MULTIVARIATE TESTS OF THE CAPITAL-ASSET PRICING MODEL - THE SOUTH-AFRICAN EVIDENCE

被引：0

作者：

BRADFIELD, DJ

AFFLECKGRAVES, JF

机构：

[1] UNIV CAPE TOWN,DEPT STAT SCI,RONDEBOSCH 7700,SOUTH AFRICA

[2] UNIV NOTRE DAME,DEPT FINANCE & BUSINESS ECON,NOTRE DAME,IN 46556

来源：

SOUTH AFRICAN STATISTICAL JOURNAL | 1991年 / 25卷 / 01期

关键词：

DIVIDEND YIELD EFFECTS; EFFICIENT PORTFOLIOS; FIRM-SIZE EFFECTS; LIQUIDITY EFFECTS; MARKET RISK;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A recent development in financial research has been the emergence of a multivariate approach for testing asset pricing models. In this article a multivariate test for the validity of the Capital Asset Pricing Model (CAPM) on the Johannesburg Stock Exchange (JSE) is proposed. A technique for testing additional factors for asset pricing is also considered. The results show that the validity of the CAPM cannot be rejected on the JSE. By contrast to results found on the New York Stock Exchange, none of the additional factors, namely, firm size, dividend yield and liquidity were found to influence asset pricing on the JSE.

引用

页码：19 / 44

页数：26

共 50 条

[1] THE CAPITAL-ASSET PRICING MODEL: THE CASE OF SOUTH AFRICA
Reddy, T. L.
Thomson, R. J.
[J]. SOUTH AFRICAN ACTUARIAL JOURNAL, 2011, 11 : 43 - 84
[2] CAPITAL-ASSET PRICING MODEL
MULLINS, DW
[J]. HARVARD BUSINESS REVIEW, 1982, 60 (02) : 203 - &
[3] EXPERIMENTAL TESTS OF THE SEPARATION THEOREM AND THE CAPITAL-ASSET PRICING MODEL
KROLL, Y
LEVY, H
RAPOPORT, A
[J]. AMERICAN ECONOMIC REVIEW, 1988, 78 (03): : 500 - 519
[4] FURTHER TESTS OF THE SEPARATION THEOREM AND THE CAPITAL-ASSET PRICING MODEL
KROLL, Y
LEVY, H
[J]. AMERICAN ECONOMIC REVIEW, 1992, 82 (03): : 664 - 670
[5] THE CAPITAL-ASSET PRICING MODEL - THEORY AND EMPIRICISM
LEVY, H
[J]. ECONOMIC JOURNAL, 1983, 93 (369): : 145 - 165
[6] AN ALTERNATIVE TEST OF THE CAPITAL-ASSET PRICING MODEL
CHENG, PL
GRAUER, RR
[J]. AMERICAN ECONOMIC REVIEW, 1980, 70 (04): : 660 - 671
[7] DOES THE CAPITAL-ASSET PRICING MODEL WORK
MULLINS, DW
[J]. HARVARD BUSINESS REVIEW, 1982, 60 (01) : 105 - 114
[8] ANOTHER LOOK AT THE CAPITAL-ASSET PRICING MODEL
LEVY, H
[J]. QUARTERLY REVIEW OF ECONOMICS AND BUSINESS, 1984, 24 (02): : 5 - 32
[9] CAPITAL-ASSET PRICING IN AN OVERLAPPING GENERATIONS MODEL
HUBERMAN, G
[J]. JOURNAL OF ECONOMIC THEORY, 1984, 33 (02) : 232 - 248
[10] FUNCTIONAL FORMS AND THE CAPITAL-ASSET PRICING MODEL
MCDONALD, B
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1983, 18 (03) : 319 - 329

← 1 2 3 4 5 →