"This paper examines the ability of beta (β) to measure the systematic risks posed by the COVID-19 crisis and analyzes the impact of the COVID-19 crisis on stock returns for a sample of 50 stocks, grouped on the basis of size and value in the Egyptian Stock Market. CAPM beta of the stock was used to represent the systematic risk stocks, market capitalization was used to construct the large and small stocks portfolios and the book-to-market equity ratio was used to construct high medium and small portfolios. The results showed that systematic risks measured by beta increased after COVID-19 crisis for all sample stocks, the portfolios consisting of stocks with high and medium B/M ratio and the portfolios consisting of small capitalization stocks and big capitalization stocks. However, the COVID-19 crisis has no effect on systematic risks for the portfolio consisting of stocks with low B/M ratio. The results also indicated that stock returns decreased after the COVID-19 crisis for all sample stocks, the portfolios consisting of stocks with low B/M ratio and the portfolios consisting of big stocks. However, the COVID-19 crisis does not affect stock returns for the portfolios consisting of stocks with high and medium B/M ratio and the portfolios consisting of small stocks. "

We test the empirical validity of the three-factor model of Fama and French in the Egyptian Stock Exchange (EGX) using monthly excess stock returns of 50 stocks listed on the EGX from January 2014 to December 2018. Our findings do not support Fama and French three-factor model, where the coefficient of the beta was insignificant. The “SBM” coefficient and the “HML” coefficient were equal to zero and insignificant, which confirms the absence of the small firm effect and book-to-market ratio effect in the market. We conclude that there is no relation between expected return and Fama-French risk factors.

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.