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

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  • Bader S. Alhashel

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.

Suggested Citation

  • Bader S. Alhashel, 2021. "Cross-Section of Returns in Frontier Markets: Evidence from the GCC Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(3), pages 798-823, February.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:3:p:798-823
    DOI: 10.1080/1540496X.2019.1590195
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    Cited by:

    1. Ngo Thai Hung, 2021. "Financial connectedness of GCC emerging stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(4), pages 753-773, December.

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