The Arabo-Mediterranean momentum strategies
Journal Title: Asian Economic and Financial Review - Year 2011, Vol 1, Issue 4
Abstract
This paper documents strong evidence for the robust profitability of the momentum strategies inter and intra five Arabo-Mediterranean stocks’ markets. Between 1998 and 2007 we find that the related stocks’ returns exhibit a strong continuation pattern during a period of about one year. Even after controlling for the country effect, the neutral-country momentum strategies still yield significantly positive payoffs of about 1.88 percent per month. Nevertheless and although the paper gives evidences that the market and the SMB factors account for the profitability of neutral-country momentum strategies’ payoffs, still some significant parts of the excess returns persist puzzling to the conventional asset pricing models.
Authors and Affiliations
Faten Zoghlami| Finance department, ISCAE University of Manouba, Tunisaia
LOGISTIC COST MANAGEMENT IN ENTERPRISES: THE EXAMPLE OF KARAMAN, AKSARAY AND KAYSERİ PROVINCES
Logistics management is the customer, market and distributional channel based planning of logistic activities and determining the execution of these activities through outsourcing or within the enterprise and conducting...
EFFECTS OF FOCUS OF ACCOUNTING RESEARCH ON THE QUALITY OF ACCOUNTING EDUCATION IN MALAYSIAN UNIVERSITIES
This paper reviews the impact of focus of research in accounting on the quality of accounting education in Malaysian Universities. Research in accounting is very important in Malaysian Universities, in particular, and t...
ACCOUNTING CLARITY THROUGH THE PROPOSED TWO COLUMN PROFIT AND LOSS ACCOUNT; A COMPARATIVE STUDY OF ACCOUNTANTS AND INVESTORS’ PERCEPTIONS
This paper titled ‘accounting clarity through the proposed two column profit and loss account; a comparative study of accountants and investors’ perceptions, investigates the Relevance, Understanding, Reliability, Import...
CONTRIBUTION OF ADVANCED TECHNOLOGY AND FOREIGN CAPITAL TO GROWTH OF DIFFERENT STAGE OF DEVELOPMENT COUNTRIES
This study determines influence of advanced technology and foreign capital on economic growth apart from contribution of the other major domestic inputs. The countries were classified into four groups; i.e., lower and lo...
GENDER AND SPATIAL EDUCATIONAL ATTAINMENT GAPS IN TURKEY
This paper aims to investigate differences and similarities between and among the seven regions as well as the developed and the less developed provinces in Turkey for their gender gaps in educational attainment of the l...