Similar Search Results

The empirical explanatory power of CAPM and the fama and French three-five factor models in the Moroccan stock exchange

Taib, Asmâa Alaoui; Benfeddoul, Safae - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-19

Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample … factors. In Morocco, the market factor is the most powerful factor, perhaps assisted by value and profitability factors …. Although the CAPM performs poorly in capturing the variation in Moroccan returns, the market factor continues to play an …

Persistent link: https://www.econbiz.de/10014284650

Empirical Testing of the CAPM on the Johannesburg Stock Exchange

Ward, Mike - 2014

Fama's (1970) efficient market hypothesis (EMH) and the capital asset pricing model (CAPM) jointly ascribed to … the elegance and parsimony of the theory over the empirical evidence.On the Johannesburg Stock Exchange (JSE), several … authors have examined and noted significant inadequacies relating to the single factor CAPM, particularly with regard to the …

Persistent link: https://www.econbiz.de/10013066479

Comparing the Market Risk Premia Forecasts in JSE and NYSE Equity Markets

Oikonomikou, Leoni Eleni - 2016

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...

Persistent link: https://www.econbiz.de/10012995704

Portfolio optimization using minimum spanning tree model in the Moroccan stock exchange market

Berouaga, Younes; El Msiyah, Cherif; Madkour, Jaouad - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-20

Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investigate portfolio optimization based on the...

Persistent link: https://www.econbiz.de/10014284712

Effects of integrated reporting on the cost of capital and analysts' forecasts errors : a study of Johannesburg Stock Exchange listed mining firms

Ngcobo, Bhekisisa N.; Sibanda, Mabutho - In: Journal of economic and financial sciences : JEF 14 (2021) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10013363204

Tests of the overreaction hypothesis and the timing of mean reversals on the JSE Securities Exchange (JSE) : the case of South Africa

Hsieh, Heng-hsing; Hodnett, Kathleen - In: Journal of applied finance & banking 1 (2011) 1, pp. 107-130

This paper examines the overreaction hypothesis on the JSE Securities Exchange (JSE) documented by Page and Way [5] and Muller [4] over a longer and more recent period from 01 January 1993 to 31 March 2009. The mean reversals due to investor overreaction are found to be stronger for the past...

Persistent link: https://www.econbiz.de/10009241499