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

23 Pages Posted: 28 Nov 2005

See all articles by Sami Ben Naceur

Sami Ben Naceur

International Monetary Fund (IMF)

Samir Ghazouani

Higher School of Statistics and Information Analysis (ESSAI)

Multiple version iconThere are 2 versions of this paper

Date Written: May 30, 2005

Abstract

In spite of popularity and theoretical simplicity of the one-factor CAPM used in the valuation of financial assets, more attention is now made to the important extension proposed by Fama and French [1993] rising 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 cost of equity is carried out for the Tunisian banking sector. To account for inter-individual heterogeneity, estimation of the coefficients is conducted according to random-coefficient specifications within the context of panel data analysis.

Keywords: cost of equity, CAPM, TFPM, banking sector, random-coefficient model

Suggested Citation

Ben Naceur, Sami and Ghazouani, Samir, Asset Pricing and Cost of Equity in the Tunisian Banking Sector: Panel Data Evidence (May 30, 2005). Available at SSRN: https://ssrn.com/abstract=856364 or http://dx.doi.org/10.2139/ssrn.856364

Sami Ben Naceur

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Samir Ghazouani (Contact Author)

Higher School of Statistics and Information Analysis (ESSAI) ( email )

6, Rue des m├ętiers
Charguia II, 2035
Tunisia
+216 70 839 440 (Phone)
+216 70 838 170 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
236
Abstract Views
1,361
rank
122,564
PlumX Metrics