TITLE:
Risk-Return of Securities in a Developing Market: The Case of the Bourse Regionale Des Valeurs Mobilieres
AUTHORS:
Hervé Ndoume Essingone, Mouhamadou Saliou Diallo
KEYWORDS:
Risk, Return, ARM, CAPM, BRVM
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.11 No.1,
March
31,
2022
ABSTRACT: The study
of the risk-return relationship of securities is decisive in order to
appreciate in particular the attractiveness of a financial market. Using the
Asymetric Response Model (ARM), we show that the level of risk taken by
investors is insufficiently remunerated on the BRVM market with regard to the
risk premium obtained. This result confirms the relevance of the ARM model in
developing markets. It also underlines the need to rebalance the risk-return
relationship on the BRVM in order to make it more attractive.