文章基本信息
- 标题：On the stability of the CAPM before and after the financial crisis: Panel evidence from the Johannesburg Securities Exchange
- 本地全文：下载
- 作者：Paul Alagidede ; Nikolaos Koutounidis ; Theodore Panagiotidis 等
- 期刊名称：African Review of Economics and Finance
- 印刷版ISSN：2042-1478
- 出版年度：2017
- 卷号：9
- 期号：1
- 页码：180-189
- 出版社：African Journals Online
- 摘要：
This study examines the stability of the CAPM before and after the recent global financial crisis in the Johannesburg Securities Exchange (JSE). Firms’ betas are derived from OLS and M-estimation regressions. Fixed and random effects are employed to estimate the linear and the nonlinear version of the CAPM. Evidence against a stable beta emerges after the crisis but not before. The latter holds for the non-linear paradigm as well.
Keywords : Panel data; CAPM; South Africa; Global financial crisis.
