A COMPARISON BETWEEN BASIC FAMA AND FRENCH THREE FACTOR MODEL AND BASIC CARHART FOUR FACTORS MODEL IN EXPLAINING THE STOCK RETURN ON TEHRAN STOCK EXCHANGE

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IZADINIA NASER; EBRAHIMI MOHAMMAD; HAJIANNEJAD AMIN

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Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2014 | Volume:2 | Issue:3 (6) Page(s): 17-28

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Title

A COMPARISON BETWEEN BASIC FAMA AND FRENCH THREE FACTOR MODEL AND BASIC CARHART FOUR FACTORS MODEL IN EXPLAINING THE STOCK RETURN ON TEHRAN STOCK EXCHANGE

Author(s)

IZADINIA NASER | EBRAHIMI MOHAMMAD | HAJIANNEJAD AMIN | Issue Writer Certificate

Keywords

MOMENTUMQ2

SIZEQ2

EXCESS RETURNQ2

MARKET RISK PREMIUMQ2

BOOK VALUE TO MARKET VALUEQ2

Abstract

In the past two decades many researchers have used some kinds of factor models for explanation of stock returns. The aim of this study is comparing the explanatory power of two main multi-factor models in relation to stock returns. This study is based on a Carhart four-factor model. The variables in this model are MARKET RISK PREMIUM, value, SIZE and MOMENTUM factors. The aim of this study is evaluating the explanatory power of this model in Tehran Stock Exchange. The multivariate regression is used to analyze the propositions. The results show that the use of multi-factor models is better than one-factor model of capital asset pricing. The results also show that the four-factor model has not the advantage of Fama and French three-factor model, because only two variables (market risk and SIZE) influence on stock returns.

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APA: Copy

HAJIANNEJAD, AMIN, IZADINIA, NASER, & EBRAHIMI, MOHAMMAD. (2014). A COMPARISON BETWEEN BASIC FAMA AND FRENCH THREE FACTOR MODEL AND BASIC CARHART FOUR FACTORS MODEL IN EXPLAINING THE STOCK RETURN ON TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 2(3 (6) ), 17-28. SID. https://sid.ir/paper/245587/en

Vancouver: Copy

HAJIANNEJAD AMIN, IZADINIA NASER, EBRAHIMI MOHAMMAD. A COMPARISON BETWEEN BASIC FAMA AND FRENCH THREE FACTOR MODEL AND BASIC CARHART FOUR FACTORS MODEL IN EXPLAINING THE STOCK RETURN ON TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2014;2(3 (6) ):17-28. Available from: https://sid.ir/paper/245587/en

IEEE: Copy

AMIN HAJIANNEJAD, NASER IZADINIA, and MOHAMMAD EBRAHIMI, “A COMPARISON BETWEEN BASIC FAMA AND FRENCH THREE FACTOR MODEL AND BASIC CARHART FOUR FACTORS MODEL IN EXPLAINING THE STOCK RETURN ON TEHRAN STOCK EXCHANGE,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 2, no. 3 (6) , pp. 17–28, 2014, [Online]. Available: https://sid.ir/paper/245587/en

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