4 Art�culos

A note on local industry asset betas for cost of capital computations

Acceso

en l�nea

David J. Bradfield

AbstractBased on the premise that portfolio betas are more reliable than individual betas, it is advocated that industry asset betas rather than individual betas be used when proxies are required in cost of capital calculations. In this article local ind... ver m�s

Revista: South African Journal of Business Management Formato: Electr�nico

Tabla de contenido: Vol: 29 Num: 2 Par: 0 A�o: 1998

Nonparametric tests of strike price and expiration bias in the implied volatility of the South African All Share Index Future Contract

Acceso

en l�nea

Ralf Wandmacher,David J. Bradfield

AbstractIn this article we assess the appropriateness of the constant volatility assumption required by the Black (1976) option pricing model for options on the All Share Index future. The assessment uses similar nonparametric tests as implemented in Rub... ver m�s

Revista: South African Journal of Business Management Formato: Electr�nico

Tabla de contenido: Vol: 29 Num: 2 Par: 0 A�o: 1998

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