Is there a low-risk anomaly in the UAE stock market?
Jan Jakub Szczygielski , Mateusz Mikutowski , Adam Zaremba
AbstractWe 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.
|Journal series||Journal of Research in Emerging Markets, ISSN 2663-905X, (0 pkt)|
|Publication size in sheets||0.5|
|Keywords in Polish||rynek akcji, anomalie rynku akcji, anomalia niskiego ryzyka, wycena aktywów, predykcja stóp zwrotu, Zjednoczone Emiraty Arabskie, rynki wschodzące, ZEA|
|Keywords in English||equity market, pricing anomalies, low-risk anomaly, asset pricing, return predictability, United Arab Emirates, UAE, emerging markets|
|Score||= 5.0, 09-04-2020, ArticleFromJournal|
|Citation count*||2 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.