Beta Wins Again: Case of four Emerging Markets

Samer A.M. Al-Rjoub; Abdullah Al Yousef; Izz Eddien N. Ananzeh

doi:https://doi.org/10.5281/zenodo.21095554

Beta Wins Again: Case of four Emerging Markets

Samer A.M. Al-Rjoub, Abdullah Al Yousef, Izz Eddien N. Ananzeh

Abstract

We empirically investigate the cross-sectional behavior of stock returns in four emerging markets, namely, Egypt, Jordan, Morocco and Saudi Arabia. We use the ?between estimator? panel data regression to test whether price-earning ratio, book-to-market ratio, market capitalization, and beta can predict stock market returns variations. Based on the results we still believe that Beta have a significant explanatory power in predicting stock market returns; the sign is positive. Other fundamentals fail the test.

Jel Code:

G12, G15

Article Details

Year: 2010

Volume: 31

Issue: 1

Pages: 1 - 16

Accepted: 18.01.2010

DOI:
https://doi.org/10.5281/zenodo.21095554

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How to Cite?

Samer A.M. Al-Rjoub, Abdullah Al Yousef, Izz Eddien N. Ananzeh (2010). Beta Wins Again: Case of four Emerging Markets. Journal of Economic Cooperation and Development, 31(1), 1-16. https://doi.org/10.5281/zenodo.21095554