A note on value investing in the UAE stock market
Mateusz Mikutowski , George D. Kambouris , Adam Zaremba
AbstractValue 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.
|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, inwestycje w wartość, wycena aktywów, predykcja stóp zwrotu, efekt wartości, Zjednoczone Emiraty Arabskie, rynki wschodzące, ZEA|
|Keywords in English||stock market, equity anomalies, value investing, asset pricing, return predictability, value effect, United Arab Emirates, emerging markets, UAE|
|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.