Most practitioners favour a one factor model (CAPM) when estimating expected return for an individual stock. For estimation of portfolio returns academics recommend the Fama and French three factor model. The main objective of this paper is to compare the performance of these two models for...

This paper analyses whether it is possible to perform an event study on a small stock exchange with thinly trade stocks. The main conclusion is that event studies can be performed provided that certain adjustments are made. First, a minimum of 25 events appears necessary to obtain acceptable...

Practitioners and academics often use book values instead of market values when market data is not available. This is appropriate only if market values and book values are related. In this paper a theoretical model of the relationship between market values and book values is developed and this...