Excess returns and risk characteristics in emerging markets : evidence from Morocco and Saudi Arabia

مقدم أطروحة جامعية

Tidrarine, Uthman

مشرف أطروحة جامعية

Faruq, Umar

الجامعة

جامعة الأخوين

الكلية

كلية إدارة الأعمال

دولة الجامعة

المغرب

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2009

الملخص الإنجليزي

This study examines the risk and return behavior of public firms belonging to four sectorial portfolios listed in the Moroccan and Saudi stock exchanges, two important emerging markets.

We investigate whether the banking, financial services, agricultural and food, and construction and real estate portfolios yield any abnormal returns and whether the risk inherent to those portfolios change with the varying market conditions.

Using the regression analysis and a dummy variable test, we find that apart from the Agricultural and Food sector in Morocco and the Banking sector in Saudi Arabia, there are no significant excess returns for the portfolios studied.

The results also show that the risk behavior of the Agricultural and Food portfolio in Morocco and the banking and the Construction and Real estate portfolios in Saudi Arabia significantly changes with market conditions.

Other portfolios do not experience a significant shift in the risk characteristics as the market goes up.

التخصصات الرئيسية

إدارة الأعمال
العلوم المالية و المحاسبية

الموضوعات

• السعودية
• المغرب

عدد الصفحات

24

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-629493