The Empirical Explanatory Power of CAPM and the Fama and French Three-Five Factor Models in the Moroccan Stock Exchange

This study empirically tests and compares the performances of three famous financial asset valuation models in Moroccan stock exchange: CAPM, Fama French three-factor model, five-factor model. Our sample considers monthly data covering period July 2002 to June 2020. The main findings reveal that GRS test typically rejects each examined On basis our analysis, we find value effect is more pronounced than size effect. However, profitability investment effects are almost absent. Regarding factor spanning tests, results show was not redundant. Beyond this, factors redundant factors. In Morocco, market most powerful factor, perhaps assisted by Although CAPM performs poorly capturing variation returns, continues play an important role, even after adding other Overall, all tested were improved slightly, but leave part returns unexplained.