On the stability of the CAPM before and after the financial crisis: Panel evidence from the Johannesburg Securities Exchange
作者： Theodore Panagiotidis , Paul Alagidede , Nikolaos Koutounidis
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摘要: This study examines the stability of CAPM before and after recent global financial crisis in Johannesburg Securities Exchange (JSE). Firms’ betas are derived from OLS M-estimation regressions. Fixed random effects employed to estimate linear nonlinear version CAPM. Evidence against a stable beta emerges but not before. The latter holds for non-linear paradigm as well. Keywords : Panel data; CAPM; South Africa; Global crisis.
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