الفهرس | Only 14 pages are availabe for public view |
Abstract This study documents four factor sensitivities of excess returns in Egypt in three different economic environments:[1] Pre-financial crisis (2005 – 2007), [2] postfinancial crisis (2008 – 2010), and [3] post-regime change (2011 – 2013).This study is placed within the mixed research paradigm that starts inductively and concludes hypothetico-deductively. The initially inductive study reiterates a line of empirical asset pricing research pioneered by Fama and French (1992; 1996, 2014), which took away finance research from pure hypothesis testing into directly learning from data and eventually earned Eugene Fama the Nobel memorial prize in economic science in 2013. The quantitative study that follows, however, tests the four-factor model of Fama and French (2014) as a Merton’s (1973) APT model version with a type I error of 5%, which is typical for social science research. An APT model version thus exhausts the theoretical framework for this research’s quantitative study. For the first two periods, the proxy specification model fails to significantly ex plain contemporaneous variation in excess returns. However, unlike the first two periods, the third period reconciles significantly with this study’s proxy mod |