The Inter-Firm Value Effect in the Qatar Stock Market: 2005-2014

International Journal of Business and Management; Vol. 11, No. 1; 2016, Forthcoming

10 Pages Posted: 21 Dec 2015

Date Written: December 18, 2015

Abstract

This paper examines whether there is evidence of an inter-firm value in the returns of Qatar firms. The long-term return contrarian and book-to-market strategies are approaches commonly used to test for value effect. This study documents statistically significant abnormal profits of an inter-firm value effect with two measures. The long-term return contrarian and BE/ME strategies provide significant abnormal raw returns of 1.17% and 1.64% per month, respectively. Although each of the value strategies earns significant unadjusted profits, these profits can be explained by the Fama-French three-factor model

Keywords: Qatar Stock Exchange (QSE), contrarian, three-factor model

Suggested Citation

Gharaibeh, Omar Khlaif, The Inter-Firm Value Effect in the Qatar Stock Market: 2005-2014 (December 18, 2015). International Journal of Business and Management; Vol. 11, No. 1; 2016, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2705885

Omar Khlaif Gharaibeh (Contact Author)

Al Albayt University ( email )

AL-Hashemia
Ajloun, 00962
Jordan

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