Excess returns and risk characteristics in emerging markets : evidence from Morocco and Saudi Arabia
Dissertant
Thesis advisor
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2009
English Abstract
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.
Main Subjects
Business Administration
Financial and Accounting Sciences
Topics
No. of Pages
24
Table of Contents
Table of contents.
Abstract.
Chapter One : Introduction.
Chapter Two : Motivation and background.
Chapter Three : Methodology.
Chapter Four : Empirical results.
Chapter Five : Discussion of results and recommendations.
Chapter Six : Conclusion.
References.
American Psychological Association (APA)
Tidrarine, Uthman. (2009). Excess returns and risk characteristics in emerging markets : evidence from Morocco and Saudi Arabia. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-629493
Modern Language Association (MLA)
Tidrarine, Uthman. Excess returns and risk characteristics in emerging markets : evidence from Morocco and Saudi Arabia. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2009).
https://search.emarefa.net/detail/BIM-629493
American Medical Association (AMA)
Tidrarine, Uthman. (2009). Excess returns and risk characteristics in emerging markets : evidence from Morocco and Saudi Arabia. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-629493
Language
English
Data Type
Arab Theses
Record ID
BIM-629493
