A COMPARISON BETWEEN FAMA-FRENCH FIVE FACTOR MODEL AND CARHART FOUR-FACTOR MODEL IN EXPLAINING THE STOCK RETURN OF COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE

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VAKILIFARD HAMID REZA; BADRIAN ELAHE; EBRAHIMI MOHAMMAD

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Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2017 | Volume:5 | Issue:1 (16) Page(s): 17-29

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Title

A COMPARISON BETWEEN FAMA-FRENCH FIVE FACTOR MODEL AND CARHART FOUR-FACTOR MODEL IN EXPLAINING THE STOCK RETURN OF COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE

Author(s)

VAKILIFARD HAMID REZA | BADRIAN ELAHE | EBRAHIMI MOHAMMAD | Issue Writer Certificate

Keywords

FAMA AND FRENCH FIVE FACTOR MODELQ1

CARHART FOUR FACTOR MODELQ1

FAMA AND FRENCHQ1

THREE FACTOR MODELQ2

PROFITABILITY FACTORQ2

Abstract

Predicting stock returns has been one of the most important financial market issues. In this paper, we compare the five-factor model of FAMA AND FRENCH model and four-factor model of Carhart to explain stock returns of listed companies in the Tehran Stock Exchange during 1387-1392. Carhart model variables include market risk premium, value, size and momentum. The variables included in the five factor model of FAMA AND FRENCH are market risk premium, value, size, momentum and PROFITABILITY FACTORs. The results show that there is a significant relation between stock return and market risk premium, size, and value factors.However, momentum and profitability do not show a significant relation with stock returns.In other words, the results show that in the Tehran Stock Exchange, FAMA AND FRENCH threefactor model is credible, while Carhart four-factor model and FAMA AND FRENCH five-factor model does not valid.

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APA: Copy

VAKILIFARD, HAMID REZA, BADRIAN, ELAHE, & EBRAHIMI, MOHAMMAD. (2017). A COMPARISON BETWEEN FAMA-FRENCH FIVE FACTOR MODEL AND CARHART FOUR-FACTOR MODEL IN EXPLAINING THE STOCK RETURN OF COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 5(1 (16) ), 17-29. SID. https://sid.ir/paper/245680/en

Vancouver: Copy

VAKILIFARD HAMID REZA, BADRIAN ELAHE, EBRAHIMI MOHAMMAD. A COMPARISON BETWEEN FAMA-FRENCH FIVE FACTOR MODEL AND CARHART FOUR-FACTOR MODEL IN EXPLAINING THE STOCK RETURN OF COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2017;5(1 (16) ):17-29. Available from: https://sid.ir/paper/245680/en

IEEE: Copy

HAMID REZA VAKILIFARD, ELAHE BADRIAN, and MOHAMMAD EBRAHIMI, “A COMPARISON BETWEEN FAMA-FRENCH FIVE FACTOR MODEL AND CARHART FOUR-FACTOR MODEL IN EXPLAINING THE STOCK RETURN OF COMPANIES LISTED IN THE TEHRAN STOCK EXCHANGE,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 5, no. 1 (16) , pp. 17–29, 2017, [Online]. Available: https://sid.ir/paper/245680/en

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