On the relationship between economic freedom and equity returns in the emerging markets: Evidence from the Middle East and North Africa (MENA) stock markets

Smimou, K.; Karabegovic, Amela

doi:10.1016/j.ememar.2010.01.003

Cited by 36 publications

(26 citation statements)

References 35 publications

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“…He also develops an investment strategy based on this phenomenon, which earns attractive investment returns. Similar evidence is provided by Smimou and Karabegovic (2010), who concentrate on MENA markets. Finally, Stocker (2016) corroborates his own earlier results.…”

Section: Other Predictorssupporting

confidence: 75%

The Cross Section of Country Equity Returns: A Review of Empirical Literature

Zaremba

2019

JRFM

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The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies.

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Section: Other Predictorssupporting

confidence: 75%

The Cross Section of Country Equity Returns: A Review of Empirical Literature

Zaremba

2019

JRFM

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“…The liquidity effect should be more pronounced during a period of crisis (e.g., Smimou and Karabegovic 2010). However, the theoretical models developed by Easley and O'Hara (2004) and Easley et al (2002Easley et al ( , 2010 indicate that private information affects the process by which prices become informationally efficient and this affects the risk of holding stocks.…”

Section: Literaturementioning

confidence: 99%

Liquidity and Return Relationships in an Emerging Market

Batten

2014

Emerging Markets Finance and Trade

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In this paper, we investigate the relationship between liquidity and stock returns in the Vietnam stock market during the global financial crisis. Vietnam is one of a new group of frontier emerging markets referred to as CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa). We use a rich and detailed data set of firm characteristics to identify a positive relationship between liquidity and stock returns. This contradicts the negative correlation typically found in stock returns in developed markets. Our results support the proposition that when a market is not fully integrated with the global economy, a lack of liquidity will be a less important risk factor. Our findings contribute to those studies that highlight the diversification benefits from including frontier markets, which have a lower degree of integration with the global economy, in international portfolios.

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“…The TSE is skewed to the right (Smimou and Karabegovic, 2010). This means that there is a higher probability for investors in Tunisia to get positive returns than to get negative returns.…”

Section: The Institutional Backgroundmentioning

confidence: 99%

An Examination of the Naïve-Investor Hypothesis in Accruals Mispricing in Tunisian Firms

Khanchel¹

2011

Journal of International Financial Management &Amp; Accounting

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This study extends previous studies on accrual anomaly to investigate the emerging market's mispricing of accruals. Using Mishkin (1983) test, hedge portfolio test and Fama and MacBeth (1973) regression, we test whether the Tunisian Stock Exchange price rationally reflects the 1-year ahead earnings implications of its earnings components. We find that earnings and their cash flow and accrual components are not rationally priced by the market. Additionally, this paper examines the role of sophistication investors in the pricing of earnings and their components. Our results show that accruals for firms with higher level of institutional ownership are not mispriced, while accruals for firms with lower institutional ownership are overpriced significantly by the market.

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On the relationship between economic freedom and equity returns in the emerging markets: Evidence from the Middle East and North Africa (MENA) stock markets

Cited by 36 publications

References 35 publications

The Cross Section of Country Equity Returns: A Review of Empirical Literature

The Cross Section of Country Equity Returns: A Review of Empirical Literature

Liquidity and Return Relationships in an Emerging Market

An Examination of the Naïve-Investor Hypothesis in Accruals Mispricing in Tunisian Firms

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