Loading...
Asset pricing in the Middle East’s equity markets
Hearn, Bruce Li, Jing Mykhayliv, Dariya
Hearn, Bruce
Li, Jing
Mykhayliv, Dariya
Publication Date
2021-05
End of Embargo
Supervisor
Rights
© 2021 Elsevier B.V. All rights reserved. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.
Peer-Reviewed
Yes
Open Access status
openAccess
Accepted for publication
17/03/2021
Institution
Department
Awarded
Embargo end date
Collections
Abstract
This paper undertakes a comparison between five multifactor variants of the capital asset pricing model. These include additional factors based on size, book to market value, momentum, liquidity and a new investor protection metric based on the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 909 blue chip firms from 18 Middle East & North African equity markets for 16 years, we show that a two factor CAPM augmented with a factor mimicking portfolio based on the investor protection metric yields the highest explanatory power. Analysis of Kalman filter time varying investor protection betas reveals investor protection premiums in Egypt, Iraq, Lebanon and Tunisia and corresponding discounts in Israel, Saudi Arabia, Kuwait, Oman, Dubai and Abu Dhabi.
Version
Accepted manuscript
Citation
Hearn B, Li J, Mykhayliv D et al (2021) Asset pricing in the Middle East’s equity markets. Journal of International Financial Markets, Institutions and Money. 72: 101337.
Link to publisher’s version
Link to published version
Link to Version of Record
Type
Article