Impactul efectului de levier financiar asupra prețului riscului pe piața bursieră egipteană
The Impact of Financial Leverage on the Pricing Risk in the Egyptian Stock Market
Author(s): Mustafa Hussein Abd-Allah, Wael Ibrahim Abdelrahim HamimySubject(s): Economy, National Economy, Business Economy / Management, Financial Markets, Socio-Economic Research
Published by: Editura Mustang
Keywords: Fama and French three-factor model; Financial leverage
Summary/Abstract: This paper examines the impact of financial leverage on the risk pricing in the Egyptian Stock Exchange (EGX) by adding an additional risk factor reflecting financial leverage to the three factor model of Fama and French. We used monthly excess stock returns of 50 stocks listed on the (EGX) from January 2014 to December 2018 to test Fama and French model before and after adding the financial leverage factor. Total debt to equity ratio was used to calculate the financial leverage. The results do not support Fama and French model before and after adding the financial leverage factor, therefore there is no effect of financial leverage on the risk pricing.
Journal: Revista de Studii Financiare
- Issue Year: 9/2024
- Issue No: 16
- Page Range: 11-22
- Page Count: 12
- Language: English
