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Is there a low-risk anomaly in the UAE stock market?
- Source :
- Journal of Research in Emerging Markets; Vol. 1 No. 2 (2019): Journal of Research in Emerging Markets; 39-44
- Publication Year :
- 2019
- Publisher :
- University of Dubai, 2019.
-
Abstract
- We investigate the low-risk anomaly in the United Arab Emirates stock market. Using a sample of stocks listed on the DFM and ADX, we examine the performance of portfolios from one-way sorts on several prominent measures of risk: total volatility, beta, idiosyncratic risk, and value at risk. We find no significant relationship between these measures of risk and future returns – either positive or negative. In consequence, our results do not support the hypothesis that the low-risk anomaly is present in the UAE stock market. Low-risk stocks do not significantly outperform high-risk securities.
Details
- ISSN :
- 2663905X
- Volume :
- 1
- Database :
- OpenAIRE
- Journal :
- Journal of Research in Emerging Markets
- Accession number :
- edsair.doi.dedup.....e3760a16c4a917f1d1255cdc9f17630c