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Volume :26 Issue : 1 2019      Add To Cart                                                                    Download

Testing Over/ Under-reaction Hypothesis in the Egyptian Stock Market(in Arabic)

Auther : Nesmah A. Heshmat

Aim of the Paper: This study aims to investigate the over/under reaction hypothesis in the Egyptian stock market.
Study Design: The study uses the cumulative average abnormal return. Seventy-five portfolios are created. Regression analysis against a constant and Fama- French three factors model are employed. 
Sample and Data: The data from Egyptian stock market for the period from 2005 to 2017 provides the sample for this study.  
Results: The results show that the Egyptian market is subjected to an under reaction. This pattern is stable and does not change from year to year throughout the crisis. Fama and French three-factor model results reveal that systematic risk is not able to explain the difference in performance between the winner and the loser portfolios, but it confirms the importance of size and value factors.
Conclusion: This work can help investors to determine their trading strategies as buying past winners and selling past losers realize significant abnormal profits to the investors.
 

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Nov 19, 2019

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