This paper undertakes a horse races style comparison of the efficacy of a range of multifactor asset pricing models in explaining the cross section of stock returns in African securities markets. Valuation factors used include size, book-to-market value, momentum, operating profit, asset growth or investment, liquidity and investor protection. Using monthly returns of 375 blue chip firms from 8 African equity markets over 23 years, we undertake a horse-race style comparison of various classes of augmented CAPM models. We show that both the Fama & French (2015) five factor and Fama & French (2018) six factor framework yield the highest explanatory power. Analysis of costs of equity and optimized portfolio opportunity set simulations reveal substantial differences arising and borne by practitioners from the contrasting application of different asset pricing models underscoring the timely importance of our study.

中文翻译：

---

非洲前沿股票市场的资产定价


本文对一系列多因素资产定价模型在解释非洲证券市场股票回报横截面方面的功效进行了赛马式比较。使用的估值因素包括规模、账面市值、动量、营业利润、资产增长或投资、流动性和投资者保护。使用 23 年中来自 8 个非洲股票市场的 375 家蓝筹股公司的月回报，我们对各种类别的增强型 CAPM 模型进行了赛马式比较。我们发现，Fama和French（2015）的五因素以及Fama和French（2018）的六因素框架都产生了最高的解释力。对权益成本的分析和优化的投资组合机会集模拟揭示了从业者在不同资产定价模型的对比应用中出现和承担的巨大差异，这凸显了我们研究的及时性。