THE VALIDITY OF FAMA AND FRENCH THREE-FACTOR MODEL IN AN EMERGENT MARKET: EVIDENCE FROM QATAR QTOCK EXCHANGE

Abstract

The study aimed to explain the variations in stock returns in the short term by testing the validity of the Fama and French three-factor model and the three risk factors (Rm-Rf; logMVE; B/M) were used as explanatory variables in the Qatar Stock Exchange, A sample of 13 banks listed in the Qatar Stock Exchange (QSE) was conducted with weekly data, using the Panel data regression models during the period from 10/01/2019 to 31/12/2019. It was concluded in the empirical results that the market risk premium (Rm- Rf) has a positive significant impact on the dependent variable (Ri-Rf) of the study, while both the size risk factor (logMVE) and value risk factor (B/M) are not explanatory factors for stock returns.