Open AccessEmpirical Test of Fama and French Three-Factor Model in the Egyptian Stock Exchange
Author(s) -
Mustafa Hussein Abd-Alla,
Mahmoud Sobh
Publication year - 2020
Publication title -
financial assets and investing
Language(s) - English
Resource type - Journals
eISSN - 1804-509X
pISSN - 1804-5081
DOI - 10.5817/fai2020-2-1
Subject(s) - stock exchange , economics , econometrics , stock (firearms) , stock market , financial economics , finance , geography , context (archaeology) , archaeology
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.