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Exploring fundamental anomalies: Evidence from the Moroccan stock market

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Listed:
  • Safae Benfeddoul
  • Asmâa Alaoui Taïb

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.

Suggested Citation

  • Safae Benfeddoul & Asmâa Alaoui Taïb, 2024. "Exploring fundamental anomalies: Evidence from the Moroccan stock market," Modern Finance, Modern Finance Institute, vol. 2(2), pages 120-135.
    • Handle: RePEc:bdy:modfin:v:2:y:2024:i:2:p:120-135:id:192
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