An investigation into the role of conventional and liquidity-augmented Fama and French three factor models in Palestine exchange

العناوين الأخرى

اختبار دور نموذج فاما و فرنش التقليدي و المعدل للعوامل الثلاثة في بورصة فلسطين

مقدم أطروحة جامعية

al-Saftawi, Mahmud Yusuf Hashim

مشرف أطروحة جامعية

al-Dayih, Wail Hamdi

أعضاء اللجنة

al-Arini, Baha al-Din Ahmad
Ashur, Yusuf Husayn Mahmud

الجامعة

الجامعة الإسلامية

الكلية

كلية التجارة

القسم الأكاديمي

قسم إدارة الأعمال

دولة الجامعة

فلسطين (قطاع غزة)

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2016

الملخص الإنجليزي

This study aims to examine the role of liquidity in asset pricing models as a risk factor, similar to small minus big (SMB) and high minus low (HML) in the framework of Fama-French model and clarifying the time-series variations in stock returns over the period from April 2007 to March 2015 in Palestine exchange.

The study includes a sample of 39 companies with complete required data.

Eight developed hypotheses were tested by using multivariate regression analysis method, through SPSS and STATA softwares, based on extracted cross-sectional low frequency (yearly and monthly) - data.

The explanatory factors are those of Fama-French model, market risk premium-MKT; size risk premium-SMBt; value risk premium-VMGt; and illiquidity risk premium-IMLt; while the expected rate of return is measured by the monthly equally-weighted average rate of returns on the intersection related portfolios based on monthly closing prices, including risk free rate or not, regarding to the absence of risk free rate in Palestine exchange.

The main argument is that the incorporation of MKT, SMB and VMG factors in the Fama-French three factor model framework show the model superiority to capture the cross-section of average returns, clarifying the timeseries variations in stock returns with adjusted R2 in average 68% over the two variants of the augmented Fama-French three-factor models.

The results show significant and strong relationship between response and explanatory factors included in this study and recommend investors in Palestine exchange may consider the conventional Fama and French model referring to the proposed synthetic risk free as a base in their investment evaluation in the essence of safe investment.

التخصصات الرئيسية

إدارة الأعمال

عدد الصفحات

220

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-727294