An Empirical Investigation into the Applicability of Fama-French Three Factor Model in Explaining Portfolio Returns: Evidence from Non-Financial Firms on the Ghana Stock Exchange

Prince Acheampong, Sydney Kwesi Swanzy


This paper investigates the applicability of the Fama-French Three Factor Model in explaining, portfolio returns on the Ghana Stock Exchange. Following the model and variables proposed originally by Fama and French (1992), two additional variables firm size and Book-to-Market (BTM) ratio are added in a six Size-BTM portfolios to the excess returns on the market portfolio. Data from the Ghana Stock Exchange database covering the period between 2002 and 2011 were used for the analysis. The results reveal that the portfolio returns on the Ghana stock exchange are better explained by the three factor model proposed by Fama and French (1992).

Full Text:



This journal is licensed under a Creative Commons Attribution 4.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


Copyright © Sciedu Press

To make sure that you can receive messages from us, please add the '' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.