The Impact of Herding on the Expected Return in the Egyptian Stock Exchange

Abstract

This paper examines the impact of herding behaviour on the expected return in the Egyptian Stock Exchange by adding an additional risk factor reflecting herding behaviour to the capital asset pricing model. The study used monthly excess stock returns of 50 stocks listed on the Egyptian Stock Exchange from January 2014 to December 2018. The results do not support the capital asset pricing model before and after adding the herding behaviour factor, therefore there is no effect of herding behaviour on the expected return.