178
Views
2
CrossRef citations to date
0
Altmetric
Regular Articles

Cross-Section of Returns in Frontier Markets: Evidence from the GCC Markets

ORCID Icon

References

  • Abraham, A., F. J. Seyyed, and A. Al-Elg. 2001. Analysis of diversification benefits of investing in the emerging gulf equity markets. Managerial Finance 27 (10/11):47–57. doi:10.1108/03074350110767574.
  • Al Janabi, M. A., A. Hatemi-J, and M. Irandoust. 2010. An empirical investigation of the informational efficiency of the gcc equity markets: Evidence from bootstrap simulation. International Review of Financial Analysis 19 (1):47–54. doi:10.1016/j.irfa.2009.11.002.
  • Alan, Y., G. P. Gao, and V. Gaur. 2014. Does inventory productivity predict future stock returns? a retailing industry perspective. Management Science 60 (10):2416–34. doi:10.1287/mnsc.2013.1784.
  • Al-Awadhi, A. M., and M. Dempsey. 2017. Social norms and market outcomes: The effects of religious beliefs on stock markets. Journal of International Financial Markets, Institutions and Money 50:119–34. doi:10.1016/j.intfin.2017.05.008.
  • Alhashel, B. S. 2018. The new stock that did not underperform. Emerging Markets Finance and Trade:1–13.
  • Alkhareif, R. 2016. Are there significant premiums in the saudi stock market? Finance Research Letters 18:108–15. doi:10.1016/j.frl.2016.04.007.
  • Al-Khazali, O. M., D. K. Ding, and C. S. Pyun. 2007. A new variance ratio test of random walk in emerging markets: A revisit. Financial Review 42 (2):303–17. doi:10.1111/fire.2007.42.issue-2.
  • Artmann, S., P. Finter, and A. Kempf. 2012. Determinants of expected stock returns: Large sample evidence from the german market. Journal of Business Finance & Accounting 39 (5–6):758–84.
  • Asness, C. S., T. J. Moskowitz, and L. H. Pedersen. 2013. Value and momentum everywhere. The Journal of Finance 68 (3):929–85. doi:10.1111/jofi.12021.
  • Assaf, A. 2003. Transmission of stock price movements: The case of gcc stock markets. Review of Middle East Economics and Finance 1 (2):171–89. doi:10.1080/1475368032000139305.
  • Atanasov, V., and T. Nitschka. 2017. Firm size, economic risks, and the cross-section of international stock returns. The North American Journal of Economics and Finance 39:110–26. doi:10.1016/j.najef.2016.12.004.
  • Avramov, D., and T. Chordia. 2006. Asset pricing models and financial market anomalies. The Review of Financial Studies 19 (3):1001–40. doi:10.1093/rfs/hhj025.
  • Ball, R. 1992. The earnings-price anomaly. Journal of Accounting and Economics 15 (2–3):319–45. doi:10.1016/0165-4101(92)90023-U.
  • Banz, R. W. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9 (1):3–18. doi:10.1016/0304-405X(81)90018-0.
  • Barry, C. B., E. Goldreyer, L. Lockwood, and M. Rodriguez. 2002. Robustness of size and value effects in emerging equity markets, 1985–2000. Emerging Markets Review 3 (1):1–30. doi:10.1016/S1566-0141(01)00028-0.
  • Basu, S. 1977. Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. The Journal of Finance 32 (3):663–82. doi:10.1111/j.1540-6261.1977.tb01979.x.
  • Basu, S. 1983. The relationship between earnings’ yield, market value and return for nyse common stocks: Further evidence. Journal of Financial Economics 12 (1):129–56. doi:10.1016/0304-405X(83)90031-4.
  • Bekaert, G., C. R. Harvey, and C. Lundblad. 2007. Liquidity and expected returns: Lessons from emerging markets. The Review of Financial Studies 20 (6):1783–831. doi:10.1093/rfs/hhm030.
  • Berger, D., K. Pukthuanthong, and J. J. Yang. 2011. International diversification with frontier markets. Journal of Financial Economics 101 (1):227–42. doi:10.1016/j.jfineco.2011.02.009.
  • Berk, J. B. 2000. Sorting out sorts. The Journal of Finance 55 (1):407–27. doi:10.1111/0022-1082.00210.
  • Bhandari, L. C. 1988. Debt/equity ratio and expected common stock returns: Empirical evidence. The Journal of Finance 43 (2):507–28. doi:10.1111/j.1540-6261.1988.tb03952.x.
  • Black, F. 1972. Capital market equilibrium with restricted borrowing. The Journal of Business 45 (3):444–55. doi:10.1086/jb.1972.45.issue-3.
  • Blackburn, D. W., and N. Cakici. 2017. Frontier stock markets: Local vs global factors. Gabelli School of Business, Fordham University Research Paper No. 2930491.
  • Bley, J. 2011. Are gcc stock markets predictable? Emerging Markets Review 12 (3):217–37. doi:10.1016/j.ememar.2011.03.002.
  • Bley, J., and K. H. Chen. 2006. Gulf cooperation council (gcc) stock markets: The dawn of a new era. Global Finance Journal 17 (1):75–91. doi:10.1016/j.gfj.2006.06.009.
  • Bley, J., and M. Saad. 2012. Idiosyncratic risk and expected returns in frontier markets: Evidence from gcc. Journal of International Financial Markets, Institutions and Money 22 (3):538–54. doi:10.1016/j.intfin.2012.01.004.
  • Cakici, N., F. J. Fabozzi, and S. Tan. 2013. Size, value, and momentum in emerging market stock returns. Emerging Markets Review 16:46–65. doi:10.1016/j.ememar.2013.03.001.
  • Cakici, N., Y. Tang, and A. Yan. 2016. Do the size, value, and momentum factors drive stock returns in emerging markets? Journal of International Money and Finance 69:179–204. doi:10.1016/j.jimonfin.2016.06.001.
  • Carhart, M. M. 1997. On persistence in mutual fund performance. The Journal of Finance 52 (1):57–82. doi:10.1111/j.1540-6261.1997.tb03808.x.
  • Caskey, J., J. Hughes, and J. Liu. 2012. Leverage, excess leverage, and future returns. Review of Accounting Studies 17 (2):443–71. doi:10.1007/s11142-011-9176-1.
  • Chan, K., and N.-F. Chen. 1988. An unconditional asset-pricing test and the role of firm size as an instrumental variable for risk. The Journal of Finance 43 (2):309–25. doi:10.1111/j.1540-6261.1988.tb03941.x.
  • Chan, L. K., Y. Hamao, and J. Lakonishok. 1991. Fundamentals and stock returns in japan. The Journal of Finance 46 (5):1739–64. doi:10.1111/j.1540-6261.1991.tb04642.x.
  • Chordia, T., and L. Shivakumar. 2002. Momentum, business cycle, and time-varying expected returns. The Journal of Finance 57 (2):985–1019. doi:10.1111/1540-6261.00449.
  • Chui, A. C., and K. J. Wei. 1998. Book-to-market, firm size, and the turn-of-the-year effect: Evidence from pacific-basin emerging markets. Pacific-Basin Finance Journal 6 (3):275–93. doi:10.1016/S0927-538X(98)00013-4.
  • Claessens, S., S. Dasgupta, and J. Glen. 1995. Return behavior in emerging stock markets. The World Bank Economic Review 9 (1):131–51. doi:10.1093/wber/9.1.131.
  • Cochrane, J. H. 2005. Asset Pricing. Vol. 1. Princeton, NJ: Princeton University Press.
  • Cooper, M. J., R. C. Gutierrez Jr, and A. Hameed. 2004. Market states and momentum. The Journal of Finance 59 (3):1345–65. doi:10.1111/j.1540-6261.2004.00665.x.
  • De Groot, C. G., and W. F. Verschoor. 2002. Further evidence on asian stock return behavior. Emerging Markets Review 3 (2):179–93. doi:10.1016/S1566-0141(02)00005-5.
  • De Groot, W., J. Pang, and L. Swinkels. 2012. The cross-section of stock returns in frontier emerging markets. Journal of Empirical Finance 19 (5):796–818. doi:10.1016/j.jempfin.2012.08.007.
  • Dimson, E. 1979. Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics 7 (2):197–226. doi:10.1016/0304-405X(79)90013-8.
  • Du, D., Z. Huang, and B.-S. Liao. 2009. Why is there no momentum in the taiwan stock market? Journal of Economics and Business 61 (2):140–52. doi:10.1016/j.jeconbus.2008.06.001.
  • Dumas, B., and B. Solnik. 1995. The world price of foreign exchange risk. The Journal of Finance 50 (2):445–79. doi:10.1111/j.1540-6261.1995.tb04791.x.
  • Fama, E. F., and K. R. French. 1992. The cross-section of expected stock returns. The Journal of Finance 47 (2):427–65. doi:10.1111/j.1540-6261.1992.tb04398.x.
  • Fama, E. F., and K. R. French. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1):3–56. doi:10.1016/0304-405X(93)90023-5.
  • Fama, E. F., and K. R. French. 1996. Multifactor explanations of asset pricing anomalies. The Journal of Finance 51 (1):55–84. doi:10.1111/j.1540-6261.1996.tb05202.x.
  • Fama, E. F., and K. R. French. 1997. Industry costs of equity. Journal of Financial Economics 43 (2):153–93. doi:10.1016/S0304-405X(96)00896-3.
  • Fama, E. F., and K. R. French. 1998. Value versus growth: The international evidence. The Journal of Finance 53 (6):1975–99. doi:10.1111/0022-1082.00080.
  • Fama, E. F., and K. R. French. 2010. Luck versus skill in the cross-section of mutual fund returns. The Journal of Finance 65 (5):1915–47. doi:10.1111/j.1540-6261.2010.01598.x.
  • Fama, E. F., and K. R. French. 2012. Size, value, and momentum in international stock returns. Journal of Financial Economics 105 (3):457–72. doi:10.1016/j.jfineco.2012.05.011.
  • Fama, E. F., and K. R. French. 2016. Dissecting anomalies with a five-factor model. The Review of Financial Studies 29 (1):69–103. doi:10.1093/rfs/hhv043.
  • Fama, E. F., and K. R. French. 2017. International tests of a five-factor asset pricing model. Journal of Financial Economics 123 (3):441–63. doi:10.1016/j.jfineco.2016.11.004.
  • Fama, E. F., and J. D. MacBeth. 1973. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy 81 (3):607–36. doi:10.1086/260061.
  • Fowler, D. J., and C. H. Rorke. 1983. Risk measurement when shares are subject to infrequent trading: Comment. Journal of Financial Economics 12 (2):279–83. doi:10.1016/0304-405X(83)90039-9.
  • Foye, J., D. Mramor, and M. Pahor. 2013. A respecified fama french three-factor model for the new european union member states. Journal of International Financial Management & Accounting 24 (1):3–25. doi:10.1111/jifm.12005.
  • Gharghori, P., R. Lee, and M. Veeraraghavan. 2009. Anomalies and stock returns: Australian evidence. Accounting & Finance 49 (3):555–76. doi:10.1111/j.1467-629X.2009.00298.x.
  • Gibbons, M. R., S. A. Ross, and J. Shanken. 1989. A test of the efficiency of a given portfolio. Econometrica: Journal of the Econometric Society 57:1121–52. doi:10.2307/1913625.
  • Goetzmann, W. N., L. Li, K. G. Rouwenhorst. 2005. Long-term global market correlations. The Journal of Business. 78(1):1–38. doi:10.1086/jb.2005.78.issue-1.
  • Gregory, A., and M. Michou. 2009. Industry cost of equity capital: UK evidence. Journal of Business Finance & Accounting 36 (5–6):679–704. doi:10.1111/j.1468-5957.2009.02135.x.
  • Gregory, A., R. Tharyan, and A. Christidis. 2013. Constructing and testing alternative versions of the fama–French and carhart models in the UK. Journal of Business Finance & Accounting 40 (1–2):172–214. doi:10.1111/jbfa.12006.
  • Griffin, J. M. 2002. Are the fama and french factors global or country specific? The Review of Financial Studies 15 (3):783–803. doi:10.1093/rfs/15.3.783.
  • Griffin, J. M., X. Ji, and J. S. Martin. 2003. Momentum investing and business cycle risk: Evidence from pole to pole. The Journal of Finance 58 (6):2515–47. doi:10.1046/j.1540-6261.2003.00614.x.
  • Hammami, Y., and A. Oueslati. 2017. Measuring skill in the islamic mutual fund industry: Evidence from gcc countries. Journal of International Financial Markets, Institutions and Money 49:15–31. doi:10.1016/j.intfin.2017.02.002.
  • Hammoudeh, S., and K. Choi. 2007. Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of gcc countries. Journal of International Financial Markets, Institutions and Money 17 (3):231–45. doi:10.1016/j.intfin.2005.11.002.
  • Heston, S. L., K. G. Rouwenhorst, and R. E. Wessels. 1999. The role of beta and size in the cross-section of european stock returns. European Financial Management 5 (1):9–27. doi:10.1111/eufm.1999.5.issue-1.
  • Hou, K., G. A. Karolyi, and B.-C. Kho. 2011. What factors drive global stock returns? The Review of Financial Studies 24 (8):2527–74. doi:10.1093/rfs/hhr013.
  • Jaffe, J., D. B. Keim, and R. Westerfield. 1989. Earnings yields, market values, and stock returns. The Journal of Finance 44 (1):135–48. doi:10.1111/j.1540-6261.1989.tb02408.x.
  • Jegadeesh, N., and S. Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance 48 (1):65–91. doi:10.1111/j.1540-6261.1993.tb04702.x.
  • Kothari, S. P., J. Shanken, and R. G. Sloan. 1995. Another look at the cross-section of expected stock returns. The Journal of Finance 50 (1):185–224. doi:10.1111/j.1540-6261.1995.tb05171.x.
  • Lagoarde-Segot, T., and B. M. Lucey. 2008. Efficiency in emerging marketsevidence from the mena region. Journal of International Financial Markets, Institutions and Money 18 (1):94–105. doi:10.1016/j.intfin.2006.06.003.
  • Lakonishok, J., A. Shleifer, and R. W. Vishny. 1994. Contrarian investment, extrapolation, and risk. The Journal of Finance 49 (5):1541–78. doi:10.1111/j.1540-6261.1994.tb04772.x.
  • Lesmond, D. A. 2005. Liquidity of emerging markets. Journal of Financial Economics 77 (2):411–52. doi:10.1016/j.jfineco.2004.01.005.
  • Lintner, J. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics 47:13–37. doi:10.2307/1924119.
  • Lischewski, J., and S. Voronkova. 2012. Size, value and liquidity. do they really matter on an emerging stock market? Emerging Markets Review 13 (1):8–25. doi:10.1016/j.ememar.2011.09.002.
  • Liu, W. 2006. A liquidity-augmented capital asset pricing model. Journal of Financial Economics 82 (3):631–71. doi:10.1016/j.jfineco.2005.10.001.
  • Lo, A. W., and A. C. MacKinlay. 1990. When are contrarian profits due to stock market overreaction? Review of Financial Studies 3 (2):175–205. doi:10.1093/rfs/3.2.175.
  • Loughran, T. 1997. Book-to-market across firm size, exchange, and seasonality: Is there an effect? Journal of Financial and Quantitative Analysis 32 (3):249–68. doi:10.2307/2331199.
  • Merdad, H., M. K. Hassan, and M. Khawaja. 2016. Does faith matter in mutual funds investing? evidence from saudi arabia. Emerging Markets Finance and Trade 52 (4):938–60. doi:10.1080/1540496X.2015.1025655.
  • Merdad, H. J., M. K. Hassan, and W. J. Hippler. 2015. The islamic risk factor in expected stock returns: An empirical study in saudi arabia. Pacific-Basin Finance Journal 34 293–314. doi:10.1016/j.pacfin.2015.04.001.
  • Newey, W. K., and K. D. West. 1987. Hypothesis testing with efficient method of moments estimation. International Economic Review 28:777–87. doi:10.2307/2526578.
  • Ou, J. A., and S. H. Penman. 1989. Accounting measurement, price-earnings ratio, and the information content of security prices. Journal of Accounting Research 27:111–44. doi:10.2307/2491068.
  • Pástor, L., and R. F. Stambaugh. 2003. Liquidity risk and expected stock returns. Journal of Political Economy 111 (3):642–85. doi:10.1086/374184.
  • Ramady, M. A. 2012. The GCC economies: Stepping up to future challenges. Berlin: Springer Science & Business Media.
  • Reinganum, M. R. 1981. Misspecification of capital asset pricing: Empirical anomalies based on earnings’ yields and market values. Journal of Financial Economics 9 (1):19–46. doi:10.1016/0304-405X(81)90019-2.
  • Rouwenhorst, K. G. 1998. International momentum strategies. The Journal of Finance 53 (1):267–84. doi:10.1111/0022-1082.95722.
  • Rouwenhorst, K. G. 1999. Local return factors and turnover in emerging stock markets. The Journal of Finance 54 (4):1439–64. doi:10.1111/0022-1082.00151.
  • Scholes, M., and J. Williams. 1977. Estimating betas from nonsynchronous data. Journal of Financial Economics 5 (3):309–27. doi:10.1016/0304-405X(77)90041-1.
  • Sharpe, W. F. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance 19 (3):425–42.
  • Sharpe, W. F. 1992. Asset allocation: Management style and performance measurement. The Journal of Portfolio Management 18 (2):7–19. doi:10.3905/jpm.1992.409394.
  • Solnik, B. H., and D. W. McLeavey. 2003. International investments. London, UK: Pearson Education.
  • Speidell, L. S., and D. Stone. 1997. The case for global small stocks. In Quantitative investing for the global markets, 203. Routledge. doi:10.4324/9781315074122.
  • Sturm, M., and N. Siegfried. 2005. Regional monetary integration in the member states of the gulf cooperation council. Occasional Paper Series No. 31. European Central Bank.
  • Vaihekoski, M. 2004. Portfolio construction for tests of asset pricing models. Financial Markets, Institutions & Instruments 13 (1):1–39. doi:10.1111/fmii.2004.13.issue-1.
  • van der Hart, J., G. de Zwart, and D. van Dijk. 2005. The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? Emerging Markets Review 6 (3):238–62. doi:10.1016/j.ememar.2005.05.002.
  • Van Dijk, M. A. 2011. Is size dead? a review of the size effect in equity returns. Journal of Banking & Finance 35 (12):3263–74. doi:10.1016/j.jbankfin.2011.05.009.
  • Waszczuk, A. 2014. Assembling international equity datasets–Review of studies on the cross-section of returns. Procedia Economics and Finance 15:1603–12. doi:10.1016/S2212-5671(14)00631-5.
  • Wong, K. A., and M. S. Lye. 1990. Market values, earnings’ yields and stock returns: Evidence from singapore. Journal of Banking & Finance 14 (2–3):311–26. doi:10.1016/0378-4266(90)90052-4.
  • Zaremba, A., A. Karathanasopoulos, A. Maydybura, A. Czapkiewicz, and N. Bagheri. 2018. Dissecting anomalies in islamic stocks: Integrated or segmented pricing? Pacific-Basin Finance Journal. doi:10.1016/j.pacfin.2018.05.006.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.