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 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.

Grantor dc:publisher.institution

School of Economics

Year dc:date.issued

2004

Author dc:creator

• Mangani, Ronald Dadi

Advisor dc:contributor.advisor

• Abraham, Haim

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/5743

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/5743