EVALUATING AND COMPARING ASSET PRICING MODELS BASED ON DIFFERENT TEST PORTFOLIOS

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MASHAYEKH SHAHNAZ; ESFANDI KHADIJEH

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

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Journal: FINANCIAL ACCOUNTING Year:2015 | Volume:7 | Issue:26 Page(s): 52-81

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Information Journal Paper

Title

EVALUATING AND COMPARING ASSET PRICING MODELS BASED ON DIFFERENT TEST PORTFOLIOS

Author(s)

MASHAYEKH SHAHNAZ | ESFANDI KHADIJEH | Issue Writer Certificate

Keywords

ASSET PRICING MODELSQ2

FAMA AND FRENCH MODELQ2

PORTFOLIO CRITERIAQ2

SARGAN TESTQ2

GMMQ2

Abstract

Empirical researchs use different criterias for estimating ASSET PRICING MODELS. This paper used 6 criterias including: size, book to market ratio, investment, past returns, uncertainty and ROA ratio to evaluate and compare the efficiency of 10 ASSET PRICING MODELS in Tehran stock market. The ASSET PRICING MODELS considered are CAPM, 6 models of APT motivated models, consumption based CAPM and 2 intertemporal CAPM models. We used GMM method and SARGAN TEST for this evaluation and comparison. Data was gathered from 132 listed companies during 1385 till 1390 years. Afterwards we classified firms in test portfolios based on the 6 criteria. Our findings showed that efficiency of considered models is not same in different test portfolios. FF3 model has the best and two factor model containing liquidity has the worst efficiency.

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APA: Copy

MASHAYEKH, SHAHNAZ, & ESFANDI, KHADIJEH. (2015). EVALUATING AND COMPARING ASSET PRICING MODELS BASED ON DIFFERENT TEST PORTFOLIOS. FINANCIAL ACCOUNTING, 7(26), 52-81. SID. https://sid.ir/paper/168271/en

Vancouver: Copy

MASHAYEKH SHAHNAZ, ESFANDI KHADIJEH. EVALUATING AND COMPARING ASSET PRICING MODELS BASED ON DIFFERENT TEST PORTFOLIOS. FINANCIAL ACCOUNTING[Internet]. 2015;7(26):52-81. Available from: https://sid.ir/paper/168271/en

IEEE: Copy

SHAHNAZ MASHAYEKH, and KHADIJEH ESFANDI, “EVALUATING AND COMPARING ASSET PRICING MODELS BASED ON DIFFERENT TEST PORTFOLIOS,” FINANCIAL ACCOUNTING, vol. 7, no. 26, pp. 52–81, 2015, [Online]. Available: https://sid.ir/paper/168271/en

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