Prediction of stock returns and the pricing of bonds have been always one of the most important issues of financial markets. In this study, one of the factors affecting stock returns has been investigated. In addition, the effects of financial constraints factor on explanatory power of Fama-French three-factor model, Carhart four-factor model and Fama-French five-factor model, has been studied. The firm financial constraint was measured using ordered logit regression. This research has been conducted on 120 listed companies in Tehran Stock Exchange based on data mentioned in financial Annual reports between 2008-2015. Results of this study indicated that the returns of financial constraints firm move together. In addition, The results demonstrated that financial constraints factor can increase explanatory power of Fama-French three-factor model and Carhart four-factor model. But it didn’t have any effect on explanatory power of the Fama-French five-factor model.

Recently, some of the accounting researches in Iran capital market have been devoted to income smoothing, but not so many on relationship with stock value. We mean to evaluate the effect of income smoothing stock return. Therefore, there is a need to measure the expected return, for which we use Fama-French three-factor model in this paper. To estimate the model, we use monthly data from 2006-2010. Also, sample concludes 90 listed companies in TSE. Income smoothing is measured by volatility ratio of operational income to cash flow from operation. Our findings show that income smoothing is another relevant factor in Fama-French three-factor model. In other words, income smoothing is relevant to stock return and the less volatility ratio, the less the expected return of shareholders.

Stock return is one of the basic concepts in the corporate finance paradigm that has several applications in corporate finance, one of these applications is the role of stock return in motivating investors to invest in corporate stocks. In this research the explanatory power of stock returns by Fama & French three-factor model and five factor model and comparison of these two models in explanatory and predictive power Stock returns of companies listed on the Tehran Stock Exchange during the period 2012-2019 were examined. This research in class of the field study and using techniques of panel data with fixed effects model and the generalized least squares method including the 2960 observations (Company / season) is done. According to the findings, explaining power of stock returns of companies listed on the Tehran Stock Exchange by the five-factor model of Fama & French is more than compared with three-factor model of Fama & French. Key words: Stock returns, Equity risk premium, Three-factor model of Fama & French, Five-factor model of Fama & French.

Fama and French five-factor model (2015), is a response to inconsistencies that have been observed in Fama and French three-factor model empirical tests. Five-factor model adds profitability and investment factors to three-factor model. This paper is aimed to analyze the performance of five-factor model in Tehran stock exchange and uses GRS test to compare five-factor model with former three-factors (market premium, size and value). This test is based on regressions estimated intercept analysis. These estimates has been made with three portfolio construction templates and measuring of studied factors with different patterns. Based on results of this research, by controlling profitability and investment factors, three-factor model still perform better for explaining excess returns of studied portfolios. Also, two added factors don’ t increase performance of the model.

In asset pricing and portfolio management, the Fama-French three factor model is a model designed by Eugene Fama and Kenneth French to describe stock returns. The traditional asset pricing model, known formally as the Capital Asset Pricing Model (CAPM) uses only one variable (beta), to describe the returns of a portfolio or stock with the returns of the market as a whole. In contrast, the Fama-French model uses three variables. Fama and French started with the observation that two classes of stocks have tended to do better than the market as a whole: small caps, and stocks with a high book-to-market ratio, customarily called value stocks, contrasted with growth stocks. They then added two factors to the CAPM to reflect a portfolio's exposure to these two classes. Based on Fama and French about short term, abnormal return in IPOs investors may fall into traps by involving IPOs without considering the fundamentals of stocks, which would cause their loss, so this survey is conducted to study the liquidity and leverage effects beside the Fama-French three factors on IPOs. This survey uses Amihood illiquidity measure and leverage ratio to explore the long run return (one year) considering (3 months) as short term. Regression analysis showed that among 5 major variables, only market premium and size had significant relation with long run return.

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.

The main goal of investors is to maximize wealth. Wealth depends on two factors: risk and returns. For this reason, it is vital for shareholders to predict these two factors. The purpose of the present research is to use the five-factor model of Fama & French to predict stock return in offensive and defensive share. For this reason, 105 companies were selected through the systematic disposal method for the period of seven years, from 2008-2016. Also, in this research the beta coefficient has been used to identify offensive and defensive shares. After the formation of portfolio and factors calculation, the cross-sectional regression was used to analyze the data. After analyzing classical hypotheses and co-Linearity test, the final model for each of the offensive and defensive shares were estimated. The results of the research show that value factor and size as a redundant variables but the profitability factor have. The profitability factor has a negative effect on the additional return of defensive shares and do not have effect on the additional returns of the shares offensive. The investment factor has a positive effect on the additional returns of the shares offensive and do not have effect on the additional returns of the defensive shares.

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.

The purpose of this study is to test the Fama and French three-factor model in Tehran Stock Exchange. In order to do this, six portfolios including 616 stocks were formed for the years 2004-2009, regarding the size and the book values to the market value ratio. The results indicated that the beta, the size and the book value to market value ratio had significant effects on portfolio return. Adding two factors of the size of the company and the book value to market value ratio to the single factor CAMP resulted in increase in the coefficient of determination. This implies that the three-factor model describes variance variability of the percentage of portfolio return more than CAMP. Two factors of the size and the book value to market value ratio describe variance variability of the portfolio return considerably and their coefficients are statistically significant.

Objective: This study examined the effects of investor sentiment index on excess return in the Fama-French five-factor model, in the companies listed in the Tehran Stock Exchange in the period 2009 to 2015. Methods: Data collection was based on document mining and referral to databases, and data analysis was performed using inference method and Stata and Eviews software. To test the research hypotheses a Panel data model was used. Results: The results showed that the investor sentiment index plays an important role in capital assets pricing, and supports this role of the index in creating excess return and price formation. Conclusion: Attention to the factors such as investor sentiment, besides the fundamental factors, can have significant effect on the decisions of investors and other users, regarding challenges of the efficient markets hypothesis.