Asset Pricing Tests in the Egyptian Stock Market

Shaker, Mohamed; Elgiziry, Khairy

doi:10.2139/ssrn.2254637

Cited by 3 publications

(2 citation statements)

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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

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“…For these reasons, Fama and French (2004) update and create results by using time-series regressions and found that market betas cannot completely explain the expected return. In addition, Shaker and Elgiziry (2013) used six portfolios, which sorted on size and book-to market ratio. They found that FF three-factor model leads to a remarkable enhancement over the CAPM and the fourfactor model of Chan and Faff does not show a significant increase over the FF three-factor model in Egyptian stock market.…”

Section: Literature Reviewmentioning

confidence: 99%

Evaluate Multifactor Asset Pricing Models , to Explain Market Anomalies, Applicable Test in the Saudi Stock Market

Mahran

Heshmat

2016

المجلة العربية للإدارة

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This paper compares and evaluates the performance of eight different multifactor assetpricing models to identify and explain Anomalies in Saudi stock market (SSM). Data set of daily stock prices and returns are collected for all companies that issue shares (152 companies) which represent all sectors in the SSM during the period from 2009 to 2013. The 25 size-BE/ME portfolios are formed by the intersection of size and BE/ME quintiles (5x5 Size-BE/ME sorts). The empirical results show that each of capital asset pricing models CAPM, the Fama-French three-factor model, the Cahart model, the four factor model of Chan and Faff four factor model and the five -factor model (Adding liquidity to four factor model) have coefficients of the factors (Bp, Sp, hp, wp and L ) to be significantly different from zero. Furthermore adjusted R 2 s range from 29% to 78% but all of them produce an intercept that is significantly different from zero for 12-16 portfolios. However, by adding leverage and test the six-factor asset pricing model, the evidence confirms the significance of this model to explain return variation with adjusted R 2 ranges from 39% to 83% and the intercept are not significant for 17 portfolios out of 25. Moreover, the results of testing six-factor model by adding standard deviation of residualprovide supportive evidence to the six-factor model.

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