Exploring fundamental anomalies: Evidence from the Moroccan stock market
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 an...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Modern Finance Institute
2024-12-01
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| Series: | Modern Finance |
| Subjects: | |
| Online Access: | https://mf-journal.com/article/view/192 |
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| Summary: | 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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| ISSN: | 2956-7742 |