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

25 Pages Posted: 1 Jun 2007

See all articles by Sami Ben Naceur

Sami Ben Naceur

International Monetary Fund (IMF)

Samir Ghazouani

Higher School of Statistics and Information Analysis (ESSAI)

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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

Ben Naceur, Sami and Ghazouani, Samir, Asset Pricing and Cost of Equity in the Tunisian Banking Sector: Panel Data Evidence. Economic Notes, Vol. 36, No. 1, pp. 89-113, February 2007. Available at SSRN: https://ssrn.com/abstract=989074 or http://dx.doi.org/10.1111/j.1468-0300.2007.00175.x

Sami Ben Naceur (Contact Author)

International Monetary Fund (IMF) ( email )

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

Samir Ghazouani

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

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Charguia II, 2035
Tunisia
+216 70 839 440 (Phone)
+216 70 838 170 (Fax)

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