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

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ESHRAGHNIAI JAHROMI A.A.H.; NESHVADIAN K.

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Paper Information

Journal: INDUSTRIAL ENGINEERING & MANAGEMENT SHARIF (SHARIF: ENGINEERING) Year:2009 | Volume:24 | Issue:45 Page(s): 39-46

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Title

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

Author(s)

ESHRAGHNIAI JAHROMI A.A.H. | NESHVADIAN K. | Issue Writer Certificate

Keywords

ASSET PRICING MODELSQ3

CAPMQ3

FAMA & FRENCHQ3

STOCK RETURNQ3

TEHRAN STOCK EXCHANGEQ3

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.

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APA: Copy

ESHRAGHNIAI JAHROMI, A.A.H., & NESHVADIAN, K.. (2009). TESTING THE FAMA & FRENCH 3 FACTOR MODEL IN THE TEHRAN STOCK EXCHANGE. INDUSTRIAL ENGINEERING & MANAGEMENT SHARIF (SHARIF: ENGINEERING), 24(45), 39-46. SID. https://sid.ir/paper/107591/en

Vancouver: Copy

ESHRAGHNIAI JAHROMI A.A.H., NESHVADIAN K.. TESTING THE FAMA & FRENCH 3 FACTOR MODEL IN THE TEHRAN STOCK EXCHANGE. INDUSTRIAL ENGINEERING & MANAGEMENT SHARIF (SHARIF: ENGINEERING)[Internet]. 2009;24(45):39-46. Available from: https://sid.ir/paper/107591/en

IEEE: Copy

A.A.H. ESHRAGHNIAI JAHROMI, and K. NESHVADIAN, “TESTING THE FAMA & FRENCH 3 FACTOR MODEL IN THE TEHRAN STOCK EXCHANGE,” INDUSTRIAL ENGINEERING & MANAGEMENT SHARIF (SHARIF: ENGINEERING), vol. 24, no. 45, pp. 39–46, 2009, [Online]. Available: https://sid.ir/paper/107591/en

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