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Asset Pricing and Cost of Equity in the Tunisian Banking Sector: Panel Data Evidence

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  • Samy Ben Naceur
  • Samir Ghazouani

Abstract

In spite of popularity and theoretical simplicity of the one‐factor Capital Asset Pricing Model (CAPM) used in the valuation of financial assets, researchers are more concerned with the important extension proposed by Fama and French (1993), that is, the Three‐Factor Pricing Model (TFPM). Alongside beta, average stock returns could be explained by some size and book‐to‐market supplementary effects. With these two complementary models, estimation of the cost of equity is carried out for the Tunisian banking sector. In order to account for inter‐individual heterogeneity, estimation of parameters is conducted according to random coefficient specifications within the context of panel data analysis.

Suggested Citation

  • Samy Ben Naceur & Samir Ghazouani, 2007. "Asset Pricing and Cost of Equity in the Tunisian Banking Sector: Panel Data Evidence," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(1), pages 89-113, February.
    • Handle: RePEc:bla:ecnote:v:36:y:2007:i:1:p:89-113
    DOI: 10.1111/j.1468-0300.2007.00175.x
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    Cited by:

    1. Issouf Soumar� & Edoh Kossi Am�nounv� & Ousmane Diop & Dramane M�it� & Yao Djifa N'sougan, 2013. "Applying the CAPM and the Fama--French models to the BRVM stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(4), pages 275-285, February.
    2. Hammami Yacine & Jilani Faouzi, 2011. "Testing Factor Pricing Models in Tunisia: Macroeconomic Factors vs. Fundamental Factors," Review of Middle East Economics and Finance, De Gruyter, vol. 7(2), pages 1-22, September.
    3. Chaibi Hasna & Ben Naceur Sami, 2010. "The Best Asset Pricing Model for Estimating Industry Costs of Equity in Tunisia," Review of Middle East Economics and Finance, De Gruyter, vol. 5(3), pages 63-90, February.
    4. Nader Naifar, 2011. "Explaining IPOs Underpricing in the Tunisian Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(3), pages 311-336, December.
    5. Monia Ben Ltaifa & Walid Khoufi, 2016. "Book to Market and Size as Determinants of Stock Returns of Banks: An Empirical Investigation from MENA Countries," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(4), pages 142-160, October.
    6. Hearn, Bruce & Piesse, Jenifer, 2009. "Sector level cost of equity in African financial markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 257-278, December.

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