The pricing of industrial shares on The Johannesburg Stock Exchange

Abstract

This paper reviews the major features of modern investment theory and illustrates them with examples drawn from The Johannesburg Stock Exchange (“JSE”). The cardinal relationship that emerges from this theory is embodied in the Capital Asset Pricing Model (“CAPM”) which states how assets are priced in terms of their beta coefficients. A methodology is then described which enables the parameters of this model to be estimated for the JSE.