Emerging Market Asset Prices: Evidence from Egypt

Shaker, Mohamed

doi:10.2139/ssrn.2546556

Cited by 1 publication

(1 citation statement)

References 33 publications

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“…In Sudan, Khalafalla (2014) showed that APT outperformed FF and CAPM. Considering asset pricing models in Egypt (Shaker & Elgiziry, 2013, 2014, Shaker (2015) showed that FF model is the best. Tahaa and Elgiziry (2016) concluded that a model, which incorporates market, size, B/M, E/P, and liquidity factors, is the best.…”

Section: Literature Reviewmentioning

confidence: 99%

Application of asset pricing models: evidence from Saudi exchange

Salameh¹

2020

Investment Management and Financial Innovations

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The Saudi Arabia Stock Exchange (Tadawul) is one of the biggest emerging Stock Exchanges in the Middle East region. Therefore, this research aims to apply Fama and French (2015) 5-factor model on Tadawul, and compares it with the Fama and French 3-factor model and CAPM to check the applicability of the models in Tadawul and the identity of the factors that can affect stock returns. Furthermore, the Generalized Method of Moments (GMM) regression has been implemented to examine the impact between the variables in the models. Empirically, the results show that Fama and French (2015) 5-factor model is the most consistent model in comparison to the other two models in terms of explaining the cross-section of average stock returns in Tadawul. However, it is not the best according to the intercepts results of all the regressions in 2x3, 2x2, or 2x2x2x2 sorts. Besides, Fama and French (2015) 5-factor model has the highest explanatory power in most of the portfolios based on the adjusted R2 regardless of the sort (2x3, 2x2, or 2x2x2x2). Finally, the results conclude that Fama and French (2015) 5-factor model can be an applicable model in Tadawul but only market and size can affect the stock returns, while the value, profitability, and investment cannot. Accordingly, the author recommends that, as a continuation of this research, further research can be done, which investigates a model with additional factors like momentum and illiquidity.

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Section: Literature Reviewmentioning

confidence: 99%

Application of asset pricing models: evidence from Saudi exchange

Salameh¹

2020

Investment Management and Financial Innovations

View full text Add to dashboard Cite

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Emerging Market Asset Prices: Evidence from Egypt

Cited by 1 publication

References 33 publications

Application of asset pricing models: evidence from Saudi exchange

Application of asset pricing models: evidence from Saudi exchange

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