The study investigates whether the main capital market theories and pricing models provide
a reasonably accurate description of the working and efficiency of capital markets,
of the pricing of shares and options and the effect the risk/return relationship has on investor
behaviour. The capital market theories and pricing models included in the study
are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing
Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes
(8-S) Option Pricing Model.
The main conclusion of the study is that the main capital market theories and pricing
models, as reviewed in the study, do provide a reasonably accurate description of
reality, but a number of anomalies and controversial issues still need to be resolved.
The main recommendation of the study is that research into these theories and models
should continue unabated, while the specific recommendations in a South African context
are the following: ( 1) the benefits of global diversification for South African investors
should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities
Exchange SA (JSE) should continue to be monitored, and it should be established
whether alternative theories to the EMH provide complementary or better descriptions
of the efficiency of the South African market; (3) both the CAPM and the APT
should continue to be tested, both individually and jointly, in order to better understand
the pricing mechanism of, and risk/return relationship on the JSE; (4) much South
African research still needs to be conducted on the efficiency of the relatively new
options market and the application of the B-S Option Pricing Model under South African
conditions. / Financial Accounting / M. Com. (Accounting)
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:unisa/oai:uir.unisa.ac.za:10500/17174 |
| Date | 05 1900 |
| Creators | Laubscher, Eugene Rudolph |
| Contributors | Saenger, Elmarie, Steyn, B. L. (Barend Lukas) |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Dissertation |
| Format | 1 online resource (v, 422 leaves) |
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