{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/5743"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/5743","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa","abstract":"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 security prices follow a normal strong random walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information.","abstract_html":"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 security prices follow a normal strong random walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information.","abstract_has_math":false,"creators":["Mangani, Ronald Dadi"],"institution":"School of Economics","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Abraham, Haim"],"committee_chairs":[],"committee_members":[],"year":2004,"date_issued":"2004","date_published":"2004","updated_at":"2026-07-22T22:22:49Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/5743","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Abraham, Haim"]},{"key":"dc:creator","label":"Author","values":["Mangani, Ronald Dadi"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-07-31T12:24:41Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-07-31T12:24:41Z"]},{"key":"dc:date.issued","label":"Date","values":["2004"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["School of Economics"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Doctoral Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Doctoral"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["PhD"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/5743"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["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 security prices follow a normal strong random walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information."]},{"key":"dc:title","label":"Title","values":["Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa"]}]}],"canonical_facts":{"dc:contributor.advisor":["Abraham, Haim"],"dc:creator":["Mangani, Ronald Dadi"],"dc:date.accessioned":["2014-07-31T12:24:41Z"],"dc:date.available":["2014-07-31T12:24:41Z"],"dc:date.issued":["2004"],"dc:description":["Includes bibliographical references."],"dc:description.abstract":["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 security prices follow a normal strong random walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information."],"dc:identifier.uri":["http://hdl.handle.net/11427/5743"],"dc:language.iso":["eng"],"dc:publisher.department":["School of Economics"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa"],"dc:type":["Doctoral Thesis"],"dc:type.qualificationlevel":["Doctoral"],"dc:type.qualificationname":["PhD"]},"updated_at":"2026-07-22T22:22:49Z"}