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.