Browsing Research Articles (Gordon Institute of Business Science (GIBS)) by Subject "Capital asset pricing model (CAPM)"

Browsing Research Articles (Gordon Institute of Business Science (GIBS)) by Subject "Capital asset pricing model (CAPM)"

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  • Empirical testing of the CAPM on the JSE 
    Ward, Michael; Muller, C. (Investment Analysts Society of Southern Africa, 2012)
    Fama’s (1970) efficient market hypothesis (EMH) and the capital asset pricing model (CAPM), jointly ascribed to Markowitz (1952), Treynor (1961), Sharpe (1964), Lintner (1965) and Mossin (1966), remain the foundation of ...
  • The impact of reference-day risk on beta estimation and a proposed solution 
    Sahadev, Keshav; Ward, Michael; Muller, Chris J. (Routledge, 2018)
    The ability to accurately estimate systematic risk (or beta) when reference-day risk is considered, is an ineluctable requirement for all applications of the capital asset pricing model (CAPM). This research documents ...