A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk
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| dc.contributor.author | Sahadev, Kesh
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| dc.contributor.author | Ward, Michael
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| dc.contributor.author | Muller, Chris J.
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| dc.date.accessioned | 2018-10-08T12:24:26Z | |
| dc.date.available | 2018-10-08T12:24:26Z | |
| dc.date.issued | 2018-02 | |
| dc.description.abstract | The ability to accurately estimate systematic risk (or beta) in the presence of reference-day risk is an ineluctable requirement for all applications of the capital asset pricing model (CAPM). This research documents evidence of reference-day risk for shares on the Johannesburg All Share Index. In response to the need for greater accuracy when estimating systematic risk, this paper contributes a volume-weighted-average-price (VWAP) method for estimating beta when reference-day risk is exhibited in share betas. Furthermore, this research applies a graphical time-series approach to test the underlying risk-reward tenet postulated by the CAPM. Using beta as a measure of systematic risk, this research finds that the CAPM appears to imperfectly specify the risk-reward trade-off. | en_ZA |
| dc.description.department | Geology | en_ZA |
| dc.description.librarian | hj2018 | en_ZA |
| dc.description.sponsorship | Partially funded by a National Research Foundation Grant. | en_ZA |
| dc.identifier.citation | Sahadev, Kesh and Ward, Mike and Muller, Chris, A Volume-Weighted-Average-Price (VWAP) Method for Estimating Beta in the Context of Reference-Day Risk. (February 14, 2018). Available at SSRN: https://ssrn.com/abstract=3123725 or http://dx.doi.org/10.2139/ssrn.3123725. | en_ZA |
| dc.identifier.issn | 1556-5068 | |
| dc.identifier.other | 110.2139/ssrn.3123725 | |
| dc.identifier.uri | http://hdl.handle.net/2263/66788 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | SSRN is an open-access online preprint community | en_ZA |
| dc.subject | Capital asset pricing model (CAPM) | en_ZA |
| dc.subject | Volume-weighted-average-price (VWAP) | en_ZA |
| dc.subject | Beta | en_ZA |
| dc.subject | Reference-day risk | en_ZA |
| dc.subject | Systematic risk | en_ZA |
| dc.title | A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk | en_ZA |
| dc.type | Preprint Article | en_ZA |
