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
Keywords
Related Articles
- EP ID EP1727
- DOI -
- Views 568
- Downloads 37
CORPORATE GOVERNANCE AND FINANCIAL REPORTING IN THE NIGERIAN BANKING SECTOR: AN EMPERICAL STUDY
The objective of corporate governance in the strategic management of the banking industry in Nigeria is to ensure hearth financial system and economic development .This study therefore discusses the corporate governanc...
The Arabo-Mediterranean momentum strategies
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 exhibi...
THE PATH DEPENDENCE OF INDUSTRY STRUCTURE ADJUSTMENT IN CHONGQING: CENTRAL GOVERNMENT POLITICAL DECISION
Reviewing Chongqing’s industrial structure evolution in the history view angle since Chongqing was opened and quantitative analyzing with shift-share analysis and Structure effect index after the Reform and Openness, thi...
ELECTRONIC PAYMENT CHANNELS IN THE NIGERIA BANKING SECTOR AND ITS IMPACTS ON NATIONAL DEVELOPMENT
Electronic payment channels (EPC) are fast growing in Nigeria and are now the order of the day for effecting payments. These methods have brought a lot of convenience to both individual and corporate customers, unlike ma...
ECONOMIC FREEDOM AND ECONOMIC GROWTH IN MENA COUNTRIES
Most studies of the relationship between economic freedom and growth of GDP have found a positive correlation. One problem in this area is the choice of measure of economic freedom. A single measurement does not reflect...