Explanatory Power of Fama and French Three-Factor Model vs Capital Asset Pricing Model Focusing on Firms' Life Cycle

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BOZORG ASL MOSA; MOSAJED MOUSAVI MIR SAJJAD

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Journal: Journal of Empirical Research in Accounting Year:2019 | Volume:8 | Issue:2 (30) Page(s): 321-344

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Title

Explanatory Power of Fama and French Three-Factor Model vs Capital Asset Pricing Model Focusing on Firms' Life Cycle

Author(s)

BOZORG ASL MOSA | MOSAJED MOUSAVI MIR SAJJAD | Issue Writer Certificate

Keywords

Fama and French Three-Factor ModelQ2

Capital Asset Pricing ModelQ1

Life Cycle HypothesisQ1

Abstract

This study deals with the life cycle of firms as one of the explaining factors of return. The statistical population consists of firms listed in Tehran Stock Exchange over the period from 2003 to 2017. To evaluate the effect of the life cycle, firms are classified based on accounting information (sales growth, capital expenditures) and life (growth firms, mature firms and stagnant firms). The Capital Asset Pricing Model (CAPM) and Fama and French three factor model (3FF) are evaluated in each class and also for all firms. Vuong test results reject any difference between information content of capital assets pricing model (CAPM) and Fama and French Three-Factor Model (3FF). Adjusted coefficient of determination in both models is the highest in mature firms and the lowest in stagnant firms. Also Cramer Z test indicates that firms' life cycle is effective on the explanatory power of models in the study.

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APA: Copy

BOZORG ASL, MOSA, & MOSAJED MOUSAVI, MIR SAJJAD. (2019). Explanatory Power of Fama and French Three-Factor Model vs Capital Asset Pricing Model Focusing on Firms' Life Cycle. JOURNAL OF EMPIRICAL RESEARCH IN ACCOUNTING, 8(2 (30) ), 321-344. SID. https://sid.ir/paper/241072/en

Vancouver: Copy

BOZORG ASL MOSA, MOSAJED MOUSAVI MIR SAJJAD. Explanatory Power of Fama and French Three-Factor Model vs Capital Asset Pricing Model Focusing on Firms' Life Cycle. JOURNAL OF EMPIRICAL RESEARCH IN ACCOUNTING[Internet]. 2019;8(2 (30) ):321-344. Available from: https://sid.ir/paper/241072/en

IEEE: Copy

MOSA BOZORG ASL, and MIR SAJJAD MOSAJED MOUSAVI, “Explanatory Power of Fama and French Three-Factor Model vs Capital Asset Pricing Model Focusing on Firms' Life Cycle,” JOURNAL OF EMPIRICAL RESEARCH IN ACCOUNTING, vol. 8, no. 2 (30) , pp. 321–344, 2019, [Online]. Available: https://sid.ir/paper/241072/en

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