TEST OF FIVE FACTORS MODEL; EVIDENCE FROM TEHRAN STOCK EXCHANGE

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.

DAVALLOU MARYAM; GHOLAMI ZOHREH

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

Journal Paper

Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2018 | Volume:7 | Issue:26 Page(s): 221-236

Download Full-Text

Persian Verion

View:

628

Download:

Cites:

Information Journal Paper

Title

TEST OF FIVE FACTORS MODEL; EVIDENCE FROM TEHRAN STOCK EXCHANGE

Author(s)

DAVALLOU MARYAM | GHOLAMI ZOHREH | Issue Writer Certificate

Keywords

FIVE-FACTOR MODELQ1

INVESTMENTQ1

OPERATING PROFITIBILITYQ2

Abstract

Fama and French (2015) with the addition of two more elements - operating profitability and INVESTMENT - developed their three-factor model and offered a new FIVE-FACTOR MODEL. This study aimed to test the Fama-French FIVE-FACTOR MODEL compared with the three-factor and four-factor models. For this purpose, a sample of 184 companies listed in Tehran Stock Exchange during the years 1380 to 1393 is examined. For testing the model, Portfolio analysis and test of Gibbons et al (1989) is used. The results of this study revealed that operating profitability and INVESTMENT are able to explain the return of portfolio. Fama-French FIVE-FACTOR MODEL explains the excess return better than other models in Tehran Stock Exchange. Then four-factor model in different portfolios, depending on the factors made them, have better performance than three-factor models.

Cites

No record.

References

No record.

Cite

APA: Copy

DAVALLOU, MARYAM, & GHOLAMI, ZOHREH. (2018). TEST OF FIVE FACTORS MODEL; EVIDENCE FROM TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE, 7(26 ), 221-236. SID. https://sid.ir/paper/188068/en

Vancouver: Copy

DAVALLOU MARYAM, GHOLAMI ZOHREH. TEST OF FIVE FACTORS MODEL; EVIDENCE FROM TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE[Internet]. 2018;7(26 ):221-236. Available from: https://sid.ir/paper/188068/en

IEEE: Copy

MARYAM DAVALLOU, and ZOHREH GHOLAMI, “TEST OF FIVE FACTORS MODEL; EVIDENCE FROM TEHRAN STOCK EXCHANGE,” INVESTMENT KNOWLEDGE, vol. 7, no. 26 , pp. 221–236, 2018, [Online]. Available: https://sid.ir/paper/188068/en

Related Journal Papers