Template-Type: ReDIF-Article 1.0
Author-Name: Safae Benfeddoul
Author-Email: safae.benfeddoul@gmail.com
Author-Name: Asmâa Alaoui Taïb
Author-Email: alaouitaib.encg@yahoo.fr
Title: Exploring fundamental anomalies: Evidence from the Moroccan stock market
Abstract: Fundamental anomalies are explored, for the first time, in the Moroccan stock market. The sample includes non-financial companies from July 2001 to June 2020. We carry out, initially, sorts of returns on anomaly indicators, then, we follow through a regression analysis using a fixed-effect model and the system generalized method of moments methodology. The findings emphasize a significantly positive relationship between returns and the book-to-market ratio and a significantly negative relationship between returns and each of the price-to-earnings and the price-to-cash flow ratios. Regarding the size and the leverage effects, the findings highlight their absence. Finally, we cannot ascertain the existence of a positive or negative price-to-sales effect considering the contradictory results of the tests.
Keywords: Fundamental anomalies, fixed-effect model, dynamic panel model, SGMM methodology, Moroccan stock market, size effect, value effect, leverage effect
Journal: Modern Finance
Pages: 120-135
Volume: 2
Issue: 2
Year: 2024
Subtitle : 
File-URL: https://mf-journal.com/article/view/192
File-Format: text/xml
Handle: RePEc:bdy:modfin:v:2:y:2024:i:2:p:120-135:id:192