Macroeconomic identification of the priced APT factors on the Johannesburg Stock Exchange
Employing 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 simultaneous estimation of factor sensitivities and the risk...
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| Format: | Article |
| Language: | English |
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AOSIS
1996-12-01
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| Series: | South African Journal of Business Management |
| Online Access: | https://sajbm.org/index.php/sajbm/article/view/815 |