This paper applies two of the famous asset pricing models in finance (Capital Assent Pricing model and Fama and French 1993 three factor model) in an emerging market with an Islamic Culture: Saudi Arabia Market (Tadwal), Generalized Methods of Moments and t Test statistical techniques were used...

Lately, investors' sentiment has become one of the major concentrations of finance literature on asset pricing model. Many research findings argued that changes in investors' sentiment measure could have an impact on stock returns and volatility and that investors' sentiment might be an...

The objective of this paper is to conduct an analysis on a very significant behavioral finance issue discussed in its recent studies; namely, the relationship between investors' sentiment and the returns of stock markets. This study will be conducted in the context of the Saudi stock exchange...

Study of stock market volatility has been the focus of financial economics. Modelling stock market volatility has great contributions to make in the areas of portfolio management, asset allocation, risk management, etc. We estimate the conditional volatility of Saudi stock market by applying AR...

This paper investigates the presence of time-series and cross-sectional momentum profits and the relationship between these two types of profits in the Saudi Arabia stock market. Results confirm that time-series momentum and cross-sectional contrarian profits are present in this market. The...

This paper examines the association between the equity concentration and agency costs as well as the impact of agency costs on the performance of non-financial firms listed on the Saudi Stock Market (Tadawul). These relations are examined by using dynamic panel data two-steps robust system...