Non-linear Test of the Effect of Firm Size on Stock Return in Tehran Stock Exchange

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Gharibnia Zahra; SINAEI HASANALI; ZARANEZHAD MANSOUR; beygi Tofigh

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Journal: JOURNAL OF SECURITIES EXCHANGE Year:2018 | Volume:11 | Issue:41 Page(s): 153-176

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Information Journal Paper

Title

Non-linear Test of the Effect of Firm Size on Stock Return in Tehran Stock Exchange

Author(s)

Gharibnia Zahra | SINAEI HASANALI | ZARANEZHAD MANSOUR | beygi Tofigh | Issue Writer Certificate

Keywords

Firm's Size Factor SquareQ2

Firm's Size FactorQ1

Stock ReturnsQ1

Fama and French ModelQ2

Abstract

In a few recent decades with increasing extension of capital markets, investigating effective factors on stock return has become the most important and the most challenging financial management issues. So, different models such as capital asset pricing model and multifactor Fama and French are introduced for examine effective factors on stock return. However, the Firm's Size Factor has been the main factor that is investigated in different studies. In previous studies in multifactor Fama and French, the relationship between firm's size and stock return are investigated as a simple linear relationship, while it might not be a linear form. In this research, with adding Firm's Size Factor Square to Fama and French Model, the hypothesis of non-linear relation between the firm's size and stock return is examined.

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APA: Copy

Gharibnia, Zahra, SINAEI, HASANALI, ZARANEZHAD, MANSOUR, & beygi, Tofigh. (2018). Non-linear Test of the Effect of Firm Size on Stock Return in Tehran Stock Exchange. JOURNAL OF SECURITIES EXCHANGE, 11(41 ), 153-176. SID. https://sid.ir/paper/187686/en

Vancouver: Copy

Gharibnia Zahra, SINAEI HASANALI, ZARANEZHAD MANSOUR, beygi Tofigh. Non-linear Test of the Effect of Firm Size on Stock Return in Tehran Stock Exchange. JOURNAL OF SECURITIES EXCHANGE[Internet]. 2018;11(41 ):153-176. Available from: https://sid.ir/paper/187686/en

IEEE: Copy

Zahra Gharibnia, HASANALI SINAEI, MANSOUR ZARANEZHAD, and Tofigh beygi, “Non-linear Test of the Effect of Firm Size on Stock Return in Tehran Stock Exchange,” JOURNAL OF SECURITIES EXCHANGE, vol. 11, no. 41 , pp. 153–176, 2018, [Online]. Available: https://sid.ir/paper/187686/en

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