The authors examine the validity of the CAPM for Johannesburg Stock Exchange (JSE) stocks. Additional effects, namely, dividend yield, size and liquidity are also considered using traditional tests. The results indicate that the one-parameter CAPM is well-specified for the JSE. The betas of gold...

The authors examine the post-listing performance of new Issues on the JSE. On the basis of an empirical study conducted over the 1975-1986 period, evidence is presented indicating that abnormal returns do occur during the post-listing period. The existence of hot and cold Issue periods are also...

Received evidence has come to the fore which suggests that the major source of bias in the estimation of beta coefficients on the JSE can be attributable to the thinly traded phenomenon. In this paper the suitability of a beta estimation procedure which corrects for the effects of thin trading...

Evidence from studies on the major stock exchanges world-wide suggests that stocks listed on these markets earn abnormally high returns in the month of January. In this article the seasonality of stocks on the Johannesburg Stock Exchange is empirically investigated. Surprisingly no January...

In this article a model is proposed for measuring the risk that shareholders bear during hostile merger activities. An empirical study on the failed Minorco-Consolidated Goldfields merger attempt reveals several insights on the additional risk borne by Minorco and Consolidated Goldfields...

The effects of various market conditions of the New York Stock Exchange (NYSE) on non-USA markets are investigated in this article. On the basis of an empirical investigation, evidence is presented which suggests that the influence of the NYSE on non-USA markets differs during different market...

In this article we focus on beta estimation in the thinly-traded environment of the Johannesburg Stock Exchange (JSE). We build on existing literature by evaluating a beta estimation procedure known as the trade-to-trade which has not until now been considered in the context of the JSE. We...

This article focusses on portfolio construction in markets where legislation restricts investors from investing in international markets. An extended market model is implemented to additionally estimate a component of foreign market risk. In the first part of the article the decomposition of the...