COMPARE THE EXPLANATORY POWER OF PREDICTIVE MODELS OF RETURNS IN TEHRAN STOCK EXCHANGE

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BOZORG ASL MOSA; MOSAJED MOUSAVI MIR SAJJAD

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Journal: JOURNAL OF FINANCIAL ACCOUNTING KNOWLEDGE Year:2018 | Volume:4 | Issue:4 (15) Page(s): 45-64

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Information Journal Paper

Title

COMPARE THE EXPLANATORY POWER OF PREDICTIVE MODELS OF RETURNS IN TEHRAN STOCK EXCHANGE

Author(s)

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

Keywords

FAMA AND FRENCH THREE-FACTOR MODELQ2

FAMA AND FRENCH FIVE-FACTOR MODELQ1

CAPITAL ASSET PRICING MODELQ2

Abstract

In this study, the explanation power of the CAPITAL ASSET PRICING MODEL, FAMA AND FRENCH THREE-FACTOR MODEL and the five-factor model are compared and tested. The study period is from 1382 to 1394 and was performed in Tehran Stock Exchange. Vuong test results showed that there are significant differences in explaining the stock return by CAPITAL ASSET PRICING MODEL and the five- factor model of Fama and French. However, differences in the use of CAPITAL ASSET PRICING MODEL and FAMA AND FRENCH THREE-FACTOR MODEL and also in the five- factor and three- factor model of Fama and French wasn't observed. But the explanatory power of the independent variable in the models was different. The Adjusted R^2 of the CAPITAL ASSET PRICING MODEL, FAMA AND FRENCH THREE-FACTOR MODEL and five factor model of Fama and French was 59, 61 and 62 percent. It was also found that the higher investing in firm rise stock return. This shows that with the addition of explanatory variables can be explanatory percent higher efficiency and the use of the five-factor model of Fama and French can be more effective in explaining returns.

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APA: Copy

BOZORG ASL, MOSA, & MOSAJED MOUSAVI, MIR SAJJAD. (2018). COMPARE THE EXPLANATORY POWER OF PREDICTIVE MODELS OF RETURNS IN TEHRAN STOCK EXCHANGE. JOURNAL OF FINANCIAL ACCOUNTING KNOWLEDGE, 4(4 (15) ), 45-64. SID. https://sid.ir/paper/252289/en

Vancouver: Copy

BOZORG ASL MOSA, MOSAJED MOUSAVI MIR SAJJAD. COMPARE THE EXPLANATORY POWER OF PREDICTIVE MODELS OF RETURNS IN TEHRAN STOCK EXCHANGE. JOURNAL OF FINANCIAL ACCOUNTING KNOWLEDGE[Internet]. 2018;4(4 (15) ):45-64. Available from: https://sid.ir/paper/252289/en

IEEE: Copy

MOSA BOZORG ASL, and MIR SAJJAD MOSAJED MOUSAVI, “COMPARE THE EXPLANATORY POWER OF PREDICTIVE MODELS OF RETURNS IN TEHRAN STOCK EXCHANGE,” JOURNAL OF FINANCIAL ACCOUNTING KNOWLEDGE, vol. 4, no. 4 (15) , pp. 45–64, 2018, [Online]. Available: https://sid.ir/paper/252289/en

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