A COMPARISON BETWEEN FAMA AND FRENCH'S MODEL AND ARTIFICIAL NEURAL NETWORKS IN PREDICTING STOCKS' RETURN IN TEHRAN STOCK EXCHANGE

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SHAMS N.; PARSAIYAN S.

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2012 | Volume:3 | Issue:11 Page(s): 103-118

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Title

A COMPARISON BETWEEN FAMA AND FRENCH'S MODEL AND ARTIFICIAL NEURAL NETWORKS IN PREDICTING STOCKS' RETURN IN TEHRAN STOCK EXCHANGE

Author(s)

SHAMS N. | PARSAIYAN S. | Issue Writer Certificate

Keywords

FAMA AND FRENCH 3 FACTOR MODELQ2

GENERAL REGRESSION NEURAL NETWORK (GRNN)Q2

MARKET RISK PREMIUMQ2

SIZE RISK PREMIUMQ2

VALUE RISK PREMIUMQ2

Abstract

One of the most important issues in financial markets is the stock return prediction. Various models was introduced for this purpose. This paper compares two most applicable stock return prediction models, Fama and French three factor model and general regression neural network (GRNN). Two hypotheses have been designed for this purpose.The first one compares the models accuracy in stock return prediction among the selected companies, and the other one do this job among 6 portfolios which constructed in order of companies size and book to market ratio.The study uses Tehran Stock Exchange companies' data from 1378 to 1388.After the calculation of models MSE, the equality of average of MSEs for two models tested by t-paired sample statistical test at confidence level 9 5 %.The results show that there is a meaningful difference between models prediction accuracy in the rate of return prediction. This difference means that the GRNN model out performs the Fama and French model at in dividual stock and portfolios.

Cites

EVALUATE THE EFFECT OF MOMENTUM THE EXPLANATORY MODELS FEATURE FIVE FACTORS IN EXPLAINING STOCK RETURNS

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APA: Copy

SHAMS, N., & PARSAIYAN, S.. (2012). A COMPARISON BETWEEN FAMA AND FRENCH'S MODEL AND ARTIFICIAL NEURAL NETWORKS IN PREDICTING STOCKS' RETURN IN TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 3(11), 103-118. SID. https://sid.ir/paper/197902/en

Vancouver: Copy

SHAMS N., PARSAIYAN S.. A COMPARISON BETWEEN FAMA AND FRENCH'S MODEL AND ARTIFICIAL NEURAL NETWORKS IN PREDICTING STOCKS' RETURN IN TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2012;3(11):103-118. Available from: https://sid.ir/paper/197902/en

IEEE: Copy

N. SHAMS, and S. PARSAIYAN, “A COMPARISON BETWEEN FAMA AND FRENCH'S MODEL AND ARTIFICIAL NEURAL NETWORKS IN PREDICTING STOCKS' RETURN IN TEHRAN STOCK EXCHANGE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 3, no. 11, pp. 103–118, 2012, [Online]. Available: https://sid.ir/paper/197902/en

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