Common Risk Factors in Stock Returns in the MENA Region

IF 0.8 Q4 BUSINESS, FINANCE

Asian Journal of Business and Accounting Pub Date : 2019-12-26 DOI:10.22452/ajba.vol12no2.2

R. Abadi, F. Silva

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引用次数: 3

Abstract

Manuscript type: Research paper Research aims: This paper examines risk factors comprising size, value, profitability, investment, momentum and illiquidity to see if they are relevant for the stock markets in the Middle East and North Africa (MENA) region. Design/Methodology/Approach: Stock market data, from January 2007 to December 2015, are used to construct the risk factors for the stock market in the MENA region. The single factor models and the multifactor models are used to explain the constructed portfolios’ excess returns. Research findings: Findings show that the risk factors of size, value and profitability are the most important to be applied in asset pricing models within the MENA region. In addition, most of the models analysed in this study are unable to perfectly capture the average excess returns of the datasets, with the seven-factor model performing better than the other competing models. Theoretical contribution/Originality: This paper is possibly one of the first to construct and apply the above-mentioned risk factors in the MENA markets. It further proposes using two additional risk factors, such as momentum and illiquidity, within the Fama and French’s three-factor and five-factor models so as to examine the stock markets of the MENA region. Other researchers before have not made this proposition. Practitioner/Policy implication: The findings raise the awareness that additional and important factors must be considered by investors in the emerging financial markets when they want to diversify the risks so as to achieve higher excess returns. Research limitation/Implications: This study also has some drawbacks in that the dataset period is short while the analysis comprises different markets with different levels of development, thereby affecting some degree of generalisability. Keywords: CAPM, Factor Models, Illiquidity Factor, MENA Market JEL Classification: G12

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中东和北非地区股票收益的共同风险因素

研究目的:本文考察了风险因素，包括规模，价值，盈利能力，投资，动力和非流动性，看看它们是否与中东和北非(MENA)地区的股票市场相关。设计/方法/方法:使用2007年1月至2015年12月的股票市场数据来构建中东和北非地区股票市场的风险因素。用单因素模型和多因素模型来解释构建的投资组合的超额收益。研究发现:研究结果表明，规模、价值和盈利能力这三个风险因素在中东和北非地区的资产定价模型中最为重要。此外，本研究分析的大多数模型都无法完美地捕捉数据集的平均超额收益，七因素模型的表现优于其他竞争模型。理论贡献/独创性:本文可能是最早将上述风险因素构建并应用于中东和北非市场的论文之一。它进一步建议在Fama和French的三因素和五因素模型中使用两个额外的风险因素，如动量和非流动性，以检查中东和北非地区的股票市场。其他研究人员之前没有提出过这个命题。从业者/政策启示:研究结果提高了新兴金融市场投资者在分散风险以获得更高超额回报时必须考虑其他重要因素的意识。研究局限/启示:本研究还存在数据周期较短，分析对象是不同发展水平的不同市场的不足，影响了一定的通用性。关键词:CAPM，因子模型，非流动性因子，中东和北非市场JEL分类:G12

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来源期刊

Asian Journal of Business and Accounting BUSINESS, FINANCE-

CiteScore

2.00

自引率

11.10%

发文量

期刊介绍： An academic journal that aims to advance knowledge in the business and accounting disciplines, to narrow the gap between theory and practice, and to set direction for policy initiatives in Asia. Welcome to the Asian Journal of Business and Accounting (AJBA). AJBA is an international refereed journal, published biannually (30th June and 30th December) by the Faculty of Business and Accountancy, University of Malaya, Malaysia. AJBA aims to publish scholarly business researches that are relevant to Malaysia and the Asian region. It intends to highlight the practical implications in promoting better business decision making process and the formulation of public policy in Asia. This journal publishes theoretical, conceptual, and empirical papers within the broad areas of business and accounting in Asia. The AJBA covers a broad spectrum of the business and accounting disciplines. A suggestive (though not necessarily comprehensive) list of areas that would be included in this journal are: general management, strategic management, human resource management, organizational behaviour, labour and industrial relations, international business management, business communication, entrepreneurship, leadership, management science, operations management, production management, supply chain management, marketing management, brand management, consumer behaviour, information management, e-marketing, e-commerce, quality management, retailing, service marketing, hospitality management, hotel and tourism management, asset pricing, capital and money markets, corporate finance, derivatives markets, finance and banking, financial economics, etc.