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Comparisons of Asset Pricing Models in the Egyptian Stock Market

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  • Mohamed Ahmed Shaker
  • Khairy Elgiziry

Abstract

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.Â

Suggested Citation

  • Mohamed Ahmed Shaker & Khairy Elgiziry, 2014. "Comparisons of Asset Pricing Models in the Egyptian Stock Market," Accounting and Finance Research, Sciedu Press, vol. 3(4), pages 1-24, August.
    • Handle: RePEc:jfr:afr111:v:3:y:2014:i:4:p:24
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    References listed on IDEAS

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    4. Iqbal, Javed & Brooks, Robert, 2007. "Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan," Journal of Multinational Financial Management, Elsevier, vol. 17(1), pages 75-93, February.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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