Erasmus university rotterdam

Appendix E

Average Excess Returns

Appendix F Betas Egypt

	Global	Local	Three Moment CAPM		Four Moment CAPM
EG1	0.400073	0.443819	0.291465	-0.0277	0.23529	-0.01064	0.001151
EG2	0.246515	0.460947	0.190775	-0.01421	0.104176	0.012084	0.001774
EG3	0.194028	0.231359	0.081213	-0.02877	-0.01078	-0.00084	0.001884
EG4	0.559938	0.565431	0.519761	-0.01025	0.453217	0.009962	0.001363
EG5	0.017059	0.200396	-0.04695	-0.01632	0.033138	-0.04064	-0.00164
EG6	0.509975	0.678309	0.380397	-0.03304	0.295145	-0.00716	0.001746
EG7	0.113838	0.257929	0.11948	0.001439	0.146949	-0.0069	-0.00056
EG8	0.292532	0.29976	0.289852	-0.00068	0.28688	0.000219	6.09E-05
EG9	0.5803	0.781124	0.410943	-0.04318	0.355747	-0.02644	0.001129
EG10	0.744266	1.12462	0.641129	-0.02383	0.557125	-0.0004	0.001539
EG11	0.267605	0.299076	0.292106	0.006248	0.287892	0.007527	8.63E-05
EG12	0.345469	0.372973	0.194921	-0.03839	0.160028	-0.0278	0.000715
EG13	0.394292	0.432637	0.304927	-0.02279	0.240962	-0.00336	0.00131
EG14	0.766418	0.982104	0.811975	0.010527	0.921877	-0.02013	-0.00201
EG15	0.532739	0.630241	0.464688	-0.01735	0.521624	-0.03464	-0.00117
EG16	0.635854	0.630895	0.507635	-0.0327	0.477303	-0.0235	0.000621
EG17	0.493345	0.540769	0.394058	-0.02532	0.377917	-0.02042	0.000331
EG18	0.316652	0.506252	0.24792	-0.01753	0.240957	-0.01541	0.000143
EG19	0.10492	0.430977	0.003534	-0.02585	0.001097	-0.02511	4.99E-05
EG20	1.246439	1.148562	1.243896	-0.00062	1.210417	0.009135	0.000638
EG21	0.309831	0.742115	0.317922	0.002063	0.348477	-0.00722	-0.00063
EG22	0.348395	0.495076	0.245038	-0.02636	0.154129	0.00125	0.001862
EG23	0.744054	0.874954	0.599653	-0.03682	0.559585	-0.02466	0.000821
EG24	0.661463	0.531537	0.595884	-0.01672	0.322718	0.066229	0.005596
EG25	0.587117	0.849624	0.519933	-0.01712	0.45059	0.003941	0.001421
EG26	0.8107	0.752528	0.699956	-0.02824	0.691729	-0.02574	0.000169
EG27	0.410142	0.501179	0.17202	-0.06071	0.023229	-0.01551	0.003049
EG28	0.312367	0.417876	0.300686	-0.00298	0.319311	-0.00863	-0.00038
EG29	0.674802	0.792778	0.533016	-0.03275	0.552425	-0.03816	-0.00036
EG30	0.43374	0.998189	0.363054	-0.01803	0.287022	0.005063	0.001558
EG31	0.789357	0.471231	0.676394	-0.02877	0.593774	-0.00369	0.001692
EG32	0.865482	1.029099	0.847381	-0.00442	0.79734	0.010165	0.000954
EG33	0.902864	1.095743	0.811072	-0.02341	0.73893	-0.0015	0.001478
EG34	0.492881	0.950337	0.38923	-0.02638	0.322352	-0.00613	0.001366
EG35	0.559571	0.767408	0.400315	-0.04061	0.269488	-0.00091	0.002678
EG36	0.118912	0.435009	0.1332	0.003643	0.150514	-0.00161	-0.00036
EG37	0.402432	0.5487	0.254566	-0.03771	0.268879	-0.04205	-0.00029
EG38	0.664996	0.755583	0.539882	-0.03191	0.432467	0.000714	0.0022
EG39	0.528952	0.639551	0.369736	-0.0406	0.325752	-0.02724	0.000901
EG40	0.805519	0.891321	0.704715	-0.02571	0.652961	-0.00999	0.00106
EG41	0.946394	0.773433	0.788364	-0.0403	0.613657	0.012754	0.003579
EG42	0.232485	0.4889	0.200305	-0.00821	0.217263	-0.01336	-0.00035
EG43	0.461119	0.290685	0.419969	-0.01049	0.330404	0.016705	0.001835
EG44	0.850612	0.90076	0.754656	-0.02447	0.634092	0.012142	0.00247
EG45	0.271124	0.241408	0.330208	0.015067	0.231061	0.045174	0.002031
EG46	0.6583	0.710794	0.584977	-0.0187	0.533956	-0.0032	0.001045
EG47	0.419161	0.514287	0.361246	-0.01477	0.275348	0.011316	0.00176
EG48	0.800887	0.582156	0.691458	-0.02791	0.600044	-0.00015	0.001873
EG49	0.254884	0.48344	0.192344	-0.01606	0.167767	-0.00887	0.000484
EG50	0.112939	0.216734	0.062174	-0.01173	0.099888	-0.02225	-0.00069
EG51	0.721672	0.935408	0.562886	-0.04049	0.453662	-0.00732	0.002237
EG52	0.295455	0.351861	0.269629	-0.00659	0.203829	0.013381	0.001347
EG53	0.278129	0.201289	0.288763	0.002712	0.168674	0.039179	0.00246
EG54	0.283501	0.382934	0.237698	-0.01168	0.215754	-0.00502	0.00045
EG55	0.336255	0.620825	0.218193	-0.03011	0.21537	-0.02925	5.78E-05
EG56	0.355551	0.405841	0.320051	-0.00905	0.326985	-0.01116	-0.00014
EG57	0.504093	0.559496	0.420742	-0.02126	0.451105	-0.03048	-0.00062
EG58	0.797747	0.479705	0.718801	-0.02013	0.582429	0.02128	0.002794
EG59	0.080991	0.18201	-0.02714	-0.02757	-0.10307	-0.00452	0.001555
EG60	0.643116	0.799506	0.476306	-0.04254	0.379812	-0.01324	0.001977
EG61	0.349537	0.413117	0.274639	-0.0191	0.15727	0.016542	0.002404
EG62	0.661574	0.725736	0.570608	-0.0232	0.579807	-0.02599	-0.00019
EG63	0.896467	0.934404	0.744755	-0.03869	0.717497	-0.03041	0.000558
EG64	0.537156	0.584915	0.432573	-0.02667	0.475314	-0.03965	-0.00088
EG65	0.659618	0.911907	0.684045	0.006229	0.755544	-0.01548	-0.00147
EG66	1.063803	1.093086	1.065576	0.000452	1.067417	-0.00011	-3.77E-05
EG67	0.463238	0.538517	0.377689	-0.02182	0.286901	0.005754	0.00186
EG68	0.360747	0.547757	0.272007	-0.02263	0.312774	-0.03501	-0.00084
EG69	0.519796	0.491887	0.449611	-0.01712	0.376779	0.004099	0.001389
EG70	1.00139	1.003412	0.821837	-0.04579	0.780355	-0.03319	0.00085
EG71	0.648254	0.756239	0.518629	-0.03306	0.459001	-0.01495	0.001221
EG72	0.663709	0.785741	0.528184	-0.03414	0.435611	-0.00642	0.001871
EG73	0.552598	0.483183	0.503221	-0.01259	0.497062	-0.01072	0.000126
EG74	0.296674	0.541121	0.252196	-0.01134	0.244315	-0.00895	0.000161
EG75	0.371708	0.388685	0.303604	-0.01737	0.206868	0.012009	0.001982
EG76	0.784276	0.947549	0.658123	-0.03217	0.530644	0.006507	0.002609
EG77	0.704006	0.880763	0.600185	-0.02648	0.58479	-0.0218	0.000315
EG78	0.734741	0.807034	0.630121	-0.02668	0.551655	-0.00285	0.001607
EG79	0.514953	0.531282	0.40049	-0.02919	0.353851	-0.01503	0.000955