Is there a low-risk anomaly in the UAE stock market?

Jan Jakub Szczygielski; Mateusz Mikutowski; Adam Zaremba

doi:10.30585/jrems.v1i2.348

Authors

Jan Jakub Szczygielski Department of Financial Management, University of Pretoria, Pretoria, South Africa https://orcid.org/0000-0002-5803-4858
Mateusz Mikutowski Poznan University of Economics and Business, Poland https://orcid.org/0000-0002-5248-265X
Adam Zaremba University of Dubai, UAE; Poznan University of Economics and Business, Poland https://orcid.org/0000-0001-5879-9431

DOI:

https://doi.org/10.30585/jrems.v1i2.348

Keywords:

equity market, pricing anomalies, low-risk anomaly, asset pricing, return predictability, United Arab Emirates, UAE, emerging markets

Abstract

We investigate the low-risk anomaly in the United Arab Emirates stock market. Using a sample of stocks listed on the DFM and ADX, we examine the performance of portfolios from one-way sorts on several prominent measures of risk: total volatility, beta, idiosyncratic risk, and value at risk. We find no significant relationship between these measures of risk and future returns – either positive or negative. In consequence, our results do not support the hypothesis that the low-risk anomaly is present in the UAE stock market. Low-risk stocks do not significantly outperform high-risk securities.

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Author Biographies

Jan Jakub Szczygielski, Department of Financial Management, University of Pretoria, Pretoria, South Africa

Jan Jakub Szczygielski is Lecturer at the University of Pretoria, Pretoria, South Africa

Mateusz Mikutowski, Poznan University of Economics and Business, Poland

Mateusz Mikutowski is PhD Student at the Poznan University of Economics and Business

Adam Zaremba, University of Dubai, UAE; Poznan University of Economics and Business, Poland

Adam Zaremba is Associate Professor in Dubai Business School at University of Dubai.

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