potentially find an accurate, implied cost of equity for the South African equity market, by comparing the different rates and looking for statistical correlation between them. While no correlation could be found, this study did provide evidence that the cost of equity and the market risk premium in South Africa is potentially higher than previously thought. ccgibs2014 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2014-07-15T10:16:42Z 2014-07-15T10:16:42Z 2014-04-30 2013 Mini Dissertation Kempff, P 2013, Empirical testing of implied cost of equity in the capital asset pricing model using JSE listed companies, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/40768> http://hdl.handle.net/2263/40768 en © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Johannesburg Stock Exchange (JSE) Capital asset pricing model Empirical testing of implied cost of equity in the capital asset pricing model using JSE listed companies |
| title | Empirical testing of implied cost of equity in the capital asset pricing model using JSE listed companies |
| title_full | Empirical testing of implied cost of equity in the capital asset pricing model using JSE listed companies |
| title_fullStr | Empirical testing of implied cost of equity in the capital asset pricing model using JSE listed companies |
| title_full_unstemmed | Empirical testing of implied cost of equity in the capital asset pricing model using JSE listed companies |
| title_short | Empirical testing of implied cost of equity in the capital asset pricing model using JSE listed companies |
| title_sort | empirical testing of implied cost of equity in the capital asset pricing model using jse listed companies |
| topic | UCTD Johannesburg Stock Exchange (JSE) Capital asset pricing model |
| url | http://hdl.handle.net/2263/40768 |