Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets

Khataybeh, Mohammad; Abdulaziz, Mohamad; Marashdeh, Zyad

doi:10.3790/aeq.65.2.115

AEQ

2019

DOI: 10.3790/aeq.65.2.115

|View full text |Cite

Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets

Mohammad Khataybeh¹,

Mohamad Abdulaziz²,

Zyad Marashdeh³

Abstract: This paper examines the conditional risk-return relationship caused by the impact of using realized returns as a proxy for expected returns, which requires a separation of negative and positive market premiums. Following the methodology of Pettengill et al. (1995), we test the cross sectional relationship between beta and realized returns on the Amman Stock Exchange (ASE) for ten beta sorted portfolio over the period of January 1993 to December 2016. The empirical results suggest that the traditional two-pass … Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2021

Publication Types

Select...

Article4

Relationship

Self Cite0

Independent4

Authors

Journals

Cited by 4 publications

(1 citation statement)

References 26 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…More recent papers includePhylaktis & Ravazzolo (2005),Humpe and Macmillan (2009), Eita (2012),Ibrahim & Agbaje (2013),Tripathi & Kumar (2014) ,Hunjra, Chani, Shahzad & Khan (2014),Boonyanam (2014),Barakat et al (2016), Okoro (2017, Badullahewage (2018), Al-Kandari and Abul (2019),Khataybeh et al( 2019), Radha and Gopinathan (2019), andOlokoyo et al (2020).…”

mentioning

confidence: 99%

Economic growth, inflation and capital market performance: is there a link in Jordan

Khataybeh¹,

Omet²

2021

Pressacademia

View full text Add to dashboard Cite

Purpose -The relationship between some macroeconomic variables and stock market returns still attracts the attention of researchers. Indeed, this interest lies in the fact the stock development enhances real economic growth. Within this context, the objective of this paper is to examine the Jordanian capital market (Amman Stock Exchange / ASE) in terms of the nexus between macroeconomic variables and the stock price index. Methodology -To examine the relationship between real Gross Domestic Product (GDP) and consumer price index (CPI) and the ASE's market index, this paper covers the period 1980 -2019, and uses time series techniques including stationarity test, lag length selection criteria, co-integration, Vector Error Correction Model (VECM), and some stability tests. Findings -In contrast to most of the published literature, the impact of real GDP on the ASE's market index and on its market capitalization is negative and significant. In addition, while the impact of consumer price index on the market index is not significant, its impact of market capitalization is negative and significant. Conclusion -Based on the estimated results, we argue that the ASE's performance does not reflect the performance of the national economy. On the contrary, the relationship is negative. In addition, we argue that the ASE's market index does not hedge investors against inflation. These results indicate that the ASE's market index should not be used as a proxy measure of the performance of the national economy.

show abstract

mentioning

confidence: 99%

Economic growth, inflation and capital market performance: is there a link in Jordan

Khataybeh¹,

Omet²

2021

Pressacademia

View full text Add to dashboard Cite

show abstract

Country or bank-specific factors: A study to explain bank performance

Marashdeh¹,

Omet²,

Haddad³

2021

CGOBR

View full text Add to dashboard Cite

Bank performance is an issue that has attracted so much research effort. Within this context, banks in Jordan and Palestine provide us with an interesting research issue. In Palestine, eight of the thirteen existing banks are Jordanian. Moreover, due to an obvious reason (Israeli occupation), one can argue that the economic and political environments in Jordan and Palestine could not have been more contrasting. This paper examines the determinants of the performance of banks in Jordan and Palestine. In addition, the paper examines whether the differences in the determinants of their performance are due to bank-specific factors, or country-specific differences. Using the financial statements of all thirteen Jordanian banks and the thirteen Palestinian banks (eight of which are Jordanian) over the time period 2009–2017 and panel data methods, the results indicate that factors like credit and expenses affect the performance of both sets of banks. Moreover, the results indicate that the differences in their impact are due to country-specific and not bank-specific factors. This result is probably not surprising given the relatively stable (unstable) circumstances that Jordan (Palestine) enjoys (does not enjoy)

show abstract

Female representation on the boards of directors of non-financial companies

Marashdeh

Alomari

Khataybeh

et al. 2021

JGR

View full text Add to dashboard Cite

This study offers new insights to help improve our understanding of the impact of female representation on firm performance, as measured by return on assets (ROA) and return on equity (ROE) and using non-financial institution data from Jordan. The study utilizes a lagged dependent variable in the regression models by employing the generalized method of moments (GMM) for dynamic panel analysis of the panel data of 77 companies over the period 2008-2018. The results of the regression analysis reveal that leverage, board size, and firm size were positive and statistically significant, while the age of the firm was statistically significant but had a negative effect, which indicates the existence of a relationship between these variables and the performance of Jordanian companies. However, the results fail to show any effect of the impact of female representation on firm performance as measured by return on assets and return on equity. This finding might be attributed to the low representation of females on non financial institution boards, which was only 3.63%, a very low figure compared to that of males on Jordanian boards. Therefore, our results are valid only for Jordanian firms and cannot be generalized to ones in other countries, which might have different cultural and legal perspectives.

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets

Cited by 4 publications

References 26 publications

Economic growth, inflation and capital market performance: is there a link in Jordan

Economic growth, inflation and capital market performance: is there a link in Jordan

Country or bank-specific factors: A study to explain bank performance

Female representation on the boards of directors of non-financial companies

Contact Info

Product

Resources

About