Is there a low-risk anomaly in the UAE stock market?

Jan Jakub Szczygielski , Mateusz Mikutowski , Adam Zaremba

Abstract

We investigate the low-risk anomaly in the United Arab Emirates stock market. Using a sample of stocks listed on the DFM and ADX, we examine the performance of portfolios from one-way sorts on several prominent measures of risk: total volatility, beta, idiosyncratic risk, and value at risk. We find no significant relationship between these measures of risk and future returns – either positive or negative. In consequence, our results do not support the hypothesis that the low-risk anomaly is present in the UAE stock market. Low-risk stocks do not significantly outperform high-risk securities.
Author Jan Jakub Szczygielski - University of Pretoria, Pretoria, South Africa
Jan Jakub Szczygielski ,,
-
, Mateusz Mikutowski (WZ / KIiRK)
Mateusz Mikutowski,,
- Department of Investment and Capital Markets
, Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesJournal of Research in Emerging Markets, ISSN 2663-905X, (0 pkt)
Issue year2019
Vol1
No2
Pages39-44
Publication size in sheets0.5
Keywords in Polishrynek akcji, anomalie rynku akcji, anomalia niskiego ryzyka, wycena aktywów, predykcja stóp zwrotu, Zjednoczone Emiraty Arabskie, rynki wschodzące, ZEA
Keywords in Englishequity market, pricing anomalies, low-risk anomaly, asset pricing, return predictability, United Arab Emirates, UAE, emerging markets
DOIDOI:10.30585/jrems.v1i2.348
URL http://publications.ud.ac.ae/index.php/jrems/article/view/348
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 5.0, 09-04-2020, ArticleFromJournal
Citation count*2 (2020-07-09)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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