Resumo

PEERBHAI, F  e  STRYDOM, BS. Testing the International Capital Asset Pricing Model's relevance for South Africa. JCMAN [online]. 2018, vol.15, n.1, pp.525-550. ISSN 1815-7440.

The Capital Asset Pricing Model (CAPM) has proven to be a very popular tool for use by financial analysts and investors. The increasing globalisation of world financial markets, however, has called into question its ability to fully capture the risks inherent in a more internationally integrated financial environment. As a result two alternative versions of an International CAPM (ICAPM) have been proposed: the single-factor ICAPM model developed by Grauer, Litzenberger and Stehle (1976), and a multifactor ICAPM model first introduced by Solnik (1974). This study tests the suitability of the ICAPM models in a South African context. The Fama-Macbeth (1973) two-step approach is employed to test the performance of a domestic CAPM and two ICAPM models for listed stocks on the Johannesburg Stock Exchange. We find support for use of a multifactor ICAPM model in the South African environment. Given the pivotal role the CAPM plays in Corporate Finance this finding has important implications for managers, analysts and investors estimating the appropriate required rate of return of South African investments.

Palavras-chave : Capital Asset Pricing Model; currency risk; International Capital Asset Pricing Model and market segmentation.

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