 Asset pricing in African frontier equity marketsBruce Hearn, Venancio Tauringana, Collins Ntim, John K. Malagila and Tapas Mishra International Review of Financial Analysis, 2025, vol. 97, issue C Abstract: This paper undertakes a horse races style comparison of the efficacy of a range of multifactor asset pricing models in explaining the cross section of stock returns in African securities markets. Valuation factors used include size, book-to-market value, momentum, operating profit, asset growth or investment, liquidity and investor protection. Using monthly returns of 375 blue chip firms from 8 African equity markets over 23 years, we undertake a horse-race style comparison of various classes of augmented CAPM models. We show that both the Fama & French (2015) five factor and Fama & French (2018) six factor framework yield the highest explanatory power. Analysis of costs of equity and optimized portfolio opportunity set simulations reveal substantial differences arising and borne by practitioners from the contrasting application of different asset pricing models underscoring the timely importance of our study. Keywords: Asset pricing; CAPM; Emerging Financial Markets; Africa (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:97:y:2025:i:c:s1057521924006847 DOI: 10.1016/j.irfa.2024.103752 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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