Artikel
Contribution to the valuation of BRVM's assets: A conditional CAPM approach
The conditional capital asset pricing model (CAPM) theory postulates that the systematic risk ( Ø ) of an asset or portfolio varies over time. Several dynamics are thus given to systematic risk in the literature. This article looks for the dynamic that seems to best explain the returns of the assets of the Regional Stock Exchange of West Africa (BRVM) by comparing two dynamics: one by the Kalman filter (assuming that the Ø follow a random walk) and the other by the Markov switching (MS) model (assuming that Ø varies according to regimes) for four portfolios of the BRVM. Having found a link between the beta of the market portfolio and the size criterion (measured by capitalization), the two previous models were re-estimated with the addition of the SMB (Small Minus Big) variable. The results show according to the RMSE criterion that the estimation by the Kalman filter fits better than MS, which suggests that investors cannot anticipate systematic risk because of its high volatility.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 12 ; Year: 2019 ; Issue: 1 ; Pages: 1-15 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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West African Regional Market (BRVM)
conditional capital asset pricing model (CAPM)
Kalman filter
Markov switching (MS) model
- Event
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Geistige Schöpfung
- (who)
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Cisse, Mamadou
Konte, Mamadou
Toure, Mohamed
Assani, Smael Afolabi
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2019
- DOI
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doi:10.3390/jrfm12010027
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Cisse, Mamadou
- Konte, Mamadou
- Toure, Mohamed
- Assani, Smael Afolabi
- MDPI
Time of origin
- 2019
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