FAMA AND FRENCH FIVE-FACTOR ASSET PRICING MODEL: EVIDENCE FROM MOROCCAN STOCK MARKET

Authors

  • Lahboub Karima, Benali Mimoun, Abdelhamid El bouhadi Sidi Mohamed Ben Abdellah University, National School of Business and Management, Research and study, laboratory in management, entrepreneurship, and finance, Immouzer Avenue, B. P A81, 30000 Fez, Morocco

Keywords:

Asset pricing model, Fama and French five-factor model, three-factor model, Casablanca Stock Exchange (CSE)

Abstract

 This research paper comprehensively analyzes the correlation between cross-sectional variation in Moroccan stock returns and the underlying behavior of four fundamental variables: size, book-to-market ratio, investment, and profitability. This investigation employed on a comprehensive monthly dataset comprising 54 companies listed on the Casablanca Stock Exchange (CSE) between 2009 and 2017. The results of the study indicate that there exists a statistically meaningful impact on the book-to-market ratio, size, and profitability. Nevertheless, the variable of investment exhibits a negative effect.   Upon analysis of this study, it has been demonstrated that the Fama-French five-factor model shows inadequacies in its ability to fully discern the cross-sectional nature of stock returns in the CSE. However, compared to the three-factor and four-factor models, the five-factor model presents a greater potential for exposition in assessing assets in the stock market.

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Published

2023-04-01

Issue

Vol. 15 No. 1 (2023): International Journal of Economics and Financial Studies

Section

Original Article