A comparison of the forecasting accuracy of the downside beta and beta on the JSE top 40 for the period 2001-2011
The purpose of this research report is to determine whether the use of a Downside risk variable – the D-Beta – is more appropriate in the emerging market of South Africa than the regular Beta used in the CAPM model. The prior research upon which this report expands, performed by Estrada (1999; 2002;...
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| Format: | Others |
| Language: | en |
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2014
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| Online Access: | http://hdl.handle.net10539/14045 |