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dc.contributor.authorHearn, Bruce
dc.contributor.authorLi, Jing
dc.contributor.authorMykhayliv, Dariya
dc.contributor.authorWaqas, Muhammad
dc.date.accessioned2021-04-03T15:59:35Z
dc.date.accessioned2021-04-19T14:14:24Z
dc.date.available2021-04-03T15:59:35Z
dc.date.available2021-04-19T14:14:24Z
dc.date.issued2021-05
dc.identifier.citationHearn 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.en_US
dc.identifier.urihttp://hdl.handle.net/10454/18443
dc.descriptionYes
dc.description.abstractThis 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.en_US
dc.language.isoenen_US
dc.publisherElsevier
dc.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.en_US
dc.subjectInvestor protection
dc.subjectCAPM
dc.subjectEmerging financial markets
dc.subjectMiddle East & North Africa
dc.titleAsset pricing in the Middle East’s equity marketsen_US
dc.status.refereedYes
dc.date.Accepted17/03/2021
dc.date.application22/03/2021
dc.typeArticle
dc.type.versionAccepted manuscript
dc.identifier.doihttps://doi.org/10.1016/j.intfin.2021.101337
dc.date.updated2021-04-03T14:59:46Z
refterms.dateFOA2021-04-19T14:15:13Z
dc.openaccess.statusopenAccess


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