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Comparisons of Asset Pricing Models in the Egyptian Stock Market
16 references·0 citing·29 second hopsampled
Comparisons of Asset Pricing Models in the Egyptian Stock Market (2014)Comparisons of Asset Pricing Models in th…Constructing and Testing Alternative Versions of the Fama–French and Carhart Models in the UK (2013)Constructing and Testing Alte…Modelling stock returns in Africa's emerging equity markets (2009)Modelling stock returns in Af…An empirical investigation of stock market behavior in the Middle East and North Africa (2009)An empirical investigation of…Risk and return in emerging markets: Family matters (2005)Risk and return in emerging m…Asset Pricing and the Illiquidity Premium (2005)Asset Pricing and the Illiqui…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Estimation of expected return: CAPM vs. Fama and French (2004)Estimation of expected return…A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia (2004)A best choice among asset pri…Return predictability in African stock markets (2002)Return predictability in Afri…Idiosyncratic volatility and security returns: evidence from the Asian Region (2002)Idiosyncratic volatility and …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Generalized autoregressive conditional heteroskedasticity (1986)Random walks and market efficiency in European equity markets (2004)Weak Form Efficiency In Indian Stock Markets (2011)Emission trading and carbon market performance in Shenzhen, China (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Editor's Choice Digesting Anomalies: An Investment ApproachTHE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Liquidity and asset pricing: Evidence from the Hong Kong stock market (2011)Size, value and liquidity. Do They Really Matter on an Emerging Stock Market? (2011)Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Political connections and the cost of equity capital (2012)Impact of ESG factors on firm risk in Europe (2016)Climate Change and Asset Prices: Are Corporate Carbon Disclosure and Performance Priced Appropriately? (2016)Fossil Fuel Divestment and Portfolio Performance (2018)ESG, liquidity, and stock returns (2022)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 2013Constructing and Testing Alternative Versions of the Fama–French and Carhart Models in the UK220 cited
  • 2002Return predictability in African stock markets195 cited
  • 2005Asset Pricing and the Illiquidity Premium147 cited
  • 2004Estimation of expected return: CAPM vs. Fama and French143 cited
  • 2009An empirical investigation of stock market behavior in the Middle East and North Africa84 cited
  • 2009Modelling stock returns in Africa's emerging equity markets83 cited
  • 2004A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia78 cited
  • 2005Risk and return in emerging markets: Family matters61 cited

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  • 2002Idiosyncratic volatility and security returns: evidence from the Asian Region54 cited
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