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Marina Arnaut Adam Zaremba
We investigate the momentum effect in the United Arab Emirates equity returns. Using a dataset of 124 firms listed in the UAE stock markets in the period January 2004 – March 2019, we form portfolios from one-way sorts on past returns ranging from 3 to 12 months. Contrary to the evidence from global markets, we have found that the momentum effect in the UAE is weak, unreliable, and insignificant. Under realistic trading assumptions, the momentum strategies cannot outperform a diversified market portfolio.
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stock market, asset pricing, equity anomalies, momentum effect, return predictability, United Arab Emirates, UAE, emerging markets
This work is licensed under a Creative Commons Attribution 4.0 International License.
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