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Construction of a South African Risk Model
Jun 1, 1996
What drives stock prices in South Africa? Is it the price of gold? Is it the movement of the rand relative to the dollar or sterling? Is the size of a company an important variable? Is South Africa a more volatile market than other equity markets? Answers to these and many other questions can be found by building a risk model of South African equities. In 1995, Barra embarked upon and completed a project to build a model to predict and explain the risk of investing in South African equities. The model, comprising 620 stocks, was delivered to the South African investment institutions which formed the consortium to sponsor and assist in its development.