Role of Style Return in predicting Future Return

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SAFDARIAN LEILA; FOROGHI DARYOUSH; KARIMI FARZAD

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Journal: The Financial Accounting and Auditing Researches Year:2019 | Volume:11 | Issue:43 Page(s): 199-217

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Title

Role of Style Return in predicting Future Return

Author(s)

SAFDARIAN LEILA | FOROGHI DARYOUSH | KARIMI FARZAD | Issue Writer Certificate

Keywords

Style ReturnQ1

Style InvestingQ1

Return PredictabilityQ1

ComovementQ1

Fama and Mack Beth RegressionQ1

Abstract

The main goal of this research was to investigate the capability of past Style Return in predicting future return in comparison with past return. To achieve this goal, based on the book-to-market value and the company size, 150 companies data listed in Tehran Stock exchange in period from 1384 to 1393 were used in the study. In this relation Style Return and stock return were independent variable and (1, 3, 6, 12) future month stock returns was dependent variable. After controlling size, book-to-market value by using two stage Fama and Mack Beth Regression (1973) the data were analyzed. The result of the study indicated that the past 6 month Style Return can predict future return (1, 3and 6) better than past 6 month return. Furthermore there was a significant relationship between the past 6 and 12 month Style Return and future month return (1, 3, 6, and 12). On the other hand, the ability to predict the future return by 12 past month Style Return was better than 6 past month return.

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APA: Copy

SAFDARIAN, LEILA, FOROGHI, DARYOUSH, & KARIMI, FARZAD. (2019). Role of Style Return in predicting Future Return. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, 11(43 ), 199-217. SID. https://sid.ir/paper/198036/en

Vancouver: Copy

SAFDARIAN LEILA, FOROGHI DARYOUSH, KARIMI FARZAD. Role of Style Return in predicting Future Return. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES[Internet]. 2019;11(43 ):199-217. Available from: https://sid.ir/paper/198036/en

IEEE: Copy

LEILA SAFDARIAN, DARYOUSH FOROGHI, and FARZAD KARIMI, “Role of Style Return in predicting Future Return,” THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, vol. 11, no. 43 , pp. 199–217, 2019, [Online]. Available: https://sid.ir/paper/198036/en

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