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首页> 外文期刊>International Journal of Economics and Finance >A Comparative Study between the Fama and French Three-Factor Model and the Fama and French Five-Factor Model Evidence from the Egyptian Stock Market
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A Comparative Study between the Fama and French Three-Factor Model and the Fama and French Five-Factor Model Evidence from the Egyptian Stock Market

机译：来自埃及股市的FAMA和法国三因素模型与FAMA和法国五因素模型证据的比较研究

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The focus of this paper is to test whether the Fama and French three-factor and five factor models can capture the variations of returns in the Egyptian stock market as one of the growing emerging markets over the time-period July 2005 to June 2016. To achieve this aim, following Fama and French (2015), the authors construct the Fama and French factors and three sets of test portfolios which are: 10 portfolios double-sorted on size and the BE/ME ratio, 10 portfolios double-sorted on size and operating profitability, and 10 portfolios double-sorted on size and investment for the Egyptian stock market. Using time-series regressions and the GRS test, the results show that although both models cannot be rejected as valid asset pricing models when applied to portfolios double-sorted on size and the BE/ME ratio, they still leave substantial variations in returns unexplained given their low adjusted R2 values. Similarly, when the two models are applied to portfolios double-sorted on size and investment, the results of the GRS test show that both models cannot be rejected. However, when the two models are applied to portfolios double-sorted on size and operating profitability, the results of the GRS test show that both models are strongly rejected which imply that both models leave substantial variations in returns related to size and profitability unexplained. Specifically, the biggest challenge to the two models is the big portfolio with weak profitability which generate a significantly negative intercept implying that the models overestimate its return.
机译：本文的重点是测试FAMA和法国的三因素和五个因素模型是否可以捕获埃及股市的回报的变化，作为2005年7月至2016年6月的日期期间日益增长的新兴市场之一。实现这一目标，追随Fama和法语（2015年），作者构建了FAMA和法国因素和三组测试组合，其中包括：10个投资组合，双重排序大小和BE / ME比率，10个投资组合双重排序和营业盈利能力，10个投资组合双重排序埃及股市的规模和投资。使用时间序列回归和GRS测试，结果表明，虽然当应用于投资组合时，虽然两个型号都不能被拒绝作为有效的资产定价模型，但在适用于尺寸和BE / ME比例的比例中，它们仍然留下了对未解释的回报的大量变化它们的低调R2值。同样，当两种模型应用于投资组合时，双重排序大小和投资时，GRS测试的结果表明两种模型不能被拒绝。但是，当两种模型应用于投资组合时，双重排序尺寸和操作盈利能力，GRS测试的结果表明，两种模型都被强烈拒绝，这意味着两种模型都留下了与未解释的盈利能力相关的返回的大量变化。具体而言，这两个模型的最大挑战是具有薄弱盈利能力的大型投资组合，从而产生了显着负面的拦截，这意味着模型高估了其返回。

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