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

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Published Jul 5, 2019
DOI https://doi.org/10.30585/jrems.v1i2.348
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

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.

How to Cite

Szczygielski, J. J., Mikutowski, M., & Zaremba, A. (2019). Is there a low-risk anomaly in the UAE stock market?. Journal of Research in Emerging Markets, 1(2), 39–44. https://doi.org/10.30585/jrems.v1i2.348
Abstract 272 | PDF Downloads 210

Article Details

Keywords

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

Issue
Vol. 1 No. 2 (2019): Journal of Research in Emerging Markets
Section
Articles
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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

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