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Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models
Mini Dissertation (MBA)--University of Pretoria, 2015.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2016
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| _version_ | 1867613614790148096 |
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| access_status_str | Open Access |
| author2 | Muller, Chris |
| author_browse | Muller, Chris |
| author_facet | Muller, Chris |
| collection | Thesis |
| dc_rights_str_mv | © 2016 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. |
| description | Mini Dissertation (MBA)--University of Pretoria, 2015. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/52363 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:38:57.201Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| 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:2263/52363 Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models Muller, Chris ichelp@gibs.co.za Carter, Bradley UCTD Mini Dissertation (MBA)--University of Pretoria, 2015. The ability to accurately price equity is an ineluctable requirement within businesses where decisions need to be taken daily that impact upon the future viability of that business. The Capital asset pricing model (CAPM) is the preeminent tool that has become entrenched within academia and business for exactly the purpose of costing equity capital. This study aimed to prove whether the application of the CAPM, in various forms, including the Black s CAPM, was merely a myopic inculcation of the academic and business spheres, or whether it truly reflected the empirical reality of the South African markets. The research discredited eight variations of the CAPM through a quantitative causal design, which employed t-tests and ANOVAs, tested upon a judgmental sample of the largest 160 shares on the JSE. Reaching this opprobrium would have been a Pyrrhic victory, had an alternative model not been proposed. Thus, a quartet of styles was employed in tests against both non-resource and resource shares in an attempt to generate two multi-factor models known as the Optimised Returns Score (ORS) combined models. The generated model for the non-resource shares explained 36.5% of the variation in the observed cost of equity capital, at a 95% level of significance. However, a statistically significant predictive model for resource shares was unable to be found, possibly due to the small sample size available. sn2016 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2016-05-04T13:45:56Z 2016-05-04T13:45:56Z 2016-03-30 2015 Mini Dissertation Carter, B 2015, Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models, MBA Mini-dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/52363> GIBS http://hdl.handle.net/2263/52363 en © 2016 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models |
| title | Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models |
| title_full | Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models |
| title_fullStr | Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models |
| title_full_unstemmed | Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models |
| title_short | Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models |
| title_sort | capital asset pricing model capm applicability in the south african context and alternative pricing models |
| topic | UCTD |
| url | http://hdl.handle.net/2263/52363 |