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Paper Information

Journal:   INDUSTRIAL ENGINEERING & MANAGEMENT SHARIF (SHARIF: ENGINEERING)   DECEMBER 2008- JANUARY 2009 , Volume 24 , Number 45; Page(s) 39 To 46.
 
Paper: 

TESTING THE FAMA & FRENCH 3 FACTOR MODEL IN THE TEHRAN STOCK EXCHANGE

 
 
Author(s):  ESHRAGHNIAI JAHROMI A.A.H., NESHVADIAN K.
 
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Abstract: 

Undoubtedly, in the last decades, the asset pricing model is one of most important and, at the same time, attractive, finance areas. CAPM has been the dominant model in this section for more than 40 years. One reason is its strong base, which has been derived from the portfolio theory. and the other reason is its easiness. However in the last decade, the Fama & French 3 factor model has been proposed and has challenged the validity and importance of CAPM. In this paper, these 2 models are compared with the methodology of mimicking a portfolio regression analysis. Results showed that, along with many equity markets in the world, the Fama & French model also outperforms CAPM in the Tehran Stock Exchange (TSE). The direct and positive relationship between book to market value and stock return and the negative relationship between size and stock return proves that the size and book to market value effects in TSE are similar to other markets; although different in strength.

 
Keyword(s): ASSET PRICING MODELS, CAPM, FAMA & FRENCH, STOCK RETURN, TEHRAN STOCK EXCHANGE
 
References: 
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