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Paul Van Rensburg
AbstractThis study adopts the Chen, Roll & Ross prespecified variable approach to priced arbitrage pricing theory factor (APT) identification on the Johannesburg Stock Exchange (JSE). It is observed that the dichotomy in the return generating processes u...
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Paul Van Rensburg,Kevin Slaney,Phillipe Hardy
AbstractResearchers in financial economics conventionally include dividend receipts as returns received on their date of payment. This article argues that this procedure misrepresents the economic timing of shareholder returns. A theoretical discussion o...
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Paul Van Rensburg
AbstractEmploying prespecified macroeconomic variables as potential priced factors, the Arbitrage Pricing Theory (APT) may be modelled as a non-linear seemingly unrelated regression with across equation restrictions. This portrayal allows for the simulta...
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