Analysis the Determinants of Risk Factor Model for the Jordanian Banking Stocks

• 발행기관: 한국유통과학회
• 저자명: Omar Khlaif GHARAIBEH Ali Mustafa AL-QUDAH
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.12, 615~626쪽, 전체 12쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.12.30

영문 초록

The purpose of this study is to analyze the determinants of risk factor model for the Jordanian banking stocks from 2006 to 2018. This study employs the Five-factor Fama and French’s (2015) methodology and uses the annual returns of all Jordanian banks including 2 Islamic and 13 commercial banks listed on the Amman Stock Exchange (ASE) over a period of 13 years. The results show that the factors of value and profitability have an important role in evaluating the expected return in Jordanian banking stocks. Moreover, the value HML and profitability RMW factors provide the highest cumulative returns among these five factors, while the investment CMA and size SMB factors are still around zero cumulative returns. For the market factor, it provides the least negative cumulative returns. The results showed that the largest correlation is between value and investment factors which means that banks with a high book to market value become banks with a conservative investment strategy. The result of the sub-periods confirmed the value and profitability results. The findings of this study suggest that the five-factor Fama and French model is the choice of building an investment portfolio, especially the factors of value and profitability.

목차

1. Introduction

2. Literature Review

3. Data and Methodology

4. Results

5. Conclusions

References

키워드

Jordan Banks Value Size Investment