Asset pricing models in South Africa: A comparative of regression analysis and the Bayesian approach

Asset pricing models in South Africa: A comparative of regression analysis and the Bayesian approach

This study investigated the risk-return relationship using the Capital Asset Pricing Model (CAPM), Carhart four-factor Model (C4FM) and Fama and French Multifactor Models (FFMMs): F3FM and F5FM. This study analyzed the JSE ALSI returns of the South African market, in relation to the risk factors con...

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Bibliographic Details
Main Author: Nitesha Dwarika
Format: Article
Language:English
Published: AIMS Press 2023-03-01
Series:Data Science in Finance and Economics
Subjects:
risk-return relationship
asset pricing models
capital asset pricing model
fama and french multifactor models
fama and french three-factor model
carhart four-factor model
fama and french five-factor model
regression analysis
bayesian approach
asymmetry
Online Access:https://www.aimspress.com/article/doi/10.3934/DSFE.2023004?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/DSFE.2023004?viewType=HTML

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