Title: Applying the CAPM and the Fama–French models to the BRVM stock market
Abstract: This article applies and compares two asset-pricing models – the Capital Asset Pricing Model (CAPM) and the Fama–French three-factor pricing model – on the stocks of 28 companies listed on the Bourse Régionale des Valeurs Mobilières (BRVM) for the period July 2001–December 2008. We find that 11 stocks satisfy the CAPM, and the market risk factor explains an average of only 11.32% of the excess stock return variations. When we apply the Fama–French model, we find that 10 of the 28 stocks satisfy the model's hypotheses and equations: for most of these securities, a CAPM-type model specification is rejected. When we add the size and book-to-market explanatory factors, the average adjusted R 2 increases to 20.40%. Both models, however, failed to explain the variations in returns of at least 60% of the stocks listed on this market.
Publication Year: 2013
Publication Date: 2013-02-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 23
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