مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Verion

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

video

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

sound

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Version

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

View:

924
مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Download:

0
مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Cites:

Information Journal Paper

Title

The Efficient Fama and French Five-Factor model in the Offensive and Defensive Shares

Pages

  109-130

Abstract

 The main goal of investors is to maximize wealth. Wealth depends on two factors: risk and Returns. For this reason, it is vital for shareholders to predict these two factors. The purpose of the present research is to use the five-factor model of Fama & French to predict stock Return in offensive and defensive share. For this reason, 105 companies were selected through the systematic disposal method for the period of seven years, from 2008-2016. Also, in this research the beta coefficient has been used to identify offensive and Defensive shares. After the formation of portfolio and factors calculation, the cross-sectional regression was used to analyze the data. After analyzing classical hypotheses and co-Linearity test, the final model for each of the offensive and Defensive shares were estimated. The results of the research show that value factor and size as a redundant variables but the profitability factor have. The profitability factor has a negative effect on the additional Return of Defensive shares and do not have effect on the additional Returns of the shares offensive. The investment factor has a positive effect on the additional Returns of the shares offensive and do not have effect on the additional Returns of the Defensive shares.

Cites

  • No record.
  • References

  • No record.
  • Cite

    APA: Copy

    BASHIR KHODAPARASTI, RAMIN, Saba, Mina, & Boromandzadeh, Hossein. (2019). The Efficient Fama and French Five-Factor model in the Offensive and Defensive Shares. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 6(4 (23) ), 109-130. SID. https://sid.ir/paper/261686/en

    Vancouver: Copy

    BASHIR KHODAPARASTI RAMIN, Saba Mina, Boromandzadeh Hossein. The Efficient Fama and French Five-Factor model in the Offensive and Defensive Shares. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2019;6(4 (23) ):109-130. Available from: https://sid.ir/paper/261686/en

    IEEE: Copy

    RAMIN BASHIR KHODAPARASTI, Mina Saba, and Hossein Boromandzadeh, “The Efficient Fama and French Five-Factor model in the Offensive and Defensive Shares,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 6, no. 4 (23) , pp. 109–130, 2019, [Online]. Available: https://sid.ir/paper/261686/en

    Related Journal Papers

    Related Seminar Papers

  • No record.
  • Related Plans

  • No record.
  • Recommended Workshops






    Move to top
    telegram sharing button
    whatsapp sharing button
    linkedin sharing button
    twitter sharing button
    email sharing button
    email sharing button
    email sharing button
    sharethis sharing button