Return Determinants in a Deteriorating Market Sentiment: Evidence from Jordan

Imad Ramadan

Modern Applied Science, 2016, vol. 10, issue 4, 168

Abstract: This paper aimed to examine the relationship between the returns and special characteristics of the industrial firms listed at Amman Stock Exchange; namely risk and size, when market sentiment deteriorates. This study used econometric analysis, utilizing cross-sectional panel data regression. As for the financial data needed for this study, we utilize the information which are distributed six month prior deterioration of market sentiment. Data on the firm-level were derived from the official website of ASE. The sample of firms includes all manufacturing firms listed at ASE through the period 2000-2014. The experimental results of this study have concluded that when market sentiment deteriorates, the risks and returns are associated inversely with returns, this outcome is reliable with the perspective that in times of deteriorating market sentiment, speculators support the “safe†characteristics of firms and move away from the characteristics of firms that are related to speculative activities.

Date: 2016
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