On the stability of the CAPM before and after the financial crisis: Panel evidence from the Johannesburg Securities Exchange
Oct 16, 2017·
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1 min read
Paul Alagidede
Nikolaos Koutounidis
Theodore Panagiotidis
Abstract
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.
Type
Publication
African Review of Economics and Finance, 9(1)
JEL Codes
G01, G12, C23
Note: This publication is based on my Bachelor’s thesis research. While it represents an early stage of my academic development, it only demonstrates foundational skills in empirical finance and panel data analysis.
