This paper undertakes a comparison between five multifactor variants of the capital asset pricing model. These include additional factors based on size, book to market value, momentum, liquidity and a new investor protection metric based on the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 909 blue chip firms from 18 Middle East & North African equity markets for 16 years, we show that a two factor CAPM augmented with a factor mimicking portfolio based on the investor protection metric yields the highest explanatory power. Analysis of Kalman filter time varying investor protection betas reveals investor protection premiums in Egypt, Iraq, Lebanon and Tunisia and corresponding discounts in Israel, Saudi Arabia, Kuwait, Oman, Dubai and Abu Dhabi.

本文对资本资产定价模型的五个多因素变体进行了比较。这些因素包括基于规模，账面市值，动量，流动性的其他因素，以及基于一个国家的机构质量和自由流通量份额的新的投资者保护指标，这捕获了控股大股东的影响。使用来自18个中东和北非股票市场的909家蓝筹公司的16年月收益，我们显示，基于投资者保护指标的两因子CAPM加上模仿因子的投资组合产生了最高的解释力。通过对Kalman过滤器随时间变化的投资者保护beta进行分析，可以发现埃及，伊拉克，黎巴嫩和突尼斯的投资者保护权溢价，以及以色列，沙特阿拉伯，科威特，阿曼，