Exploring fundamental anomalies: Evidence from the Moroccan stock market

Safae Benfeddoul; Asmâa Alaoui Taïb

doi:10.61351/mf.v2i2.192

journal article Open Access Dec 12, 2024

Exploring fundamental anomalies: Evidence from the Moroccan stock market

Safae Benfeddoul Asmâa Alaoui Taïb

Modern Finance Vol. 2 No. 2 pp. 120-135 · Modern Finance Institute

View at Publisher Save 10.61351/mf.v2i2.192

Abstract

Fundamental anomalies are explored, for the first time, in the Moroccan stock market. The sample includes non-financial companies from July 2001 to June 2020. We carry out, initially, sorts of returns on anomaly indicators, then, we follow through a regression analysis using a fixed-effect model and the system generalized method of moments methodology. The findings emphasize a significantly positive relationship between returns and the book-to-market ratio and a significantly negative relationship between returns and each of the price-to-earnings and the price-to-cash flow ratios. Regarding the size and the leverage effects, the findings highlight their absence. Finally, we cannot ascertain the existence of a positive or negative price-to-sales effect considering the contradictory results of the tests.

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Published: Dec 12, 2024
Vol/Issue: 2(2)
Pages: 120-135
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Safae Benfeddoul, Asmâa Alaoui Taïb (2024). Exploring fundamental anomalies: Evidence from the Moroccan stock market. Modern Finance, 2(2), 120-135. https://doi.org/10.61351/mf.v2i2.192

Exploring fundamental anomalies: Evidence from the Moroccan stock market

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