Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217984 
Year of Publication: 
1988
Citation: 
[Journal:] South African Journal of Business Management [ISSN:] 2078-5976 [Volume:] 19 [Issue:] 1 [Publisher:] African Online Scientific Information Systems (AOSIS) [Place:] Cape Town [Year:] 1988 [Pages:] 11-21
Publisher: 
African Online Scientific Information Systems (AOSIS), Cape Town
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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Creative Commons License: 
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Document Type: 
Article

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