Is there a low-risk anomaly in the UAE stock market?

Abstract

We investigate the low-risk anomaly in the United Arab Emirates stock market. Using a sample of stocks listed on the DFM and ADX, we examine the performance of portfolios from one-way sorts on several prominent measures of risk: total volatility, beta, idiosyncratic risk, and value at risk. We find no significant relationship between these measures of risk and future returns – either positive or negative. In consequence, our results do not support the hypothesis that the low-risk anomaly is present in the UAE stock market. Low-risk stocks do not significantly outperform high-risk securities.

Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China

“…2. For reviews of the studies on the role of idiosyncratic risk, see, e.g., Blitz et al (2019), Zaremba (2016), Zaremba andShemer (2016, 2018), or Szczygielski, Mikutowski, and Zaremba, (2019). 3.…”

The (lack of) momentum effect in the UAE stock market

“…Regardless of the portfolio formation periods or the size of the companies in the sample, the difference in average returns between past winners and losers is insignificant. This study adds to the literature on equity anomalies in the UAE (Alshebli 2019;Al-Kahazali, 2008;Al-Hajieh et al, 2011;Al-Tamimi et al, 2011;Chiang & Zheng, 2010;Medhioub & Chaffai, 2018;Mikutowki, Kambouris, & Zaremba, 2019;Moustafa, 2004;Szczygielski, Mikutowski, & Zaremba, 2019;.…”