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Paper Information

Journal:   JOURNAL OF ASSET MANAGEMENT AND FINANCING   SPRING 2017 , Volume 5 , Number 1 (16) ; Page(s) 17 To 29.
 
Paper: 

A COMPARISON BETWEEN FAMA-FRENCH FIVE FACTOR MODEL AND CARHART FOUR-FACTOR MODEL IN EXPLAINING THE STOCK RETURN OF COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE

 
 
Author(s):  VAKILIFARD HAMID REZA, BADRIAN ELAHE, EBRAHIMI MOHAMMAD*
 
* ACCOUNTING DEPT., AMIN FOOLAD SHAHR INSTITUTE, ESFAHAN, IRAN
 
Abstract: 

Predicting stock returns has been one of the most important financial market issues. In this paper, we compare the five-factor model of Fama and French model and four-factor model of Carhart to explain stock returns of listed companies in the Tehran Stock Exchange during 1387-1392. Carhart model variables include market risk premium, value, size and momentum. The variables included in the five factor model of Fama and French are market risk premium, value, size, momentum and profitability factors. The results show that there is a significant relation between stock return and market risk premium, size, and value factors.
However, momentum and profitability do not show a significant relation with stock returns.
In other words, the results show that in the Tehran Stock Exchange, Fama and French threefactor model is credible, while Carhart four-factor model and Fama and French five-factor model does not valid.

 
Keyword(s): FAMA AND FRENCH FIVE FACTOR MODEL, CARHART FOUR FACTOR MODEL, FAMA AND FRENCH, THREE FACTOR MODEL, PROFITABILITY FACTOR
 
 
References: 
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Citations: 
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+ Click to Cite.
APA: Copy

VAKILIFARD, H., & BADRIAN, E., & EBRAHIMI, M. (2017). A COMPARISON BETWEEN FAMA-FRENCH FIVE FACTOR MODEL AND CARHART FOUR-FACTOR MODEL IN EXPLAINING THE STOCK RETURN OF COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 5(1 (16) ), 17-29. https://www.sid.ir/en/journal/ViewPaper.aspx?id=570028



Vancouver: Copy

VAKILIFARD HAMID REZA, BADRIAN ELAHE, EBRAHIMI MOHAMMAD. A COMPARISON BETWEEN FAMA-FRENCH FIVE FACTOR MODEL AND CARHART FOUR-FACTOR MODEL IN EXPLAINING THE STOCK RETURN OF COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING. 2017 [cited 2021July27];5(1 (16) ):17-29. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=570028



IEEE: Copy

VAKILIFARD, H., BADRIAN, E., EBRAHIMI, M., 2017. A COMPARISON BETWEEN FAMA-FRENCH FIVE FACTOR MODEL AND CARHART FOUR-FACTOR MODEL IN EXPLAINING THE STOCK RETURN OF COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING, [online] 5(1 (16) ), pp.17-29. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=570028.



 
 
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