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The fama french five factor asset pricing model on the JSE
Mini Dissertation (MBA)--University of Pretoria, 2018.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2019
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| _version_ | 1867613497824641024 |
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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 | © 2019 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, 2018. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/68842 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:05.780Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| 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:2263/68842 The fama french five factor asset pricing model on the JSE Ward, Mike ichelp@gibs.co.za Du-Pisanie, Tristan UCTD Mini Dissertation (MBA)--University of Pretoria, 2018. The aim of the research project was to evaluate a number of asset pricing models hinging around the latest research by Gene Fama and Kenneth French who proposed a five-factor asset pricing models using independent variables of: the return of the whole market relative to a risk free investment, value, investment, profitability and size. Previous research had evaluated the model in a number of locations around the world with different results for different regions. Thus, understanding the five factor model in the context of the Johannesburg Stock Exchange (JSE) was a worthwhile academic exercise in addition to being useful to business. In total, 15 asset pricing models were analysed with combinations of the five factors evaluated. This ranged from the simplest model, the single factor Capital Asset Pricing Model (CAPM), to the full five factor model. Results show that the five factor model provided the best explanation of share behaviour on the JSE out of all models evaluated. Other findings included: the CAPM does not work well as an explanatory model, more factors in an asset pricing model generally give better results and the results from models with the same number of factors are fairly close together. zk2019 Gordon Institute of Business Science (GIBS) MBA 2019-04-04T10:16:58Z 2019-04-04T10:16:58Z 30-Mar-19 2018 Mini Dissertation Du-Pisanie, T 2018, The fama french five factor asset pricing model on the JSE, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/68842> http://hdl.handle.net/2263/68842 en © 2019 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 The fama french five factor asset pricing model on the JSE |
| title | The fama french five factor asset pricing model on the JSE |
| title_full | The fama french five factor asset pricing model on the JSE |
| title_fullStr | The fama french five factor asset pricing model on the JSE |
| title_full_unstemmed | The fama french five factor asset pricing model on the JSE |
| title_short | The fama french five factor asset pricing model on the JSE |
| title_sort | fama french five factor asset pricing model on the jse |
| topic | UCTD |
| url | http://hdl.handle.net/2263/68842 |