A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk
Loading...
Date
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
University of Pretoria
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.
Description
Mini Dissertation (MBA)--University of Pretoria, 2017.
Keywords
UCTD
Sustainable Development Goals
Citation
Sahadev, K 2017, A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/64923>