Macroeconomic identification of candidate arbitrage pricing theory factors on the Johannesburg Stock Exchange

Macroeconomic identification of candidate arbitrage pricing theory factors on the Johannesburg Stock Exchange

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Article ID: iaor200135
Country: South Africa
Volume: 23
Issue: 2
Start Page Number: 27
End Page Number: 53
Publication Date: Jan 1999
Journal: International Studies In Economics and Econometrics
Authors:
Keywords: finance & banking, economics
Abstract:

This study investigates the interrelationships between Johannesburg Stock Exchange returns and a comprehensive list of macroeconomic series over the turbulent period of democratic transition, 1965–1995. As a necessary condition for a priced arbitrage pricing theory (APT) factor is that it exhibits a pervasive influence on security returns, candidate APT factors are inferred from the analysis.

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