Review and Assessment of Capital Assets Pricing Models and Compare Them with the 5-Factor Model of Fama and French “ Using Economic Variables Exchange; Rates, Inflation, Import and Liquidity”

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RANJBAR MOHAMMAD HOSSEIN; BADIEE HOSSEIN; Mohebi Maysam

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:12 | Issue:42 Page(s): 195-215

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Title

Review and Assessment of Capital Assets Pricing Models and Compare Them with the 5-Factor Model of Fama and French “ Using Economic Variables Exchange; Rates, Inflation, Import and Liquidity”

Author(s)

RANJBAR MOHAMMAD HOSSEIN | BADIEE HOSSEIN | Mohebi Maysam | Issue Writer Certificate

Keywords

Capital Asset Pricing Model (CAPM)Q1

Fama & French ModelQ2

Alpha CoefficientQ1

Time-SeriesQ1

Abstract

The present research tries to assess and compare the Capital Asset Pricing Models in stock exchange of Tehran. Financial data of 108 companies in stock market (2009-2014) are processed. The important issue is to use suitable patterns and models for evaluating and price setting in stock market. These models must have the ability to predict the behavior of the prices and also can estimate the outcome and efficiency of the so-called investment. The models investigated in this research, include the traditional investment financial pricing, 3-factor model and FAMA and French 5-factor and consumption investment models. In order to analyze the data and to test the hypothesis, we used OLS model for time series models. In this study, models are investigated according to the models of significance lateral distance from the source (Jensen's Alpha). A model, of which efficiency is high, should have a zero intercept. Generally, FAMA and French 5-factor models that were developed in 2014, work more efficiently. Then comes the Capital Asset Pricing Model.

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APA: Copy

RANJBAR, MOHAMMAD HOSSEIN, BADIEE, HOSSEIN, & Mohebi, Maysam. (2019). Review and Assessment of Capital Assets Pricing Models and Compare Them with the 5-Factor Model of Fama and French “ Using Economic Variables Exchange; Rates, Inflation, Import and Liquidity”. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 12(42 ), 195-215. SID. https://sid.ir/paper/200059/en

Vancouver: Copy

RANJBAR MOHAMMAD HOSSEIN, BADIEE HOSSEIN, Mohebi Maysam. Review and Assessment of Capital Assets Pricing Models and Compare Them with the 5-Factor Model of Fama and French “ Using Economic Variables Exchange; Rates, Inflation, Import and Liquidity”. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;12(42 ):195-215. Available from: https://sid.ir/paper/200059/en

IEEE: Copy

MOHAMMAD HOSSEIN RANJBAR, HOSSEIN BADIEE, and Maysam Mohebi, “Review and Assessment of Capital Assets Pricing Models and Compare Them with the 5-Factor Model of Fama and French “ Using Economic Variables Exchange; Rates, Inflation, Import and Liquidity”,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 12, no. 42 , pp. 195–215, 2019, [Online]. Available: https://sid.ir/paper/200059/en

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