Reviving Beta? Another look at the cross-section of average share returns on the JSE
Van Rensburg and Robertson (2003a) stated that the CAPM beta has little or no relationship with returns generated by size and price to earnings sorted portfolios. This study intends to demonstrate that a reformulated CAPM beta, estimated using return on equity as opposed to share returns, unravel...
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| Format: | Others |
| Language: | en |
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2012
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| Online Access: | http://hdl.handle.net/10539/11613 |