This paper examines the market anomalies impact of the investment decision in the Egyptian Stock of Exchange. A comprehensive review of the Capital Assets Pricing Model (CAPM), Efficient Markets Hypothesis (EMH) and market anomalies will be studied. The market anomalies can be expressed by size, value, and momentum effects In our study, we will describe how to compute these effects. The analysis of data collected from the Egyptian Stock of Exchange during the period 2004 to 2015 was conducted and the value, size, momentum were computed according to EMH. Testing Hypotheses and related statistical analysis will be investigated. Finally, a discussion of the results and the conclusion of the study.