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

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.

Keywords:

• Arbitrage Pricing Theory
• Macroeconomic Variables
• Johannesburg Stock Exchange