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Title

PREDICTING OF EQUITY PREMIUM: EMPIRICAL EVIDENCE FROM PEG MODELS

Pages

 Start Page 129 | End Page 152

Abstract

 Pricing of financial assets and identify important risk factors is one of the fundamental issues of finance theory. In this study, using insights of CAPM and three-factor model (Fama and French, 1993), PEG and four-factor models was developed. Using financial data of 270 companies traded in TSE during the beginning of 2006 to the end of 2014, three-stage methodology and the portfolio study methodology used to calculate the risk factor. The results show that first, there are inverse size effects, inverse VALUE EFFECTs and PEG EFFECTs, second, PEG MODEL cannot explain stock risk premium, But the four-factor model compared with other models, has higher power for explaining of the risk premium. Market participants can use these results to improve investment performance and academics recommended that test models of the study.

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