Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Predictability of equity premium in South Africa using financial and macroeconomic indicators
Mini Dissertation (MBA)--University of Pretoria, 2019.
Saved in:
| Other Authors: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
University of Pretoria
2020
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613624750571520 |
|---|---|
| access_status_str | Open Access |
| author2 | Thaver, Kuben |
| author_browse | Thaver, Kuben |
| author_facet | Thaver, Kuben |
| collection | Thesis |
| dc_rights_str_mv | © 2020 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, 2019. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/73947 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:06.697Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2020 |
| publishDateRange | 2020 |
| publishDateSort | 2020 |
| 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:2263/73947 Predictability of equity premium in South Africa using financial and macroeconomic indicators Thaver, Kuben ichelp@gibs.co.za Dama, Rowyn UCTD Mini Dissertation (MBA)--University of Pretoria, 2019. The equity premium represents the additional rate of return, in excess of the riskfree rate, required by investors for holding equity. The equity premium is one of the most important numbers in modern day finance and economics. Despite its importance, it has been challenging to predict. The purpose of the present study was to assess the predictability of the equity premium in South Africa. The literature review identified numerous factors that impact the equity premium. The relationship between various financial and macroeconomic indicators and the equity premium was assessed. Individually, eight of the fourteen variables tested demonstrated a statistically significant association with the equity premium. Regression models that condition on a large number of independent variables were assessed in terms of their in-sample significance and relative out-of-sample performance. The results found that equity premium is predictable when utilising penalised regressions. The introduction of statistical constraints improved model performance. The significance of the variance explained by the models indicated that they have the potential to be beneficial to stakeholders pt2020 Gordon Institute of Business Science (GIBS) MBA 2020-04-06T09:59:54Z 2020-04-06T09:59:54Z 2020/04/01 2019 Mini Dissertation Dama, R 2019, Predictability of equity premium in South Africa using financial and macroeconomic indicators, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/73947> http://hdl.handle.net/2263/73947 en © 2020 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 Predictability of equity premium in South Africa using financial and macroeconomic indicators |
| title | Predictability of equity premium in South Africa using financial and macroeconomic indicators |
| title_full | Predictability of equity premium in South Africa using financial and macroeconomic indicators |
| title_fullStr | Predictability of equity premium in South Africa using financial and macroeconomic indicators |
| title_full_unstemmed | Predictability of equity premium in South Africa using financial and macroeconomic indicators |
| title_short | Predictability of equity premium in South Africa using financial and macroeconomic indicators |
| title_sort | predictability of equity premium in south africa using financial and macroeconomic indicators |
| topic | UCTD |
| url | http://hdl.handle.net/2263/73947 |