Examining asset pricing models in emerging markets: Evidence from Egypt

Shaker, Mohamed; Abdeldayem, Marwan Mohamed

doi:10.22495/cocv16i1art6

Cited by 8 publications

(6 citation statements)

References 35 publications

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“…The results indicate that the Fama and French three-factor model cannot explain excess stock returns in the EGX. These results contradict the findings of Shaker and Elgiziry (2014), Shaker and Abdeldayem (2018), and Ragab et al (2019), who supported the Fama and French three-factor model (1993) in the EGX. Our results do not support the Fama and French three-factor model (1993).…”

Section: Testing Herd Behaviourcontrasting

confidence: 96%

The Impact of Herding on the Risk Pricing in the Egyptian Stock Exchange

Abd-Alla¹,

Sobh²

2020

FAI

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We test the impact of herding behaviour on the risk pricing in the Egyptian Stock Exchange (EGX) by adding an additional risk factor reflecting herding behaviour to the Fama and French three-factor model. We construct a portfolio to mimic an additional risk factor related to herding behaviour, in addition to the original risk factors in the Fama and French three-factor model. The three-factor model will be tested in its original form and re-tested after adding the herding behaviour factor. The study is based on Hwang and Salmon methodology, in which the state space approach based on Kaman’s filter was used to measure herding behaviour. We used monthly excess stock returns of 50 stocks listed on the EGX from January 2014 to December 2018. The results do not support Fama and French model before and after adding the herding behaviour factor, therefore, there is no effect of herding behaviour on the risk pricing in the Egyptian Stock Exchange.

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Section: Testing Herd Behaviourcontrasting

confidence: 96%

The Impact of Herding on the Risk Pricing in the Egyptian Stock Exchange

Abd-Alla¹,

Sobh²

2020

FAI

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“…When it comes to emerging countries however, Osagie and Osamwonyi (2017) for instance argue that the Carhart Four Factor Model has better predictive power compared to the FF Three Factor counterpart in the Nigerian Stock Market. Shaker and Abdeldayem's (2018) findings suggest the contrary with regards to the Egyptian context. Subsequently, it appears that the validity of both the Fama-French Three Factor and the Carhart Four Factor Models in emerging markets is country-specific.…”

Section: Introductionmentioning

confidence: 83%

“…Osagie and Osamwonyi (2017) argue that size, value and momentum effects are pervasive, and the Carhart Four Factor Model has better explanatory power than the Fama-French Three Factor Model in the Nigerian Stock Exchange. In contrast, both Boamah (2015) and Shaker and Abdeldayem (2018) contend that adding a momentum factor to the traditional Fama-French Three Factor Model does not yield a noteworthy improvement in the latter's predictive power, when it comes to South-Africa and Egypt respectively. In this context, Boamah (2015) suggests that such results might be attributable to the characteristics of African emerging markets such as, most notably, volatility.…”

Section: Theoretical Backgroundmentioning

confidence: 90%

A Comparative Study of the Fama-French Three Factor and the Carhart Four Factor Models: Empirical Evidence from Morocco

Tazi

Aguenaou

Abrache

2022

IJEFI

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This paper investigates the validity of the Fama-French Three Factor (FF3F) and the Carhart Four Factor (C4F) models in Morocco. Monthly returns of Casablanca Stock Exchange-listed companies are extracted from Reuters DATASTREAM over a 5 years’ period (2013-2017). Market, size, value and momentum effect-mimicking exogenous variables are formed and regressed against the returns of size and value-sorted portfolios over a total of 8 multivariate linear regressions. While the size and value effects were found to partially hold, the momentum effect was found to be insignificant. Additionally, the C4F Model did not exhibit a better explanatory power compared to the FF3F Model. It appears that both models cannot be fully relied on in order to predict cross-sections of return in the Casablanca Stock Exchange (CSE), as they both only partially hold in the latter. Ultimately, this study brings value to the existing literature by testing two widely explored asset pricing models in an emerging market where equity research-oriented inquiries are relatively scarce or basic. Even if the models do not fully hold in the Moroccan context, this study posits whether the individual anomalistic factors hold in the CSE, which might be useful for future asset pricing models augmenting endeavors.

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“…Also, data tends to be more available in more developed countries. Therefore, developed countries are "over represented" in empirical studies compared to developing countries as is the case with Egypt (Megginson and Netter, 2001), (Shaker and Abdeldayem, 2018) and Abdeldayem and El-Sherbiney (2018).…”

Section: Dividendsmentioning

confidence: 99%

Privatisation and Financial Performance in Egypt Since 1991

Abdeldayem

Dulaimi

2019

Asian Economic and Financial Review

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This study aims to empirically examine the financial and operating performance of Egyptian privatised companies. The study compares the pre-and post-privatisation financial and operating performance of 60 companies from Egypt that have experienced privatisation through different methods during the period from 1991 and 1997. There were significant increases in the mean and median levels of profitability, operating efficiency, capital investment, output and dividends for the whole sample of companies after privatisation. There were significant decreases in the mean and median of both leverage ratios and employment levels. Further analysis was also undertaken using the three different background characteristics (i.e. size of company, type of industry and privatisation methods). No significant differences were detected in the Kruskal Wallis test analysis of privatisation methods. The Wilcoxon test, the Proportion test and the Kruskal Wallis test analyses for the company size and industry type revealed some significant results. Overall, the findings do seem to support the broad benefits of the Egyptian privatisation programme and the improvements in the financial and operating performance of the privatised companies. Contribution/ Originality: This study is the first logical analysis of the Egyptian privatization programme and its financial and operating performance since 1991. It is one of the very few studies to have investigated the privatization phenomenon in the Middle East.

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Examining asset pricing models in emerging markets: Evidence from Egypt

Cited by 8 publications

References 35 publications

The Impact of Herding on the Risk Pricing in the Egyptian Stock Exchange

The Impact of Herding on the Risk Pricing in the Egyptian Stock Exchange

A Comparative Study of the Fama-French Three Factor and the Carhart Four Factor Models: Empirical Evidence from Morocco

Privatisation and Financial Performance in Egypt Since 1991

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