Which factors explain African stock returns?

被引：3

作者：

Mbengue, Mohamed Lamine ^{[1
]}

Ndiaye, Bara ^{[2
]}

Sy, Oumar ^{[3
,4
]}

机构：

[1] Univ Gaston Berger, St Louis, Senegal

[2] USSEIN Univ Fatick, Fatick, Senegal

[3] Dalhousie Univ, Halifax, NS, Canada

[4] Dalhousie Univ, Rowe Sch Business, Su 2020,KC Rowe Management Bldg,6100 Univ Ave,POB, Halifax, NS B3H 4R2, Canada

来源：

FINANCE RESEARCH LETTERS | 2023年 / 54卷

关键词：

Asset-pricing models; Factor-spanning tests; African stock markets; CROSS-SECTION; MARKET EQUILIBRIUM; RISK-FACTORS; MODEL; FAMA; MOMENTUM; INVESTMENTS; EFFICIENCY; ASSETS; PRICES;

D O I：

10.1016/j.frl.2023.103805

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use returns across 13 African stock markets to perform factor-spanning tests. Contradicting US-based results, HML is not redundant in the five-factor model, UMD generates a reliable alpha in the Q-based regression, and the mispricing-purged SMB does not consistently dominate the other SMB factors. Because they cannot explain HML and UMD, the Q and Q5 models do not subsume the five- and six-factor models. Since none of the other models captures the ROE factor, the Q-factor model is never subsumed. The Q model spans the Q5 model because the expected growth factor rEG is not priced in African markets.

引用

页数：10

共 61 条

[1]

Alagidede P., 2009, African Finance Journal, V11, P37

[2]

Arshanapalli Bala., 2006, Finance Research Letters, V3, P244

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