COMPARABILITY OF EXPECTED RETURN PREDICTION ON CORPORATE LIFE CYCLES USING CARHART FOUR-FACTOR MODEL

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POORZAMANI ZAHRA; IMAN MASOUD

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2016 | Volume:7 | Issue:26 Page(s): 27-42

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Title

COMPARABILITY OF EXPECTED RETURN PREDICTION ON CORPORATE LIFE CYCLES USING CARHART FOUR-FACTOR MODEL

Author(s)

POORZAMANI ZAHRA | IMAN MASOUD | Issue Writer Certificate

Keywords

FORECASTED EXPECTED RETURNQ1

CARHART FOUR-FACTOR MODELQ1

PERIOD OF GROWTHQ1

PERIOD OF PUBERTYQ1

PERIOD OF DECLINEQ1

Abstract

The aim of this study is to compare the ability to predict the expected return in the life cycle of the company by using CARHART FOUR-FACTOR MODEL. This research is of library study and analytical- scientific kind and is based on the analysis of panel data. In this study, the financial information of 102 companies listed on the Stock Exchange in Tehran, during the period of 2002 to 2013 is studied (1224 companies - year). To analyze the results obtained from the study softwares like Spss 20, Eviews7 and Minitab 16 have been used. The results in connection with the confirmation of the first hypothesis of the study showed that the expected returns forecasted using CARHART FOUR-FACTOR MODEL during the growth of the company is closer to the actual one. Also according to the analysis made in connection with the confirmation of the second hypothesis of this study we came to a conclusion that the expected return predicted via using CARHART FOUR-FACTOR MODEL during puberty time of the company is closer to the actual one. Finally, according to the analysis carried out in association with the rejection of the third hypothesis of the study we got concluded that expected returns predicted using CARHART FOUR-FACTOR MODEL during the decline of the company is not closer to the actual return.

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APA: Copy

POORZAMANI, ZAHRA, & IMAN, MASOUD. (2016). COMPARABILITY OF EXPECTED RETURN PREDICTION ON CORPORATE LIFE CYCLES USING CARHART FOUR-FACTOR MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 7(26), 27-42. SID. https://sid.ir/paper/197732/en

Vancouver: Copy

POORZAMANI ZAHRA, IMAN MASOUD. COMPARABILITY OF EXPECTED RETURN PREDICTION ON CORPORATE LIFE CYCLES USING CARHART FOUR-FACTOR MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2016;7(26):27-42. Available from: https://sid.ir/paper/197732/en

IEEE: Copy

ZAHRA POORZAMANI, and MASOUD IMAN, “COMPARABILITY OF EXPECTED RETURN PREDICTION ON CORPORATE LIFE CYCLES USING CARHART FOUR-FACTOR MODEL,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 7, no. 26, pp. 27–42, 2016, [Online]. Available: https://sid.ir/paper/197732/en

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