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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| Format: | Article |
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Modern Finance Institute
2024-12-01
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| Series: | Modern Finance |
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| Online Access: | https://mf-journal.com/article/view/192 |
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| _version_ | 1846126577586274304 |
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| author | Safae Benfeddoul Asmâa Alaoui Taïb |
| author_facet | Safae Benfeddoul Asmâa Alaoui Taïb |
| author_sort | Safae Benfeddoul |
| collection | DOAJ |
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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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| format | Article |
| id | doaj-art-7f7f3ae68e6e4b29a30f7fae39141dbd |
| institution | Kabale University |
| issn | 2956-7742 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Modern Finance Institute |
| record_format | Article |
| series | Modern Finance |
| spelling | doaj-art-7f7f3ae68e6e4b29a30f7fae39141dbd2024-12-12T15:11:38ZengModern Finance InstituteModern Finance2956-77422024-12-012210.61351/mf.v2i2.192Exploring fundamental anomalies: Evidence from the Moroccan stock marketSafae Benfeddoul0Asmâa Alaoui Taïb1The National School of Business and Management, Sidi Mohamed Ben Abdellah University, Fez, MoroccoThe National School of Business and Management, Sidi Mohamed Ben Abdellah University, Fez, Morocco 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. https://mf-journal.com/article/view/192Fundamental anomaliesfixed-effect modeldynamic panel modelSGMM methodologyMoroccan stock marketsize effect |
| spellingShingle | Safae Benfeddoul Asmâa Alaoui Taïb Exploring fundamental anomalies: Evidence from the Moroccan stock market Modern Finance Fundamental anomalies fixed-effect model dynamic panel model SGMM methodology Moroccan stock market size effect |
| title | Exploring fundamental anomalies: Evidence from the Moroccan stock market |
| title_full | Exploring fundamental anomalies: Evidence from the Moroccan stock market |
| title_fullStr | Exploring fundamental anomalies: Evidence from the Moroccan stock market |
| title_full_unstemmed | Exploring fundamental anomalies: Evidence from the Moroccan stock market |
| title_short | Exploring fundamental anomalies: Evidence from the Moroccan stock market |
| title_sort | exploring fundamental anomalies evidence from the moroccan stock market |
| topic | Fundamental anomalies fixed-effect model dynamic panel model SGMM methodology Moroccan stock market size effect |
| url | https://mf-journal.com/article/view/192 |
| work_keys_str_mv | AT safaebenfeddoul exploringfundamentalanomaliesevidencefromthemoroccanstockmarket AT asmaaalaouitaib exploringfundamentalanomaliesevidencefromthemoroccanstockmarket |