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. --------------------- --------------------------------------------------------------------