Asset pricing in African frontier equity markets Article Swipe
Bruce Hearn
,
Venancio Tauringana
,
Collins G. Ntim
,
John Malagila
,
Tapas Mishra
·
YOU?
·
· 2024
· Open Access
·
· DOI: https://doi.org/10.1016/j.irfa.2024.103752
YOU?
·
· 2024
· Open Access
·
· DOI: https://doi.org/10.1016/j.irfa.2024.103752
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.
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- Type
- article
- Language
- en
- Landing Page
- https://doi.org/10.1016/j.irfa.2024.103752
- OA Status
- hybrid
- References
- 54
- Related Works
- 10
- OpenAlex ID
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https://openalex.org/W4404257875Canonical identifier for this work in OpenAlex
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https://doi.org/10.1016/j.irfa.2024.103752Digital Object Identifier
- Title
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Asset pricing in African frontier equity marketsWork title
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articleOpenAlex work type
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enPrimary language
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2024Year of publication
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2024-11-12Full publication date if available
- Authors
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Bruce Hearn, Venancio Tauringana, Collins G. Ntim, John Malagila, Tapas MishraList of authors in order
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https://doi.org/10.1016/j.irfa.2024.103752Publisher landing page
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hybridOpen access status per OpenAlex
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https://doi.org/10.1016/j.irfa.2024.103752Direct OA link when available
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Equity (law), Capital asset pricing model, Frontier, Financial economics, Economics, Consumption-based capital asset pricing model, Variable pricing, Equity capital markets, Business, Finance, Private equity, Geography, Political science, Archaeology, LawTop concepts (fields/topics) attached by OpenAlex
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0Total citation count in OpenAlex
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| abstract_inverted_index.French | 85, 92 |
| abstract_inverted_index.equity | 60, 106 |
| abstract_inverted_index.factor | 88, 95 |
| abstract_inverted_index.growth | 42 |
| abstract_inverted_index.models | 18, 129 |
| abstract_inverted_index.power. | 101 |
| abstract_inverted_index.reveal | 113 |
| abstract_inverted_index.study. | 136 |
| abstract_inverted_index.timely | 132 |
| abstract_inverted_index.value, | 37 |
| abstract_inverted_index.years, | 64 |
| abstract_inverted_index.African | 28, 59 |
| abstract_inverted_index.arising | 116 |
| abstract_inverted_index.classes | 73 |
| abstract_inverted_index.factors | 32 |
| abstract_inverted_index.highest | 99 |
| abstract_inverted_index.include | 34 |
| abstract_inverted_index.markets | 61 |
| abstract_inverted_index.models. | 77 |
| abstract_inverted_index.monthly | 50 |
| abstract_inverted_index.pricing | 17, 128 |
| abstract_inverted_index.profit, | 40 |
| abstract_inverted_index.returns | 26, 51 |
| abstract_inverted_index.section | 23 |
| abstract_inverted_index.various | 72 |
| abstract_inverted_index.Analysis | 102 |
| abstract_inverted_index.efficacy | 10 |
| abstract_inverted_index.investor | 47 |
| abstract_inverted_index.markets. | 30 |
| abstract_inverted_index.Valuation | 31 |
| abstract_inverted_index.augmented | 75 |
| abstract_inverted_index.different | 126 |
| abstract_inverted_index.framework | 96 |
| abstract_inverted_index.liquidity | 45 |
| abstract_inverted_index.momentum, | 38 |
| abstract_inverted_index.operating | 39 |
| abstract_inverted_index.optimized | 108 |
| abstract_inverted_index.portfolio | 109 |
| abstract_inverted_index.undertake | 66 |
| abstract_inverted_index.comparison | 7, 70 |
| abstract_inverted_index.explaining | 20 |
| abstract_inverted_index.horse-race | 68 |
| abstract_inverted_index.importance | 133 |
| abstract_inverted_index.securities | 29 |
| abstract_inverted_index.undertakes | 2 |
| abstract_inverted_index.application | 124 |
| abstract_inverted_index.contrasting | 123 |
| abstract_inverted_index.differences | 115 |
| abstract_inverted_index.explanatory | 100 |
| abstract_inverted_index.investment, | 44 |
| abstract_inverted_index.multifactor | 15 |
| abstract_inverted_index.opportunity | 110 |
| abstract_inverted_index.protection. | 48 |
| abstract_inverted_index.simulations | 112 |
| abstract_inverted_index.substantial | 114 |
| abstract_inverted_index.underscoring | 130 |
| abstract_inverted_index.practitioners | 120 |
| abstract_inverted_index.book-to-market | 36 |
| cited_by_percentile_year | |
| countries_distinct_count | 0 |
| institutions_distinct_count | 5 |
| citation_normalized_percentile.value | 0.36171168 |
| citation_normalized_percentile.is_in_top_1_percent | False |
| citation_normalized_percentile.is_in_top_10_percent | False |