Macroeconomic variables and the cross-section of Johannesburg Stock Exchange returns
This 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 underlying South African mining and industrial shares le...
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| Format: | Article |
| Language: | English |
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AOSIS
2000-03-01
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| Series: | South African Journal of Business Management |
| Online Access: | https://sajbm.org/index.php/sajbm/article/view/732 |