Journal of Economic Cooperation and Development, 31, 1 (2010), 1-16

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Journal of Economic Cooperation and Development, 31, 1
(2010), 1-16
Beta Wins Again: Case of four Emerging Markets
Samer AM Al-Rjoub1, Abdullah Al Yousef and
Izz Eddien N. Ananzeh
We empirically investigate the cross-sectional behavior of stock
returns in four emerging markets, namely, Egypt, Jordan, Morocco and
Saudi Arabia. We use the “between estimator” panel data regression to
test whether price-earning ratio, book-to-market ratio, market
capitalization, and beta can predict stock market returns variations. Based
on the results we still believe that Beta have a significant explanatory
power in predicting stock market returns; the sign is positive. Other
fundamentals fail the test.
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