Comparisons of Asset Pricing Models in the Egyptian Stock Market | Zendy

Mohamed Ahmed Shaker | Zendy; Khairy Elgiziry | Zendy

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Comparisons of Asset Pricing Models in the Egyptian Stock Market

Author(s) -

Mohamed Ahmed Shaker,

Khairy Elgiziry

Publication year - 2014

Publication title -

accounting and finance research

Language(s) - English

Resource type - Journals

eISSN - 1927-5994

pISSN - 1927-5986

DOI - 10.5430/afr.v3n4p24

Subject(s) - capital asset pricing model , market liquidity , unavailability , econometrics , economics , financial economics , stock market , stock (firearms) , factor analysis , monetary economics , statistics , mathematics , mechanical engineering , paleontology , horse , biology , engineering

This paper employs GRS test to empirically compare the applicability of five alternatives of asset pricing models for 55 shares listed on the EGX100 for the Egyptian stock market: 1) the CAPM, 2) the Fama-French three factor model, 3) the Cahart four factor model, 4) liquidity-augmented four factor model, 5) and the five factor model (liquidity and momentum-augmented Fama-French three factor model. The sample is split into six portfolios sorted on size and book-to market ratio and 45 shares are excluded due to data unavailability. Our results based on GRS (1989) show evidence that Fama-French model is the best and reject the other models.

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