Size, Value and Turn-of-the-Year Effect in the Egyptian Stock Market

Abstract

This paper is an attempt to investigate the relation of financial anomalies, namely size, book-to-market and turn-of-the-year and their relation with risk and average return in the Egyptian stock market from 2003 to 2007. The sample consists of 55 stocks listed on the EGX100 and split into six portfolios sorted on size and book-to-market ratio based on Fama-French (1992) technique. The results show evidence that there is negative relationship between size and average return, and between value and average return for small stocks. Also, both size and book-to-market have negative relation with risk.