Regionally integrated asset pricing on the African Stock Markets (Asms) : evidence from the size and book-to-market effects

![CDATA[This study explores regionally integrated asset pricing across the African Stock Markets (ASMs) by examining the size and book-to-market (BM) effects on equity returns. It employs the original Fama and French (1993) three factor model to describe the cross-section of average stock returns on the ASMs at a regional level. The small size of many of the ASMs limits the applicability of the Fama and French (1993) approach to many of the individual countries in the region. In addressing this problem we apply a methodology developed in recent papers by Griffin (2002), Hou et al. (2011) and Fama and French (2012) examining integrated asset pricing at a global level in the developed markets. We contribute to this area of research by examining whether the size and BM effects are captured by an African regional asset pricing model. Evidence is provided that both size and BM effects exist across the pooled ASMs. Evidence is provided that asset pricing on the ASMs is largely not regionally integrated.]]