Represented in India | Mozambique | Poland | South Africa | Contact (Johannesburg) +27 (0)10 822 7663

Research Articles

The impact of reference-day risk on beta estimation and a proposed solution

The ability to accurately estimate systematic risk (or beta) when reference-day risk is considered, is an ineluctable requirement for all applications of the capital asset pricing model (CAPM). This research documents evidence of reference-day risk for shares on the Johannesburg All Share Index. In response to the need for greater accuracy when estimating systematic risk, this paper contributes a volume-weighted-average-price…

Read more