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A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk
Mini Dissertation (MBA)--University of Pretoria, 2017.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2018
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| _version_ | 1867613499770798080 |
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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 | © 2018 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 | Mini Dissertation (MBA)--University of Pretoria, 2017. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/64923 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:07.698Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| 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:2263/64923 A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk Ward, Mike ichelp@gibs.co.za Sahadev, Keshav UCTD Mini Dissertation (MBA)--University of Pretoria, 2017. The ability to accurately estimate systematic risk (or beta) in the presence of reference-day risk is an ineluctable requirement for all applications of the capital asset pricing model (CAPM). This research documents evidence of reference-day risk for shares on the Johannesburg All Share Index. In response to the need for greater accuracy when estimating systematic risk, this paper contributes a volume-weighted-average-price (VWAP) method for estimating beta when reference-day risk is exhibited in share betas. Furthermore, this research applies a graphical time-series approach to test the underlying risk-reward tenet postulated by the CAPM. Using beta as a measure of systematic risk, this research finds that the CAPM appears to imperfectly specify the risk-reward trade-off. lt2018 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2018-05-11T09:03:25Z 2018-05-11T09:03:25Z 30-03-18 2017 Mini Dissertation Sahadev, K 2017, A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/64923> http://hdl.handle.net/2263/64923 en © 2018 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 A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk |
| title | A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk |
| title_full | A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk |
| title_fullStr | A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk |
| title_full_unstemmed | A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk |
| title_short | A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk |
| title_sort | volume weighted average price vwap method for estimating beta in the context of reference day risk |
| topic | UCTD |
| url | http://hdl.handle.net/2263/64923 |