Articles by Keyword: Arbitrage Pricing Theory

Search results for Arbitrage Pricing Theory

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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. A review of capital market theory from a South African Perspective

    A review of capital market theory from a South African Perspective

    Item type: Journal Article • Journal: De Ratione
    The vast quantity of finance literature dealing with Capital Market Theory on the New York Stock Exchange (NYSE) is evidence of the demand for research in this area. Until very recently, almost no research In this area has been conducted...
  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...
  8. Changing perceptions of fire management in savanna parks

    Item type: Journal Article • Journal: Journal of the Grassland Society of Southern Africa
    Parks are managed to preserve their pristine state. Fire has had a varied role in this, depending on shifting paradigms of savanna functioning. Formerly, an equilibrium theory of functioning prevailed where fire was at first an unavoidable evil, and then...
  9. Characterizing the hydraulic properties of a semi-arid catchment by means of sorptivity measurements and scaling theory

    Characterizing the hydraulic properties of a semi-arid catchment by means of sorptivity measurements and scaling theory

    Item type: Journal Article • Journal: South African Journal of Plant and Soil
    The variability of soil sorptivity within a semi-arid catchment was investigated on a macro- (28 ha) and microscale (16 m2). In the macroscale study, sorptivity was measured at 176 sites using a falling hydraulic head technique. The mean sorptivity of...
  10. Spectral theory and quotients in von Neumann algebras

    Spectral theory and quotients in von Neumann algebras

    Item type: Journal Article • Journal: Quaestiones Mathematicae
    In this note we consider to what extent the functional calculus and the spectral theory in von Neumann algebras are preserved by the taking of quotients relative to two-sided ideals of the von Neumann algebra.