Comparisons of Asset Pricing Models in the Egyptian Stock Market

Shaker, Mohamed; Elgiziry, Khairy

doi:10.5430/afr.v3n4p24

Cited by 15 publications

(10 citation statements)

References 26 publications

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“…The findings of the study show the significant negative impact of firm size on stock return. This result is consistent with the findings of Banz (1981), Wong, Tan and Liu (2006), Kumar and Sehgal (2004) and Shaker and Elgiziry (2014) Similarly, book to market equity and earning yield also have significant negative impact on stock return in Nepalese context. However, this finding contradicts with the findings of Lakonishok (1991), Stattman (1980), Rosenberg, Basu (1983), and Ball (1978).…”

Section: Discussionsupporting

confidence: 91%

“…Banz (1981) reported that smaller firms have had higher risk-adjusted returns on average, than larger firms. Likewise, Fama and French (1992), Kumar and Sehgal (2004), Wong, Tan and Liu (2006) and Shaker and Elgiziry (2014) also reported similar findings. In contrast, Hassan and Javed (2011) and Acheampong, Agalega, and Shibu (2014) found that size has the significant positive impact on stock return; while Davis in 1994 had noted positive but insignificant impact of size on stock return.…”

supporting

confidence: 67%

“…MP it = Market price per share of firm 'i' at the end of the year 't' Banz (1981) reported that smaller firms have had higher risk adjusted returns on average than larger firms. The findings have been supported by number of studies such as Wong, Tan and Liu (2006), Kumar and Sehgal (2004), and Shaker and Elgiziry (2014). Therefore, the proposed research hypothesis for the study is:…”

Section: Size It = N It X Mp It … … … … (3)mentioning

confidence: 56%

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Firm’s Characteristics and Macro-Economic Variables on Expected Stock Returns

Paudel¹

2019

PYC Nep. J. Mgt

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This study examines the effect of firm’s characteristics and macroeconomic variables on common stock return from the firms listed in Nepal Stock Exchange (NEPSE). The explained variable for the study is stock return which is calculated as the annual capital gain yield. The explanatory variables consist of firm size, book to market equity, earning yield, cash flow yield, GDP growth, rate of inflation, real interest rate, and money supply. The data are collected from the database of NEPSE, Nepal Rastra Bank (NRB), and the annual reports of the selected firms. The study is based on the 150 observations from the 10 sample firms for the period of 15 years (from 2003/4 to 2017/18). Fixed effect panel data analysis is used to examine the effect of firm characteristics and macroeconomic variables on common stock return in Nepalese firms. The findings confirms significant negative impact of firm size, book to market equity, earning yield, and cash flow yield on stock return in Nepalese context. Among the macroeconomic variables, GDP growth rate, and interest rate have significant negative impact on stock return. Contrarily, only the rate of inflation has significant positive impact on stock return in the context of Nepal. No significant effect of money supply is observed on common stock return in the context of Nepal.

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Section: Discussionsupporting

confidence: 91%

supporting

confidence: 67%

Section: Size It = N It X Mp It … … … … (3)mentioning

confidence: 56%

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Firm’s Characteristics and Macro-Economic Variables on Expected Stock Returns

Paudel¹

2019

PYC Nep. J. Mgt

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“…However, despite this criticism, Shaker and Elgiziry (2014) test the Fama and French three-factor model in the Egyptian stock market by using six portfolios double-sorted on size and book-to-market ratio as the main test assets. Their results show that the Fama and French model is the best asset pricing model for the Egyptian stock market as it outperforms other models (Note 1) in explaining stock returns.…”

Section: The Fama and French Three-factor Modelmentioning

confidence: 99%

A Comparative Study between the Fama and French Three-Factor Model and the Fama and French Five-Factor Model: Evidence from the Egyptian Stock Market

Ragab¹,

Abdou²,

Sakr³

2019

IJEF

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The focus of this paper is to test whether the Fama and French three-factor and five factor models can capture the variations of returns in the Egyptian stock market as one of the growing emerging markets over the time-period July 2005 to June 2016. To achieve this aim, following Fama and French (2015), the authors construct the Fama and French factors and three sets of test portfolios which are: 10 portfolios double-sorted on size and the BE/ME ratio, 10 portfolios double-sorted on size and operating profitability, and 10 portfolios double-sorted on size and investment for the Egyptian stock market. Using time-series regressions and the GRS test, the results show that although both models cannot be rejected as valid asset pricing models when applied to portfolios double-sorted on size and the BE/ME ratio, they still leave substantial variations in returns unexplained given their low adjusted R2 values. Similarly, when the two models are applied to portfolios double-sorted on size and investment, the results of the GRS test show that both models cannot be rejected. However, when the two models are applied to portfolios double-sorted on size and operating profitability, the results of the GRS test show that both models are strongly rejected which imply that both models leave substantial variations in returns related to size and profitability unexplained. Specifically, the biggest challenge to the two models is the big portfolio with weak profitability which generate a significantly negative intercept implying that the models overestimate its return.

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“…This showed that the Five Factor explained more variation than the CAPM in Australian market. In their study of a comparison of asset pricing models in the Egyptian Stock Market, Shaker and Elgiziry (2014), also found that the Five Factor explained more variation than the CAPM.…”

Section: Literature Reviewmentioning

confidence: 99%

A Test of the Fama-French Five Factor Model in Comparison to the Capital Asset Pricing Model at the Lusaka Securities Exchange

Musawa¹,

Kapena²,

Shikaputo³

2018

IJFA

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Purpose: The capital asset pricing model (CAPM) is one of the basic models in the security price analysis.Many asset pricing models have been developed to improve the CAPM.Among such models is the latest Fama and French five factor model which is being empirically tested in various stock markets. This study tested the five factor model in comparison to the capital asset pricing model. Testing the Fama and French Five factor model in comparison to the CAPM was important because the CAPM is widely taken to be the basic model in the security price analysis. Methodology: The Fama and French methodology was used to test the data from an emerging market, the Lusaka Securities Exchange. A deductive, quantitative research design and secondary data from the Lusaka Securities Exchange was used. Data was analyzed using multiple regression. Results: The results indicate that the Five Factor model is better than the CAPM in capturing variation in the stock returns. The Adjusted R-squared for the five factor model from all individual portfolio sorting was 0.9, while that for the CAPM was 0.13 Unique contribution to theory, practice and policy: This study has contributed to theory in that it has added a voice to the ongoing debt on the suitability of the new Fama and French Five Factor model which is at the cutting hedge in finance theory.Further the study is from developing capital market. Keywords:, CAPM, Stock returns, Fama and French five factor model

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Comparisons of Asset Pricing Models in the Egyptian Stock Market

Cited by 15 publications

References 26 publications

Firm’s Characteristics and Macro-Economic Variables on Expected Stock Returns

Firm’s Characteristics and Macro-Economic Variables on Expected Stock Returns

A Comparative Study between the Fama and French Three-Factor Model and the Fama and French Five-Factor Model: Evidence from the Egyptian Stock Market

A Test of the Fama-French Five Factor Model in Comparison to the Capital Asset Pricing Model at the Lusaka Securities Exchange

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