Comparisons of Asset Pricing Models in the Egyptian Stock Market

Mohamed Ahmed Shaker and Khairy Elgiziry

Accounting and Finance Research, 2014, vol. 3, issue 4, 24

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

Date: 2014
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