Articles by Keyword: Arbitrage

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  1. Employing the prespecified variable approach to APT factor identification on the segmented Johannesburg Stock Exchange

    Employing the prespecified variable approach to APT factor identification on the segmented Johannesburg Stock Exchange

    Item type: Journal Article • Journal: South African Journal of Accounting Research
    Prior research has provided evidence that the return generating process on the Johannesburg Stock Exchange (JSE) is dichotomous in nature (Campbell, 1979; Gilbertson and Goldberg, 1981;Carter, 1983; Page, 1986, 1989; Venter, Bradfield and Bowie, 1992). More specifically, this prior work...
  2. Unifying the factor analytic and prespecified variable approaches to APT factor identification on the Johannesburg Stock Exchange

    Unifying the factor analytic and prespecified variable approaches to APT factor identification on the Johannesburg Stock Exchange

    Item type: Journal Article • Journal: South African Journal of Accounting Research
    This paper reviews recent empirical work concerning the number and macroeconomic nature of the priced Arbitrage Pricing Theory (APT) factors on the Johannesburg Stock Exchange (JSE). As a consolidation of prior factor analytic and prespecified variable findings, a brief empirical...
  3. On pricing kernels, information and risk

    On pricing kernels, information and risk

    Item type: Journal Article • Journal: Investment Analysts Journal
    This paper compares out-of-sample, ex-ante risk and returns of arbitrage pricing theory (APT) risk-factor based, zero-cost portfolios with characteristic-based, zero-cost portfolios. In particular the Haugen and Baker characteristic-based model framework is used in a comparison with the capital asset pricing...
  4. Macroeconomic variables and the Johannesburg Stock Exchange: A multifactor approach

    Macroeconomic variables and the Johannesburg Stock Exchange: A multifactor approach

    Item type: Journal Article • Journal: De Ratione
    This study estimates the simultaneous relationship between a number of selected macroeconomic variables and share prices on the Johannesburg Stock Exchange (JSE). A linear factor model identical in form to that assumed by the arbitrage pricing theory (APT) is estimated...
  5. Further Evidence of Firm Size and Earnings Anomalies on the Johannesburg Stock Exchange

    Further Evidence of Firm Size and Earnings Anomalies on the Johannesburg Stock Exchange

    Item type: Journal Article • Journal: De Ratione
    In spite of the large body of evidence in favour of capital market efficiency in the semi-strong form, several enigmatic findings persist. As much of the research is based on the theoretical foundation of the Capital Asset Pricing Model, the...
  6. Idiosyncratic risk and anomaly persistence on the Johannesburg Stock Exchange (JSE)

    Idiosyncratic risk and anomaly persistence on the Johannesburg Stock Exchange (JSE)

    Item type: Journal Article • Journal: Investment Analysts Journal
    This study examines arbitrage costs and the persistence of the size, value and momentum premiums on the Johannesburg Stock Exchange (JSE). Two arbitrage costs are considered: transaction and holding costs. Transaction costs refer to indirect and direct costs of engaging...
  7. The investment return puzzle on the Johannesburg Stock Exchange

    The investment return puzzle on the Johannesburg Stock Exchange

    Item type: Journal Article • Journal: Investment Analysts Journal
    Firms that invest into positive net present value projects should outperform firms that do not invest. Surprisingly, several studies on United States data have found a negative relationship between capital investment and subsequent shareholder return. There are conflicting explanations for...