The Inter-Firm Value Effect in the Qatar Stock Market: 2005-2014
This paper examines whether there is evidence of an inter-firm value in the returns of Qatar firms. The long-term
return contrarian and book-to-market strategies are approaches commonly used to test for value effect. This
study documents statistically significant abnormal profits of an inter-firm value effect with two measures. The
long-term return contrarian and BE/ME strategies provide significant abnormal raw returns of 1.17% and 1.64%
per month, respectively. Although each of the value strategies earns significant unadjusted profits, these profits
can be explained by the Fama-French three-factor model.