ENHANCING THE EXPLANATORY POWER OF FAMA & FRENCH THREE FACTORS MODEL BY USING CAPITAL PRODUCTIVITY FACTOR

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

ESLAMI BIDGOLI GH.R.; KHOJASTEH M.A.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH) Year:2009 | Volume:1 | Issue:1 Page(s): 50-73

Download Full-Text

Persian Verion

View:

994

Download:

Cites:

Information Journal Paper

Title

ENHANCING THE EXPLANATORY POWER OF FAMA & FRENCH THREE FACTORS MODEL BY USING CAPITAL PRODUCTIVITY FACTOR

Author(s)

ESLAMI BIDGOLI GH.R. | KHOJASTEH M.A. | Issue Writer Certificate

Keywords

RETURN ANOMALIESQ3

RETURN ON INVESTED CAPITAL (ROIC)Q2

CAPITAL PRODUCTIVITYQ3

FAMA & FRENCH 3 FACTORS MODELQ2

Abstract

After challenges about CAPM, Fama & French 3 factors model could explain several RETURN ANOMALIES. Recent studies show that CAPITAL PRODUCTIVITY effects on stock returns and the strategy of selecting productive firms could lead to excess return on the base of expected return of Fama & French 3 factors model. In this research, we show that CAPITAL PRODUCTIVITY in Tehran Stock Exchange (TSE) could be a source of excess return too, and increases alpha in portfolio assessment. We used data of firms in TSE during 8 years from 2000 to 2007. Finally the application of CAPITAL PRODUCTIVITY factor with the other 3 factors could explain the return anomaly and excess return of productive portfolios arid enhanced the adjusted R2 of the model.

Cites

References

Cite

APA: Copy

ESLAMI BIDGOLI, GH.R., & KHOJASTEH, M.A.. (2009). ENHANCING THE EXPLANATORY POWER OF FAMA & FRENCH THREE FACTORS MODEL BY USING CAPITAL PRODUCTIVITY FACTOR. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), 1(1), 50-73. SID. https://sid.ir/paper/157311/en

Vancouver: Copy

ESLAMI BIDGOLI GH.R., KHOJASTEH M.A.. ENHANCING THE EXPLANATORY POWER OF FAMA & FRENCH THREE FACTORS MODEL BY USING CAPITAL PRODUCTIVITY FACTOR. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH)[Internet]. 2009;1(1):50-73. Available from: https://sid.ir/paper/157311/en

IEEE: Copy

GH.R. ESLAMI BIDGOLI, and M.A. KHOJASTEH, “ENHANCING THE EXPLANATORY POWER OF FAMA & FRENCH THREE FACTORS MODEL BY USING CAPITAL PRODUCTIVITY FACTOR,” JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), vol. 1, no. 1, pp. 50–73, 2009, [Online]. Available: https://sid.ir/paper/157311/en

Related Journal Papers