Market Betas on the JSE: Factor selection, estimation and empirical evaluation
This paper examines the nature and significance of market betas on the Johannesburg Stock Exchange (JSE). The identity of market betas is determined by means of Principal Component Analysis (PCA) performed on the returns of the FTSE/JSE Africa Index Series. A scree test shows two factors necessary f...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2017
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| Online Access: | http://hdl.handle.net/11427/25364 |