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Analysing security performance in Morocco and South Africa using CAPM
Coffie, William - In: Afro-Asian Journal of Finance and Accounting 4 (2014) 2, pp. 182-202
securities listed on Casablanca and Johannesburg Stock Exchanges, Morocco and South Africa respectively. Jensen (1968 … Africa, the validity of the model has not previously been addressed in this manner in Morocco and South Africa. The CAPM …This paper examines how well the capital asset pricing model (CAPM) is able to describe the performance of individual …
Persistent link: https://www.econbiz.de/10010797728
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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
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Microstructure, comportement des prix des actifs et efficience des marchés financiers : le cas du marché de Casablanca
Derrabi, Mohamed - 1999
Persistent link: https://www.econbiz.de/10001455994
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On the determinants of return on equity in South Africa's financial services industry
Ndlovu, Chiedza; Alagidede, Paul - In: Journal of economic and financial sciences 8 (2015) 2, pp. 550-566
Persistent link: https://www.econbiz.de/10011416008
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Style influences and JSE sector returns : evidence from the South African stock market
Small, Wayne; Hsieh, Heng-hsing - In: The journal of applied business research 33 (2017) 5, pp. 863-872
Persistent link: https://www.econbiz.de/10011754846
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Asset pricing and momentum : a South African perspective
Charteris, Ailie; Rwishema, Mukashema; Chidede, … - In: Journal of African business 19 (2018) 1, pp. 62-85
Persistent link: https://www.econbiz.de/10011930343
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Multifactor explanation of security returns in South Africa
Chukwulobelu, Osita; Fosu, Samuel; Coffie, William - In: International journal of management practice : IJMP 7 (2014) 4, pp. 380-397
Persistent link: https://www.econbiz.de/10010480220
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Did the economic and financial crises affect stock market sensitivity to macroeconomic risk factors? : evidence from Nigeria and South Africa
Ikoku, Alvan E.; Okany, Chukwunonso T. - In: International journal of business 19 (2014) 3, pp. 275-290
Persistent link: https://www.econbiz.de/10010402086
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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
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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