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- W2955518031 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." @default.
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- W2955518031 date "2019-07-05" @default.
- W2955518031 modified "2023-10-16" @default.
- W2955518031 title "Is there a low-risk anomaly in the UAE stock market?" @default.
- W2955518031 doi "https://doi.org/10.30585/jrems.v1i2.348" @default.
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