A note on value investing in the UAE stock market

Mateusz Mikutowski , George D. Kambouris , Adam Zaremba

Abstract

Value investing is one of the most popular stockpicking strategies employed in financial markets. We investigate its effectiveness in the United Arab Emirates. We examine the performance of 124 firms in the period from January 2004 to March 2019. We analyze portfolios from one-way sorts on several well-known valuation ratios: earnings-to-price, book-to-market, EBITDA -to-EV, and dividend yield. Our results demonstrate a powerful value effect in the UAE stock markets. The long-short strategies based on valuation ratios display high raw and risk-adjusted returns. Our results are robust to many considerations.
Author Mateusz Mikutowski (WZ / KIiRK)
Mateusz Mikutowski,,
- Department of Investment and Capital Markets
, George D. Kambouris - University of Dubai, UAE
George D. Kambouris,,
-
, 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
Pages33-38
Publication size in sheets0.5
Keywords in Polishrynek akcji, anomalie rynku akcji, inwestycje w wartość, wycena aktywów, predykcja stóp zwrotu, efekt wartości, Zjednoczone Emiraty Arabskie, rynki wschodzące, ZEA
Keywords in Englishstock market, equity anomalies, value investing, asset pricing, return predictability, value effect, United Arab Emirates, emerging markets, UAE
DOIDOI:10.30585/jrems.v1i2.339
URL https://publications.ud.ac.ae/index.php/jrems/article/view/339
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 5.0, 09-04-2020, ArticleFromJournal
Citation count*2 (2020-09-10)
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