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  1. Consumer sentiment and time-varying betas: Testing the validity of the consumption CAPM on the Johannesburg Stock Exchange

    Consumer sentiment and time-varying betas: Testing the validity of the consumption CAPM on the Johannesburg Stock Exchange

    Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Javier Rojo-Suárez --- , Spain Ana Belén Alonso-Conde --- , Spain
    We test both the conditional and unconditional versions of the consumption capital asset pricing model (CCAPM) on the Johannesburg Stock Exchange, for the period 1988–2018, and compare its performance with that of the CAPM and the Fama-French three- and five-factor...
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