Liquidity-based three-factors model in predicting asset returns in the Moroccan stock market
Dissertant
Thesis advisor
Alawi, Abd al-Hamid Hamidi
Aguenaou, Samir
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2015
English Abstract
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
Main Subjects
No. of Pages
53
Table of Contents
Table of contents.
Abstract.
Introduction.
[Chapter One] : Literature review.
[Chapter Two] : Moroccan equity market.
[Chapter Three] : Casablanca stock exchange.
[Chapter Four] : Data analysis.
[Chapter Five] : Methodology.
[Chapter Six] : Regression analysis methodology.
Chapter Seven] : Empirical results].
Conclusion.
References.
American Psychological Association (APA)
Meghraoui, Sukaynah. (2015). Liquidity-based three-factors model in predicting asset returns in the Moroccan stock market. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-628563
Modern Language Association (MLA)
Meghraoui, Sukaynah. Liquidity-based three-factors model in predicting asset returns in the Moroccan stock market. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2015).
https://search.emarefa.net/detail/BIM-628563
American Medical Association (AMA)
Meghraoui, Sukaynah. (2015). Liquidity-based three-factors model in predicting asset returns in the Moroccan stock market. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-628563
Language
English
Data Type
Arab Theses
Record ID
BIM-628563
