A COMPARISON BETWEEN CAPM, FAMA AND FRENCH‘S MODELS AND ARTIFICIAL NEURAL NETWORKS IN PREDICTING THE IRANIAN STOCK MARKET

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JAFARI SEYEDEH MAHBOOBEH; MISAGHI FAROUJI JAVAD; AHMADVAND MAYSAM

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Journal: JOURNAL OF ECONOMICS & BUSINESS RESEARCH Year:2013 | Volume:4 | Issue:5 Page(s): 53-63

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Title

A COMPARISON BETWEEN CAPM, FAMA AND FRENCH‘S MODELS AND ARTIFICIAL NEURAL NETWORKS IN PREDICTING THE IRANIAN STOCK MARKET

Author(s)

JAFARI SEYEDEH MAHBOOBEH | MISAGHI FAROUJI JAVAD | AHMADVAND MAYSAM | Issue Writer Certificate

Keywords

ARTIFICIAL NEURAL NETWORKQ3

CAPITAL ASSET PRICING MODELQ2

FAMA & FERENCH THREE FACTORS MODELQ2

PREDICTING STOCK RETURNQ2

Abstract

Comparison between the CAPITAL ASSET PRICING MODEL, Fama & Ferench three factors model and ARTIFICIAL NEURAL NETWORK models in predicting Tehran Stock Exchange returns is discussed in this research. The first two models are linear and the following are nonlinear. Four hypotheses have been designed for this purpose. To examine these hypotheses, the expected return was calculated daily during 1383 to 1387 for 110 companies. Companies in each quarter have divided to 6 portfolios by size and Book to Market value factors.Results showed that the performance of Fama & Ferench three factors model is better than CAPITAL ASSET PRICING MODEL. Also Univariable and Multyvariable ARTIFICIAL NEURAL NETWORK models have better performance in compare with their corresponding nonlinear models.

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APA: Copy

JAFARI, SEYEDEH MAHBOOBEH, MISAGHI FAROUJI, JAVAD, & AHMADVAND, MAYSAM. (2013). A COMPARISON BETWEEN CAPM, FAMA AND FRENCH‘S MODELS AND ARTIFICIAL NEURAL NETWORKS IN PREDICTING THE IRANIAN STOCK MARKET. JOURNAL OF ECONOMICS & BUSINESS RESEARCH, 4(5), 53-63. SID. https://sid.ir/paper/201528/en

Vancouver: Copy

JAFARI SEYEDEH MAHBOOBEH, MISAGHI FAROUJI JAVAD, AHMADVAND MAYSAM. A COMPARISON BETWEEN CAPM, FAMA AND FRENCH‘S MODELS AND ARTIFICIAL NEURAL NETWORKS IN PREDICTING THE IRANIAN STOCK MARKET. JOURNAL OF ECONOMICS & BUSINESS RESEARCH[Internet]. 2013;4(5):53-63. Available from: https://sid.ir/paper/201528/en

IEEE: Copy

SEYEDEH MAHBOOBEH JAFARI, JAVAD MISAGHI FAROUJI, and MAYSAM AHMADVAND, “A COMPARISON BETWEEN CAPM, FAMA AND FRENCH‘S MODELS AND ARTIFICIAL NEURAL NETWORKS IN PREDICTING THE IRANIAN STOCK MARKET,” JOURNAL OF ECONOMICS & BUSINESS RESEARCH, vol. 4, no. 5, pp. 53–63, 2013, [Online]. Available: https://sid.ir/paper/201528/en

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