An Investigation of the Size and Value Premium on the Stock Exchange of Mauritius

Sunil K. Bundoo ()
Additional contact information
Sunil K. Bundoo: University of Mauritius

The African Finance Journal, 2006, vol. 8, issue 1, 14-25

Abstract: This paper has analyzed whether the size and the book-to-market equity effects are present on the Stock Exchange of Mauritius (SEM), using the Fama and French (1993) model. The empirical results confirm that both effects are present and statistically significant. The model also explains the variation in stock returns on the SEM much better than the Capital Asset Pricing Model. For some portfolios, the increase in explanatory power was four-fold. The paper cautions against using beta as the only measure of systematic risk, for calculating the cost of capital and evaluating the performance fund managers.

Keywords: Size; Value; Premium; Mauritius Stock Exchange (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.journals.co.za/ej/ejour_finj.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:8:y:2006:i:1:p:14-25

Access Statistics for this article

More articles in The African Finance Journal from Africagrowth Institute Contact information at EDIRC.
Bibliographic data for series maintained by Kirk De Doncker ().