Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/10919
Title: Implement Fama and French and capital asset pricing models in Saudi Arabia stock market
Authors: Aldaarmi, A
Abbod, M
Salameh, HM
Keywords: Capital asset pricing model (CAPM);Fama & French (FF) model;Stock exchange prediction
Issue Date: 2015
Publisher: Clute Institute
Citation: Journal of Applied Business Research, 31(3): 953 - 968, (May/June 2015)
Abstract: 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 to find the coefficients and to compare between real and expected returns.The results show that Fama and French 1993 model has more explanatory power and do a better job in explaining the changes in stock returns than the CAPM, and those developed market models can be applicable in emerging markets like Saudi Arabia. CAPM model has a clear evidence for its applicability while Fama and French Model has a clear evidence for the market return but not a clear evidence for the size and book to market return. Finally the results show that we can predict the stock prices by using any of those two models which means that the Saudi Arabia Market is inefficient pricing Market.The modernity and low number of companies has a big effect on the results, in addition the strong purchasing power and strong cash availability.Finally we recommend to appply more modern pricing models at the micro and macro level and add variables consistent with the Islamic Culture of Saudi Arabia.
URI: http://cluteinstitute.com/ojs/index.php/JABR/article/view/9228
http://bura.brunel.ac.uk/handle/2438/10919
ISSN: 0892-7626
Appears in Collections:Dept of Electronic and Computer Engineering Research Papers

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