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.


Management Department

Degree Name

MS in Finance

Graduation Date


Submission Date

January 2017

First Advisor

Bassiouny, Aliaa

Committee Member 1

Ahmed, Neveen

Committee Member 2

Moutanabbir, Khouzeima


76 p.

Document Type

Master's Thesis


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Institutional Review Board (IRB) Approval

Not necessary for this item


I would like to thank Dr Aliaa Bassiouny for her ongoing help and support. Also I’m grateful to my reviewers Dr Neveen Ahmed and Dr Khouzeima Moutanabbir for their insightful comments.