An investigation into the role of conventional and liquidity-augmented Fama and French three factor models in Palestine exchange
Other Title(s)
اختبار دور نموذج فاما و فرنش التقليدي و المعدل للعوامل الثلاثة في بورصة فلسطين
Dissertant
al-Saftawi, Mahmud Yusuf Hashim
Thesis advisor
Comitee Members
al-Arini, Baha al-Din Ahmad
Ashur, Yusuf Husayn Mahmud
University
Islamic University
Faculty
Faculty of Commerce
Department
Department of Business Administration
University Country
Palestine (Gaza Strip)
Degree
Master
Degree Date
2016
English Abstract
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.
Main Subjects
No. of Pages
220
Table of Contents
Table of contents.
Abstract.
Abstract in Arabic.
Chapter One : Introduction.
Chapter Two : Anomalies and expected rate of return.
Chapter Three : Literature review.
Chapter Four : Study methodology and results.
Chapter Five : Conclusions and recommendations.
References.
American Psychological Association (APA)
al-Saftawi, Mahmud Yusuf Hashim. (2016). An investigation into the role of conventional and liquidity-augmented Fama and French three factor models in Palestine exchange. (Master's theses Theses and Dissertations Master). Islamic University, Palestine (Gaza Strip)
https://search.emarefa.net/detail/BIM-727294
Modern Language Association (MLA)
al-Saftawi, Mahmud Yusuf Hashim. An investigation into the role of conventional and liquidity-augmented Fama and French three factor models in Palestine exchange. (Master's theses Theses and Dissertations Master). Islamic University. (2016).
https://search.emarefa.net/detail/BIM-727294
American Medical Association (AMA)
al-Saftawi, Mahmud Yusuf Hashim. (2016). An investigation into the role of conventional and liquidity-augmented Fama and French three factor models in Palestine exchange. (Master's theses Theses and Dissertations Master). Islamic University, Palestine (Gaza Strip)
https://search.emarefa.net/detail/BIM-727294
Language
English
Data Type
Arab Theses
Record ID
BIM-727294
