The Firm Value Effect: Evidence from Egypt

1
Omar Gharaibeh
Omar Gharaibeh
1 Al Albayt University

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This paper investigates for a value effect in Egyptian firm returns using three different ways to determine value by sorting firms based on their past long-term returns (long-term contrarian), the book-to-market ratios (BE/ME), and the percentage changes in their BE/ME ratios (change). These three strategies are approaches commonly used to measure for value effect. Using sample period from January 1997 to April 2014, this study provides a strong evidence of an inter-firm value effect with three measures. The long-term return contrarian and BE/ME, produce significant abnormal raw returns of 2.18% and 2.01%, respectively. On the other hand, the percentage changes in their BE/ME provides weakly significant profits of 1.08% per month. This paper also shows that the value profits generated by all three alternative value strategies in Egyptian stock market can be explained by three-factor model.

20 Cites in Articles

References

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

Omar Gharaibeh. 2016. \u201cThe Firm Value Effect: Evidence from Egypt\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 16 (GJMBR Volume 16 Issue C7): .

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-C Classification: JEL Code: D53
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v1.2

Issue date

August 17, 2016

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English

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This paper investigates for a value effect in Egyptian firm returns using three different ways to determine value by sorting firms based on their past long-term returns (long-term contrarian), the book-to-market ratios (BE/ME), and the percentage changes in their BE/ME ratios (change). These three strategies are approaches commonly used to measure for value effect. Using sample period from January 1997 to April 2014, this study provides a strong evidence of an inter-firm value effect with three measures. The long-term return contrarian and BE/ME, produce significant abnormal raw returns of 2.18% and 2.01%, respectively. On the other hand, the percentage changes in their BE/ME provides weakly significant profits of 1.08% per month. This paper also shows that the value profits generated by all three alternative value strategies in Egyptian stock market can be explained by three-factor model.

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The Firm Value Effect: Evidence from Egypt

Omar Gharaibeh
Omar Gharaibeh Al Albayt University

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