Abstract

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.

Department

Management Department

Degree Name

MS in Finance

Date of Award

2-1-2016

Online Submission Date

January 2017

First Advisor

Bassiouny, Aliaa

Committee Member 1

Ahmed, Neveen

Committee Member 2

Moutanabbir, Khouzeima

Document Type

Thesis

Extent

76 p.

Rights

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.

IRB

Not necessary for this item

Comments

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.

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