Manuscript type: Research paper Research aims: This paper examines risk factors comprising size, value, profitability, investment, momentum and illiquidity to see if they are relevant for the stock markets in the Middle East and North Africa (MENA) region. Design/Methodology/Approach: Stock market data, from January 2007 to December 2015, are used to construct the risk factors for the stock market in the MENA region. The single factor models and the multifactor models are used to explain the constructed portfolios' excess returns. Research findings: Findings show that the risk factors of size, value and profitability are the most important to be applied in asset pricing models within the MENA region. In addition, most of the models analysed in this study are unable to perfectly capture the average excess returns of the datasets, with the seven-factor model performing better than the other competing models. Theoretical contribution/Originality: This paper is possibly one of the first to construct and apply the above-mentioned risk factors in the MENA markets. It further proposes using two additional risk factors, such as momentum and illiquidity, within the Fama and

Do Islamic fundamental weighted indices outperform their conventional counterparts? An empirical investigation during the crises in the MENA region. Eurasian Economic Review (2020).

Purpose This study aims to investigate the performance of fundamental weighted portfolios (using sales, cash flows, dividends, book values and a composite of all these variables), an equal weighted portfolio and a smoothed cap-weighted (CW) portfolio in Middle East and North Africa (MENA) markets. The performance of these portfolios is compared with that of a CW portfolio for the period 2005 to 2015. Design/methodology/approach The portfolios are formed using different concentration levels, different construction schemes and different sub-regions. The performance is assessed using a large set of risk-adjusted performance measures, including more robust measures in the context of multi-factor models, such as the Fama and French (1993) three-factor model, the Fama and French (2015) five-factor model and a seven-factor model. Findings The results show that the fundamental portfolios, with the exception of the sales portfolio, underperform the CW portfolio using either the traditional or more robust risk-adjusted performance measures. The underperformance of the fundamental portfolios is found to be robust using different concentration levels, different construction schemes and different sub-regions. The results also show that the equal weighted portfolio outperforms the CW portfolio using traditional risk-adjusted measures. However, after controlling for additional risk factors, this outperformance disappears. Practical implications The failure of fundamental indexation in the emerging markets could help the researchers and the academics to search for the best weighting method that could be used as an alternative to the CW indexation method. Originality/value The results of the study add evidence to the debatable propositions on the performance of fundamental portfolios in emerging markets. Furthermore, the findings may help domestic and international investors, practitioners and decision-makers to deepen their knowledge in terms of the best portfolio construction scheme in the MENA region.