Exploring fundamental anomalies: Evidence from the Moroccan stock market

Safae Benfeddoul (1) Asmâa Alaoui Taïb (2)
(1) The National School of Business and Management, Sidi Mohamed Ben Abdellah University, Fez, Morocco, Morocco
(2) The National School of Business and Management, Sidi Mohamed Ben Abdellah University, Fez, Morocco, Morocco

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.

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Authors

Safae Benfeddoul
safae.benfeddoul@gmail.com (Primary Contact)
Asmâa Alaoui Taïb
Benfeddoul, S., & Alaoui Taïb, A. (2024). Exploring fundamental anomalies: Evidence from the Moroccan stock market. Modern Finance, 2(2), 120–135. https://doi.org/10.61351/mf.v2i2.192

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