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This study has foci on the global drivers of currencies and their relationship to economic jurisdiction in the presence of global risk appetite. We focus on a comprehensive basket of global currencies, deriving three statistically motivated currency market factors. We cluster on these factor...
Fundamental indexing starts from the observation that in a value-weighted portfolio, any overpricing affects the stock’s portfolio weight upward and its typical return downward, and vice versa; but on average the ‘drag’ on the portfolio’s expected return caused by this negative interaction is...
The ability to accurately estimate systematic risk (or beta) when reference-day risk is considered, is an ineluctable requirement for all applications of the capital asset pricing model (CAPM).This research documents evidence of reference-day risk for shares on the Johannesburg All Share Index....
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