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Beta wins again: Case of four emerging markets
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نویسنده
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al-rjoub s.a.m. ,al yousef a. ,ananzeh i.e.n.
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منبع
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journal of economic cooperation and development - 2010 - دوره : 31 - شماره : 1 - صفحه:1 -16
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چکیده
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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.
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آدرس
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hashemite university,department of banking and finance,b.o.box 33195,zarqa, Jordan, hashemite university,department of banking and finance,b.o.box 33195,zarqa, Jordan, hashemite university,department of banking and finance,b.o.box 33195,zarqa, Jordan
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Authors
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