Liquidity-based three-factors model in predicting asset returns in the Moroccan stock market

مقدم أطروحة جامعية

Meghraoui, Sukaynah

مشرف أطروحة جامعية

Alawi, Abd al-Hamid Hamidi
Aguenaou, Samir

الجامعة

جامعة الأخوين

الكلية

كلية إدارة الأعمال

دولة الجامعة

المغرب

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2015

الملخص الإنجليزي

The objective of this study is to evaluate the forecasting power of liquidity-based threefactors model compared to the traditional CAPM and to test its validity in the Moroccan stock market.

The data used for the analysis is selected from the Casablanca Stock Exchange on a monthly basis from January 2007 to June 2014.

Regression analysis is then used to test the relationship between stocks’ expected returns and the excess market return, market to book value, and liquidity factor for each company.

The results are analyzed based on the different economic sectors.

The findings showed that the liquidity-based model has more predictive power than the traditional CAPM.

The market to book value factor is positively significant for the majority of the companies in each sector except from Telecommunication, energy, and food.

The share turnover ratio is significant in the services and food sectors with a positive sign.

The liquidity-based model does not totally hold in the Moroccan stock market but it can be used for the real estate & development and the financial sector

التخصصات الرئيسية

إدارة الأعمال

عدد الصفحات

53

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-628563