Unifying the factor analytic and prespecified variable approaches to APT factor identification on the Johannesburg Stock Exchange

P van Rensburg

South African Journal of Accounting Research, 1998, vol. 12, issue 1, 15-45

Abstract: This paper reviews recent empirical work concerning the number and macroeconomic nature of the priced Arbitrage Pricing Theory (APT) factors on the Johannesburg Stock Exchange (JSE). As a consolidation of prior factor analytic and prespecified variable findings, a brief empirical component is presented with the intention of distilling a simple graphic depiction of the ‘macroeconomic risk structure’ of the Johannesburg Stock Exchange over the period 1965–1995.

Date: 1998
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DOI: 10.1080/10291954.1998.11435078

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