Publication:
The value premium and idiosyncratic risk: case of GCC
Abstract
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 ...
Keywords
Asset pricing , CAPM , GARCH (1,1) , GARCH-M , EGARCH-M GCC , Idiosyncratic risk , Market volatility , Value premium , Project paper (MIF)
Citation
Ali, S. M. (2016). The value premium and idiosyncratic risk: case of GCC (Master dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/2371
Publisher
INCEIF
Available in physical copy only (Call Number: t HG 5712 A3 A398)