Are there significant premiums in the Saudi stock market?

Ryadh Alkhareif

Finance Research Letters, 2016, vol. 18, issue C, 108-115

Abstract: Saudi Arabia has announced the opening of its Stock Exchange for qualified foreign investors starting June 15, 2015. This decision marks a major milestone that deserves special recognition. Given the presence of factor anomalies in other stock markets, we examine whether similar factors concur in the Saudi market. The findings confirm the existence of significant premiums for all of the factors under investigation. Interestingly, we encounter a remarkable anomaly within which riskier assets do not necessarily offer higher returns. Such findings could prove valuable for retail investors who mistakenly believe that higher risks result in higher rewards.

Keywords: Saudi stock exchange; Multifactor model; And factor premiums (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G18 G20 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:108-115

DOI: 10.1016/j.frl.2016.04.007

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