An empirical investigation of the conditional risk-return trade-off in South Africa.

Show simple item record Limberis, Andrew 2013-03-20T06:56:00Z 2013-03-20T06:56:00Z 2013-03-20
dc.description.abstract One of the fundamental tenets of finance is the relationship between risk and return. This research report contributes to the debate by testing the conditional risk-return relationship of shares on the Johannesburg Stock Exchange (JSE) for the period 2001 to 2011. More specifically, the extent to which beta, standard deviation, semi-deviation and value-at-risk (VaR) are individually able to explain total share return, taking into account the conditional framework of up and down markets and sub-periods, is investigated. Portfolios based on these risk measures have been tracked and regressed. The robustness of the relationships are tested by using value and equal weighted portfolios. The study indicates that standard deviation was able to explain the risk-return relationship across all scenarios (overall, up/down markets and sub-periods), while beta proved to be an ineffective measure of risk under all scenarios. The testing of downside risk measures revealed that semi-deviation produced weak results under all scenarios, while value-at-risk proved to be an effective measure of risk both during poor market conditions and on an overall basis. en_ZA
dc.language.iso en en_ZA
dc.subject Johannesburg Stock Exchange en_ZA
dc.subject Risk en_ZA
dc.subject Shares en_ZA
dc.title An empirical investigation of the conditional risk-return trade-off in South Africa. en_ZA
dc.type Book en_ZA

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