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An Investigation of the Size and Value Premium on the Stock Exchange of Mauritius

Author

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  • Sunil K. Bundoo

    (University of Mauritius)

Abstract

This paper has analyzed whether the size and the book-to-market equity effects are present on the Stock Exchange of Mauritius (SEM), using the Fama and French (1993) model. The empirical results confirm that both effects are present and statistically significant. The model also explains the variation in stock returns on the SEM much better than the Capital Asset Pricing Model. For some portfolios, the increase in explanatory power was four-fold. The paper cautions against using beta as the only measure of systematic risk, for calculating the cost of capital and evaluating the performance fund managers.

Suggested Citation

  • Sunil K. Bundoo, 2006. "An Investigation of the Size and Value Premium on the Stock Exchange of Mauritius," The African Finance Journal, Africagrowth Institute, vol. 8(1), pages 14-25.
    • Handle: RePEc:afj:journl:v:8:y:2006:i:1:p:14-25
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    More about this item

    Keywords

    Size; Value; Premium; Mauritius Stock Exchange;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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