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

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RAMEZANI JAVAD; KAMYABI YAHYA

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2018 | Volume:10 | Issue:36 Page(s): 45-57

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Title

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

Author(s)

RAMEZANI JAVAD | KAMYABI YAHYA | Issue Writer Certificate

Keywords

MOMENTUMQ2

FIVE-FACTOR MODELQ2

INVESTMENTQ3

EXPECTED RETURN ON THE STOCKQ3

Abstract

Market growth and financial instruments, the complexity of financial markets and INVESTMENT categories of specialization requires investors and employees of financial markets, the tools, methods and models used in the selection of the best and most appropriate INVESTMENT to its full portfolio What help. This led to theories, models and various methods for pricing financial assets and predict stock returns discussed and every day is developing and changing. This study aims to add MOMENTUM to the five-factor test a new model to explain stock returns in Tehran Stock Exchange is expected. Thus, the sample consisting of 108 companies during the years 1389 to 1393 were selected. To test the hypotheses, a hybrid approach to data analysis and multivariate regression were used. The results showed that the addition of MOMENTUM to the FIVE-FACTOR MODEL does not increase the explanatory power of the model, but the FIVE-FACTOR MODEL of Fama - French than five factor model and acceleration, more power to explain the expected return on stocks. The findings showed a much empirical validity of five factor model than other models in anticipation of the expected return on stocks.

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APA: Copy

RAMEZANI, JAVAD, & KAMYABI, YAHYA. (2018). EVALUATE THE EFFECT OF MOMENTUM THE EXPLANATORY MODELS FEATURE FIVE FACTORS IN EXPLAINING STOCK RETURNS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 10(36), 45-57. SID. https://sid.ir/paper/200075/en

Vancouver: Copy

RAMEZANI JAVAD, KAMYABI YAHYA. EVALUATE THE EFFECT OF MOMENTUM THE EXPLANATORY MODELS FEATURE FIVE FACTORS IN EXPLAINING STOCK RETURNS. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2018;10(36):45-57. Available from: https://sid.ir/paper/200075/en

IEEE: Copy

JAVAD RAMEZANI, and YAHYA KAMYABI, “EVALUATE THE EFFECT OF MOMENTUM THE EXPLANATORY MODELS FEATURE FIVE FACTORS IN EXPLAINING STOCK RETURNS,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 10, no. 36, pp. 45–57, 2018, [Online]. Available: https://sid.ir/paper/200075/en

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