Thesis (Ph.D.) - Cairo University - Faculty of Commerce - Department of Business Administration

A large number of empirical research over the past three decades have discovered that firm's expected return can be discernable form it's past stock price performance. In the current research, Firstly, I investigate the existence of two important phenomenon overreaction and under reaction phenomena, and whether these phenomena are accompanied with two main behavioural biases conservatism and representativeness biases. Trends and consistency have been used as proxies for conservatism and representativeness phenomena in Egyptian stock market over the period extended from 2000 - 2013. Secondly, extrapolative expectation model has been suggested as a suitable model for describing investors expectations in the real world. Using autoregressive model, certain steps have been followed to describe investors behaviours in Egyptian stock exchange market. It has been shown that there is positive autocorrelation in stock returns over a short horizon period (3 months - one year). However, over a long horizon period (3 years) reversal pattern is the most common pattern in the market. Portfolio analysis confirms the same results momentum portfolio yields positive returns over short period and negative returns over long period. On the other hand, it concludes that autoregressive model has the ability to describe data generating process of stock returns more than the traditional asset pricing models

Issued also as CD