Cross-Section of Returns in Frontier Markets: Evidence from the GCC Markets

Bader S. Alhashel

Emerging Markets Finance and Trade, 2021, vol. 57, issue 3, 798-823

Abstract: Many variables have been used to explain a significant proportion of the cross-section of returns, mainly size and book-to-market. We investigate whether stock returns in the frontier markets of the GCC are driven by the same drivers. Additionally, we test other variables, such as β, leverage, momentum, and the price-to-earnings ratio. We conclude by examining which of the empirical asset pricing models (CAPM or three-factor) best describes returns in the GCC markets.

Date: 2021
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DOI: 10.1080/1540496X.2019.1590195

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