Asset Pricing and Momentum: A South African Perspective

Ailie CharterisDevelopment Finance Centre, Graduate School of Business, University of Cape Town, Cape Town, South AfricaCorrespondence[email protected]

Mukashema RwishemaSchool of Accounting, Economics and Finance, University of KwaZulu-Natal, Durban, South Africa

Tafadzwa-Hidah ChidedeSchool of Accounting, Economics and Finance, University of KwaZulu-Natal, Durban, South Africa

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Shaun Cox & James Britten. (2019) The Fama-French five-factor model: Evidence from the Johannesburg Stock Exchange. Investment Analysts Journal 48:3, pages 240-261.
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Mohamed Lamine Mbengue, Bara Ndiaye & Oumar Sy. (2023) Which factors explain African stock returns?. Finance Research Letters 54, pages 103805.
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Asmâa Alaoui Taib & Safae Benfeddoul. (2023) The Empirical Explanatory Power of CAPM and the Fama and French Three-Five Factor Models in the Moroccan Stock Exchange. International Journal of Financial Studies 11:1, pages 47.
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Luyanda M.Q. Nsibande & Avani Sebastian. (2023) Is the environmental, social and corporate governance score the missing factor in the Fama-French five-factor model?. South African Journal of Economic and management Sciences 26:1.
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Prince Hikouatcha, Arsène Aurelien Njamen Kengdo, Hans Patrick Bidias Menik, Pierre Ghislain Tchoffo Tioyem & Tii Njivukuh Nchofoung. (2023) Microstructure and asset pricing: An insight on African frontier stock markets. Bulletin of Economic Research.
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Nitesha Dwarika. (2023) Asset pricing models in South Africa: A comparative of regression analysis and the Bayesian approach. Data Science in Finance and Economics 3:1, pages 55-75.
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Selebogo Mosoeu & Odongo Kodongo. (2022) The Fama-French five-factor model and emerging market equity returns. The Quarterly Review of Economics and Finance 85, pages 55-76.
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Asset Pricing and Momentum: A South African Perspective

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