A Comparison of Explanation Power of Karhart And HXZ Model at Basic Form and by Using Conditional Dual-Beta

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Aboutalebi Hossein; DASTGIR MOHSEN; Soleimani Amiri Gholamreza

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Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:9 | Issue:35 Page(s): 255-276

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Information Journal Paper

Title

A Comparison of Explanation Power of Karhart And HXZ Model at Basic Form and by Using Conditional Dual-Beta

Author(s)

Aboutalebi Hossein | DASTGIR MOHSEN | Soleimani Amiri Gholamreza | Issue Writer Certificate

Keywords

conditional betaQ1

expected returnQ1

Q factor modelQ1

Karhart modelQ1

Abstract

Rate of stock return is the minimum rate that an investor should earn to get a sufficient return. There are various criterion to assess companies and investors expected return that using by investors and creditors. The purpose of this study is to comparison explanatory power of assessing stock rate of return models in Iran during 1391 to 1395 at seasonal basis. At this study Eviews software was used for statistics and data was combinatorial. Results shows that using dual conditional beta increase Carhart model explanatory power and therefore it is a better model for decision makers. Also at the basic format, HXZ model has better explanatory power than Carhart model and it is more useful for investment decision making.

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APA: Copy

Aboutalebi, Hossein, DASTGIR, MOHSEN, & Soleimani Amiri, Gholamreza. (2020). A Comparison of Explanation Power of Karhart And HXZ Model at Basic Form and by Using Conditional Dual-Beta. INVESTMENT KNOWLEDGE, 9(35 ), 255-276. SID. https://sid.ir/paper/402982/en

Vancouver: Copy

Aboutalebi Hossein, DASTGIR MOHSEN, Soleimani Amiri Gholamreza. A Comparison of Explanation Power of Karhart And HXZ Model at Basic Form and by Using Conditional Dual-Beta. INVESTMENT KNOWLEDGE[Internet]. 2020;9(35 ):255-276. Available from: https://sid.ir/paper/402982/en

IEEE: Copy

Hossein Aboutalebi, MOHSEN DASTGIR, and Gholamreza Soleimani Amiri, “A Comparison of Explanation Power of Karhart And HXZ Model at Basic Form and by Using Conditional Dual-Beta,” INVESTMENT KNOWLEDGE, vol. 9, no. 35 , pp. 255–276, 2020, [Online]. Available: https://sid.ir/paper/402982/en

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