Highlighting the Financial Asset Assessment Model (CAPM) in Emerging African Markets: An Application on the Abidjan Stock Exchange (ASE)

Description

This book highlights The Financial Asset Valuation Model. This model predicts a relationship between the expected return of a stock and systematic risk as measured by beta. It tests the theoretical and empirical validity of the CAPM on the RSES. For this study, we used the returns of 28 companies over the period January 1999 to December 2004. Recent studies have shown that the relationship between realized returns and beta is weak or nonexistent. In this study we used the two-step procedure of Fama and MacBeth (1973), which advocates a joint test of two hypotheses: the hypothesis according to which there is a linear relationship between the beta and the realized returns is tested together with the assumption that the average market risk premium is positive.