The extent to which firm size affects stock return in the Egyptian stock market

This study aims to document how stock return is affected by firm size. This study uses mainly panel analysis technique of firms listed in EGX30 in the time period from 2010 to 2015. The findings showed that firm size is a significant factor in predicting average stock return in the Egyptian stock market. Unexpectedly, it was found that the return of the previous year (lag return) plays a major role in predicting stock return in the Egyptian stock market.

Toward this end, this study suggests that investors can rely on both size and the return of the previous year to predict future stock return.