Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 68 for “"Capital Asset Pricing Model"”.
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An empirical evaluation of the capital asset pricing model in South Africa
… an empirical evaluation of the validity of the Capital Asset Pricing Model (CAPM) in South Africa. More specifically, the behaviour of share prices on the Johannesburg Stock Exchange during the eight years from 1973 to 1980 is evaluated. The study is the first direct test of the CAPM in South …
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Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model
… and optimal portfolio of the Troskie-Hossain Capital Asset Pricing Model (TrosHos CAPM) and Sharpe Capital Asset Pricing Model (Sharpe CAPM) when the covariance structure of the residuals is correlated under the Markowitz formulation. By building in the dynamic time series models: AR, GARCH …
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The puzzling behavior of equity returns: The need to move beyond the consumption capital asset pricing model
… in equity markets and the ability of extant models to account for their behavior. I first consider the so-called "expectations hypothesis" (EH) and find that it fails empirically even when structural change is incorporated into the analysis. I then examine the consumption Capital Asset …
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Interest Rates and Cyclical Underwriting Profits in the Property-Liability Insurance Industry: An Equilibrium Approach
… within the framework of both the insurance and capital markets, using an equilibrium approach. Thus, it seeks to explain the cycle by determining underwriting profits jointly from both insurance and capital market conditions. Demand and supply functions of insurance are developed to determine …
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The CAPM approach to materiality
… defied a precise quantitative definition. The Capital Asset Pricing Model (CAPM) approach to materiality provides a means for determining the limits that bound materiality. Also, the approach makes it possible to locate the point estimate within these limits based on certain assumptions.
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Rational Expectations, Supply Effect, and Stock Price Adjustment Process: A Simultaneous Equations System Approach
The capital asset pricing model of Sharpe (1964), Lintner (1965), and Mossin (1966) is a single-period equilibrium analysis in which the behavior of security demand, conditional upon a postulated probability distribution of returns, is examined. Thus the model is too restrictive in its omission of …
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An Examination of the Usefulness of Segment Information for Assessing the Operating Risk of the Firm
… operating risk measures were developed from the capital asset pricing model by Hamada (1969) and Rubinstein (1973).
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Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa
Recent South African asset pricing research has generally established a preference for the arbitrage pricing theory of Ross (1976) over the capital asset pricing model of Sharpe (1964) and others. However, both the APT and the CAPM are single-period linear models based on the assumption that …
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Two applications of U-Statistic type processes to detecting failures in risk models and structural breaks in linear regression models
… is concerned with detecting failures in Risk Models and in detecting structural breaks in linear regression models. By applying Theorem 2.1 of Szyszkowicz on U-statistic type process, a number of weak convergence results regarding three weighted partial sum processes are established. It is …
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Market Reaction to Corporate Social Performance
… the role of social performance data in various models of investor behavior, with special emphasis on the Capital Asset Pricing Model. The second approach to the research problem consisted of measuring and testing the information content of disclosure of a specific subset of social performance. …
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Are South African directors able to earn abnormal returns by trading in their companies shares?
… An event study methodology was used based on the Capital Asset Pricing Model for director's trades during the period 2009 to 20 12. The results suggest sales transactions are associated with a greater market reaction than purchases. A better market indication is received from in directly …
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Applications of global equity style indices in active and passive portfolio management
The success of the Fama and French 3-factor model in explaining empirical anomalies of the Capital Asset Pricing Model (CAPM) suggests that style investing which places portfolios out-of-sync with the broad market has the potential to generate significant alpha. Since momentum abnormal return is …
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Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency
… performance. Using Jensen's alpha in both a Capital Asset Pricing Model (CAPM) framework and a 2-Factor Arbitrage Pricing Theory (APT) model, unconditional evidence is presented on the performance of General Equity unit trusts.
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Shipping : is it a high risk low return business?
… industry are measured and compared with other asset classes. Diversification among different types of ships, and different asset classes is used to maximize the return and minimize the risk of an "efficient fleet". The Capital Asset Pricing Model and the efficient frontier are used to identify …
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An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns
This paper aims to expand on the growing area of asset pricing research in developed markets by extending such analyses to those nations considered to be emerging. Of late the accuracy of a previously established cornerstone of asset pricing theory, namely the Capital Asset Pricing Model (CAPM) has …
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An empirical investigation of the inter-relationships between systematic risk, financial leverage and operating leverage of industrial companies listed on the Johannesburg Stock Exchange
The Capital Asset Pricing Model (CAPM) postulates that beta is a quantitative measure of a company's undiversifiable risk, the determinants of which are of considerable interest to financial managers and investors alike. Analytical research has shown that beta is a positive function of a company's …
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Business valuation of location-specific infrastructure projects in data-poor regions
… the public point of view. The business valuation model in this thesis adopts three concepts of financial modeling, Monte Carlo simulation (probability-generated cash flow), Capital Asset Pricing Model, and Adjusted Present Value. Using this model, the business values of a hypothetical …
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The determinants and predictability of South African listed property returns
… Fama and Kenneth French. The study tests four asset pricing models, including the Capital Asset Pricing Model (CAPM) developed by Sharpe (1964) and Lintner (1965), the Fama and French (1993) 3-Factor model, a model which adds the South African Bond Index to the CAPM and finally a model which …
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