The purpose of this study was to find whether value premium exists in the context of GCC markets, and if it does, whether idiosyncratic risk explain its presence. The sample consisted of stock indices and company level stock prices from three GCC countries: Oman, Kuwait and Saudi Arabia. The economic model used CAPM and the analyses were divided into 2 parts: the first part involves testing idiosyncratic risk has impact on value premium using GARCH-M and EGARCH-M model. It was found that value premium does exist in Gulf markets with positive significant relationship between value premium and idiosyncratic risk for Oman and Kuwaiti markets ...