Book to Market and Size as Determinants of Stock Returns of Banks. An Empirical Investigation from MENA Countries
Journal Title: International Journal of Academic Research in Accounting, Finance and Management Sciences - Year 2016, Vol 6, Issue 4
Abstract
The aim of this study is to examine empirically the determinants of stock returns of banks in the MENA countries. Methodologically, we use the capital asset pricing model (CAPM) and the three-factor model of Fama and French (1993) for a sample of 30 banks during the period from March 31, 2004 to March 18, 2014. From the empirical findings, we can show that the firms with big size and with high book to market (BH) produce higher average stock returns than big firms during all periods of study (before the crisis, during the financial crisis of 2007 and after the financial crisis). In addition, we find that the size, the book to market and the market risk premium have very strong importance to explain the volatility of the expected returns. The results show, also, that the market risk (Mkt) has a positive impact on market profitability of banks except for the SM and BH portfolios in the case of the CAPM and Fama and French models. The risk associated with the size (SMB) has a positive impact on small banks and a negative impact on banks with big sizes. Finally, the risk related to the market value (HML) has a positive impact on small and large banks.
Authors and Affiliations
Monia Ben Ltaifa, Walid Khoufi
Keywords
Related Articles
- EP ID EP90974
- DOI 10.6007/IJARAFMS/v6-i4/2330
- Views 115
- Downloads 0
The Impact of Shariah Approved Companies on the Relationship between Corporate Governance Structure and Voluntary Disclosure of Interim Financial Reporting in Jordan
Corruption Control in the Public Sector and the Nigerian Accountant
Corruption has become a systemic problem in Nigeria with its negative effects on every facet of the economy. This study examines the role of accountant on corruption control in the Nigerian public sector and the impact o...
Financial Deepening of Insurance and Economic Growth in Kenya
Role of in Virtual Teaching in Rehabilitative and Extension Human Source
In initially of third thousand year in virtual teaching is a very important factor in rehabilitative of human source in organization and society. This technology was basically extension pivot of human source and its esse...
Roles of Foreign Investment of the Banks in Jordan on Local Assets
Jordan was Successful bringing for foreign investment (banks) that gave the facilities to play in economical development, particularly financial performance in lending and savings, so that the local banks (Jordan) has be...