出版社：Investment Analysts Society of Southern Africa
摘要：Four decades after the introduction of the capital asset pricing model (CAPM), and close to three decades after that of the arbitrage pricing theory (APT) model, both models continue to attract the attention of academics, quantitatively inclined financial analysts, financial engineers and investors. Within the South Africa context, many researchers believe that the APT model has potential to be the best description of returns on the JSE Securities Exchange (hereafter, JSE), while most investment analysts still report and use CAPM-based betas as measures of risk for individual stocks and stock portfolios. In particular, the two-factor return generating process (RGP) proposed by Page (1986, 1989) has motivated some researchers to propose a two-factor APT model for the JSE (see, for instance, van Rensburg and Slaney 1997). On the other hand, CAPM-based betas constitute the focal point of investment advice reported in the media and professional journals.
