كفاءة التسعير في سوق الأسهم السعودي

Abstract EN

The paper targets to evaluate the price efficiency of the Saudi stock market.

The financial theories of assets pricing suggests that the stock price must reflect the different risk factors to be efficient.

Therefore, to investigate the relation between the variation of stock prices and its risk, we applied multi factor asset-pricing model.

Thus our test impose a rational asset framework on the relation between return of equity and a Varity of risk factors: market risk represented by risk premium and company specific factors such as book to market value of the stock , the cash flow , return on equity and the past return for the stock.

According to the theory and the applied papers, there is a positive relation between the variation of the stock return and the performance of the firm.

We applied the model on the stock of 26 firms listed in the stock market, which quarterly balance sheet and income statement data for a period started from the first quarter of 2003 to second quarter of 2005 are available and complete.

We used the technique of pooled regression, using random effect model which, treat the cross sectional intercept as a random variables related to differences in individual firm behavior.

The results reflect the significant and positive effect for the market risk and the past return of the stock, however all factors which reflect the performance of the company appears to be in conflict with the theory.

So according to these results we can capture the miss pricing of the stocks and irrational behavior of the investors.