COMPARATIVE STUDIES OF FAMA & FRENCH AND REWARD BETA MODELS IN ESTIMATING EXPECTED STOCK RETURNS

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AKBARI MOGHADAM B.; REZAEI FARZIN; NOROUZI A.

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Journal: Journal of Economic Modelling Year:2009 | Volume:3 | Issue:1 (7) Page(s): 55-76

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Title

COMPARATIVE STUDIES OF FAMA & FRENCH AND REWARD BETA MODELS IN ESTIMATING EXPECTED STOCK RETURNS

Author(s)

AKBARI MOGHADAM B. | REZAEI FARZIN | NOROUZI A. | Issue Writer Certificate

Keywords

REWARD BETA MODELQ3

FAMA & FRENCH THREE-FACTOR MODELQ3

STOCK RETURNQ2

Abstract

In this article, two models of Reward Beta and Fama & French Three-Factor Model have been compared to estimate the expected returns in Tehran Stock Exchange. Results show Fama & French Three-Factors Model is more effective than RBM; meantime, there is a direct relation between the size of the company and the expected returns, whereas the ratio of book value to market value has reverse relation with the expected returns.

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APA: Copy

AKBARI MOGHADAM, B., REZAEI, FARZIN, & NOROUZI, A.. (2009). COMPARATIVE STUDIES OF FAMA & FRENCH AND REWARD BETA MODELS IN ESTIMATING EXPECTED STOCK RETURNS. ECONOMIC MODELLING, 3(1 (7)), 55-76. SID. https://sid.ir/paper/360704/en

Vancouver: Copy

AKBARI MOGHADAM B., REZAEI FARZIN, NOROUZI A.. COMPARATIVE STUDIES OF FAMA & FRENCH AND REWARD BETA MODELS IN ESTIMATING EXPECTED STOCK RETURNS. ECONOMIC MODELLING[Internet]. 2009;3(1 (7)):55-76. Available from: https://sid.ir/paper/360704/en

IEEE: Copy

B. AKBARI MOGHADAM, FARZIN REZAEI, and A. NOROUZI, “COMPARATIVE STUDIES OF FAMA & FRENCH AND REWARD BETA MODELS IN ESTIMATING EXPECTED STOCK RETURNS,” ECONOMIC MODELLING, vol. 3, no. 1 (7), pp. 55–76, 2009, [Online]. Available: https://sid.ir/paper/360704/en

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