Applying the CAPM and the Fama-French models to the BRVM stock market

• Autores: Issouf Soumaré, Edoh Kossi Aménounvé, Ousmane Diop, Dramane Méité, Djifa N'Sougan
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 23, Nº. 4-6, 2013, págs. 275-285
• Idioma: inglés
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• Resumen

  • 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.