Analysis the determinants of risk factor model for the Jordanian banking stocks

The purpose of this study is to analyze the determinants of the risk factor model for Jordanian bank stocks from 2006 to 2018. This study It uses the Fama Five-Year and French (2015) methodology and uses annual returns for all Jordanian banks including 2 Islamic And 13 commercial banks were listed on the Amman Stock Exchange for a period of 13 years. The results show that the factors of Value and profitability play an important role in evaluating the expected return in Jordanian bank shares. Moreover, the HML value and RMW profitability factors provide the highest cumulative returns among these five factors, while CMA factors for investment and SME factors Still around zero returns cumulative. For the market factor, it provides the least negative cumulative returns. The results showed that The greatest correlation is between value and investment factors which means that banks with a high book value of market value become their banks A conservative investment strategy. The sub-periods result confirmed the value and profitability outcome. The results of this study are suggestive The five-year FAMA model and the French model is the choice of building an investment portfolio, especially the factors of value and profitability