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2021-05Rights
© 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
YesOpen Access status
openAccessAccepted for publication
17/03/2021
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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 manuscriptCitation
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 Version of Record
https://doi.org/10.1016/j.intfin.2021.101337Type
Articleae974a485f413a2113503eed53cd6c53
https://doi.org/10.1016/j.intfin.2021.101337