Do CAPM anomaly variables provide real-time tradable opportunities on the JSE

This study applies the recursive out-of-sample methodology of Cooper et al. (2005) to determine whether CAPM anomaly variables provide real-time tradable opportunities on the Johannesburg Stock Exchange (JSE). The three predictor variables selected on the basis of the South African literature (size, earnings yield and one-year lagged returns) fail to show any statistical evidence of predictability in realtime.

Grantor dc:publisher.institution

School of Economics

Year dc:date.issued

2005

Author dc:creator

• Bartens, Ryan

Advisor dc:contributor.advisor

• Hassan, Shakill

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/5763

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/5763