Interaction between firm-level variables and stock betas : a South African perspective

This paper aims to determine the existence of the interaction between firm-level variables and stock betas in the South African equity market and if existent, use this relationship to aid market participants in the investment process. This paper looks at the use of Kalman filter in estimating stock betas which vary over time. A brief overview of the Kalman filter method is provided. In particular, this paper examines the impact of sub-sector betas and firm-specific variables on stock betas over the full period under study and over two market regimes to determine if the impact is dependent on the direction of the market.

Grantor dc:publisher.institution

Division of Actuarial Science

Year dc:date.issued

2011

Author dc:creator

• Yang, Yanni

Advisor dc:contributor.advisor

• Witten, Gareth

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/12242

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/12242