الفهرس 
INTRODUCTION
MethodologyOnly 14 pages are availabe for public view
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Abstract
This research examined whether a behavioral capital asset pricing model
based on investor sentiment has more explanatory power in explaining stocks
returns over other theoretical and empirical asset pricing models. In this at-
tempt to test the explanatory power of this newly behavioral asset pricing
model. A principal component analysis method was used to construct a sen-
timent index based on two underlying proxies, market turnover and volatility
premium. This study contributes to the literature as there are no studies ex-
amined the behavioral capital asset pricing theory validity in the Egyptian
Stock Exchange. This research has two main empirical results. First, the
Fama and French three-factor model has little explanatory power within the
Egyptian Stock market. Although the size factor is priced within sample
stocks average returns, the value factor showed no eect on stock returns.
Second, investor sentiment has a signi cant eect on stocks average returns.
This result support the existence of the noise trader eect within the Egyp-
tian Stock market.
Keywords: Traditional Finance, Behavioral Finance, Asset Pricing, Behav-
ioral Asset Pricing Theory, Investor Sentiment, E cient Market Hypothesis