This paper investigates the existence of a pure momentum strategy in the Saudi stock market (SSM), the largest market in the Middle East and one of the fastest growing markets in the world. Price momentum profitability in the SSM is very similar in magnitude and significance to these found in...

This paper examines the risk/return relationship for life insurance stock returns using CAPM-GARCH. Prior studies use the traditional CAPM and fail to find risk-adjusted returns. Utilizing CAPM-GARCH, we find life insurance stocks provided 7.96% risk adjusted returns for the period 1985-2003....

This study focuses on REIT CEO compensation. We utilize five different definitions for CEO compensation: salary, bonus, cash compensation, total compensation, and option awards. To capture the determinants of CEO compensation, we use the following performance measures: three-year stock returns,...

The relaxation of security laws and regulations in emerging markets in the Middle East and North Africa (MENA) provides abundant opportunities for foreign investors. These markets exhibit high expected returns and substantial volatility. In this paper, we investigate the lead/lag relationship...

Given the recent much interest in REITs, we investigate if REITs have provided investors with superior risk/return trade off. Utilizing a conditional CAPM, we find that equity REITs have outperformed the market with an average abnormal annual return of 2.25% with a low time-varying beta of...

The study examines the relative ability of various models to forecast daily stock index futures volatility. The forecasting models that are employed range from naive models to the relatively complex ARCH-class models. It is found that among linear models of stock index futures volatility, the...

We examine the long-run equilibrium relation between the net flow of funds into equity mutual funds and the Samp;P 500 index. Applying the Engle and Granger error correction methodology followed by a state space procedure, we find that the levels of the stock market are influenced by the net...