Original Research

Asset pricing in small markets: The South African case

D. J. Bradfield, G. D.I. Barr, J. F. Affleck-Graves
South African Journal of Business Management | Vol 19, No 1 | a965 | DOI: https://doi.org/10.4102/sajbm.v19i1.965 | © 2018 D. J. Bradfield, G. D.I. Barr, J. F. Affleck-Graves | This work is licensed under CC Attribution 4.0
Submitted: 19 October 2018 | Published: 31 March 1988

About the author(s)

D. J. Bradfield, Department of Mathematical Statistics, University of Cape Town, South Africa
G. D.I. Barr, Department of Mathematical Statistics, University of Cape Town, South Africa
J. F. Affleck-Graves, Department of Finance and Business Economics, University of Notre Dame, United States

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Abstract

The authors examine the validity of the CAPM for Johannesburg Stock Exchange (JSE) stocks. Additional effects, namely, dividend yield, size and liquidity are also considered using traditional tests. The results indicate that the one-parameter CAPM is well-specified for the JSE. The betas of gold shares, however, are found to be poor predictors of rand returns - but improve when viewed in dollar terms. None of the above-mentioned effects are found to be significant, however, a slight preference for high-yielding gold shares is documented. Explanations for these findings are offered and contrasted with results documented on the NYSE.

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