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Analysing security performance in Morocco and South Africa using CAPM

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  • William Coffie

Abstract

This paper examines how well the capital asset pricing model (CAPM) is able to describe the performance of individual securities listed on Casablanca and Johannesburg Stock Exchanges, Morocco and South Africa respectively. Jensen (1968) methodology is employed in the study. While there is a reasonable amount of empirical studies on the performance of the CAPM in Africa, the validity of the model has not previously been addressed in this manner in Morocco and South Africa. The CAPM posits that the performance of assets is solely explained by the market beta. The results of this study do not support this assertion. Although it was found that beta contributes to the variation of security returns in Morocco and South Africa, that contribution is insufficient to fully explain security performance. Instead, we found positive and significant alpha values, representing factors unexplained by market beta, and hence deviations from the CAPM.

Suggested Citation

  • William Coffie, 2014. "Analysing security performance in Morocco and South Africa using CAPM," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(2), pages 182-202.
    • Handle: RePEc:ids:afasfa:v:4:y:2014:i:2:p:182-202
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    Cited by:

    1. Omar Tazi & Samir Aguenaou & Jawad Abrache, 2022. "A Comparative Study of the Fama-French Three Factor and the Carhart Four Factor Models: Empirical Evidence from Morocco," International Journal of Economics and Financial Issues, Econjournals, vol. 12(1), pages 58-66.

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