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Determinants of stock returns: Evidence from Egypt
This paper aims at identifying the determinants of stock returns in the Egyptian stock market. It does so by means of applying four different asset pricing models to the Egyptian stock returns: the CAPM, Fama-French three-factor model, Carhart four-factor model, and Fama-French five-factor model. Th...
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| Format: | Thesis |
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AUC Knowledge Fountain
2016
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| _version_ | 1867613409459044353 |
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| access_status_str | Open Access |
| author | El Abd, Reem Abd El Maksoud Ahmed |
| author_browse | El Abd, Reem Abd El Maksoud Ahmed |
| author_facet | El Abd, Reem Abd El Maksoud Ahmed |
| author_sort | El Abd, Reem Abd El Maksoud Ahmed |
| collection | Thesis |
| dc_rights_str_mv | The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. |
| description | This paper aims at identifying the determinants of stock returns in the Egyptian stock market. It does so by means of applying four different asset pricing models to the Egyptian stock returns: the CAPM, Fama-French three-factor model, Carhart four-factor model, and Fama-French five-factor model. The main findings of this thesis are that there is a significant size effect in the Egyptian stock returns, but there is no evidence of the presence of value or momentum effects. The results for operating profitability and investment are mixed therefore they need to be investigated further. Also, this paper provides evidence of the superiority of Fama-French five-factor model relative to the other asset pricing models tested. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-1325 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:41.195Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-1325 Determinants of stock returns: Evidence from Egypt El Abd, Reem Abd El Maksoud Ahmed This paper aims at identifying the determinants of stock returns in the Egyptian stock market. It does so by means of applying four different asset pricing models to the Egyptian stock returns: the CAPM, Fama-French three-factor model, Carhart four-factor model, and Fama-French five-factor model. The main findings of this thesis are that there is a significant size effect in the Egyptian stock returns, but there is no evidence of the presence of value or momentum effects. The results for operating profitability and investment are mixed therefore they need to be investigated further. Also, this paper provides evidence of the superiority of Fama-French five-factor model relative to the other asset pricing models tested. 2016-02-01T08:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/326 https://fount.aucegypt.edu/context/etds/article/1325/viewcontent/Reem_27s_20Thesis.pdf The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. Theses and Dissertations AUC Knowledge Fountain Asset pricing Value effect |
| spellingShingle | Asset pricing Value effect El Abd, Reem Abd El Maksoud Ahmed Determinants of stock returns: Evidence from Egypt |
| title | Determinants of stock returns: Evidence from Egypt |
| title_full | Determinants of stock returns: Evidence from Egypt |
| title_fullStr | Determinants of stock returns: Evidence from Egypt |
| title_full_unstemmed | Determinants of stock returns: Evidence from Egypt |
| title_short | Determinants of stock returns: Evidence from Egypt |
| title_sort | determinants of stock returns evidence from egypt |
| topic | Asset pricing Value effect |
| url | https://fount.aucegypt.edu/etds/326 https://fount.aucegypt.edu/context/etds/article/1325/viewcontent/Reem_27s_20Thesis.pdf |
| work_keys_str_mv | AT elabdreemabdelmaksoudahmed determinantsofstockreturnsevidencefromegypt |