TEST OF FAMA AND FRENCH THREE-FACTOR MODEL COMPONENTS EFFECTS ON PORTFOLIO RETURN VARIANCE

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ABBASI EBRAHIM; GHEZELJEH GHAFFAR

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

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Paper Information

Journal: JOURNAL OF ACCOUNTING KNOWLEDGE Year:2013 | Volume:3 | Issue:11 Page(s): 161-180

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Title

TEST OF FAMA AND FRENCH THREE-FACTOR MODEL COMPONENTS EFFECTS ON PORTFOLIO RETURN VARIANCE

Author(s)

ABBASI EBRAHIM | GHEZELJEH GHAFFAR | Issue Writer Certificate

Keywords

FAMA AND FRENCH THREE-FACTOR MODELQ2

BETAQ3

SIZE AND BOOK VALUE TO MARKET VALUE RATIOQ2

PORTFOLIO RETURNQ2

CAPMQ2

Abstract

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.

Cites

References

THE CAPITAL ASSET PRICING MODEL (CAPM): AN EMPIRICAL RESEARCH IN TEHRAN STOCK EXCHANGE

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APA: Copy

ABBASI, EBRAHIM, & GHEZELJEH, GHAFFAR. (2013). TEST OF FAMA AND FRENCH THREE-FACTOR MODEL COMPONENTS EFFECTS ON PORTFOLIO RETURN VARIANCE. JOURNAL OF ACCOUNTING KNOWLEDGE, 3(11), 161-180. SID. https://sid.ir/paper/163462/en

Vancouver: Copy

ABBASI EBRAHIM, GHEZELJEH GHAFFAR. TEST OF FAMA AND FRENCH THREE-FACTOR MODEL COMPONENTS EFFECTS ON PORTFOLIO RETURN VARIANCE. JOURNAL OF ACCOUNTING KNOWLEDGE[Internet]. 2013;3(11):161-180. Available from: https://sid.ir/paper/163462/en

IEEE: Copy

EBRAHIM ABBASI, and GHAFFAR GHEZELJEH, “TEST OF FAMA AND FRENCH THREE-FACTOR MODEL COMPONENTS EFFECTS ON PORTFOLIO RETURN VARIANCE,” JOURNAL OF ACCOUNTING KNOWLEDGE, vol. 3, no. 11, pp. 161–180, 2013, [Online]. Available: https://sid.ir/paper/163462/en

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