Assess the predictive power of Capital Assets Pricing Models considering of financial transparency

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Baharestan Jalal; Khanmohammadi Mohammadhamed; YAZDANI SHOHREH

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

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Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:9 | Issue:33 Page(s): 397-415

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Title

Assess the predictive power of Capital Assets Pricing Models considering of financial transparency

Author(s)

Baharestan Jalal | Khanmohammadi Mohammadhamed | YAZDANI SHOHREH | Issue Writer Certificate

Keywords

The three factor model of FamaQ1

FrenchQ1

The five factor model of FamaQ1

FrenchQ1

Transparency factorQ1

Tehran Stock Exchange Transparency IndexQ1

Abstract

Given the growth and development of markets and financial instruments, investors and financial analysts need methods and models that enable them to select the best stocks with the highest return. In this study, effect of financial reporting transparency on CAPM model, three factor model of Fama and French and five factor model of Fama and French, has been investigated. Financial reporting transparency is measured using Tehran Stock Exchange Transparency Index. To test the hypotheses to data from 94 companies during the period from 1387 to 1396 and the time series regression method have been used. The results show that The five factor model of Fama and French have more predictive power than The three factor model of Fama and French and the CAPM model. Also according to the results, the value factor is not known as an exogenous factor. Also results show that adding Transparency factor to all three models, enhances the predictive power of all three CAPM models, The three factor model of Fama and French and The three factor model of Fama and French.

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APA: Copy

Baharestan, Jalal, Khanmohammadi, Mohammadhamed, & YAZDANI, SHOHREH. (2020). Assess the predictive power of Capital Assets Pricing Models considering of financial transparency. INVESTMENT KNOWLEDGE, 9(33 ), 397-415. SID. https://sid.ir/paper/408901/en

Vancouver: Copy

Baharestan Jalal, Khanmohammadi Mohammadhamed, YAZDANI SHOHREH. Assess the predictive power of Capital Assets Pricing Models considering of financial transparency. INVESTMENT KNOWLEDGE[Internet]. 2020;9(33 ):397-415. Available from: https://sid.ir/paper/408901/en

IEEE: Copy

Jalal Baharestan, Mohammadhamed Khanmohammadi, and SHOHREH YAZDANI, “Assess the predictive power of Capital Assets Pricing Models considering of financial transparency,” INVESTMENT KNOWLEDGE, vol. 9, no. 33 , pp. 397–415, 2020, [Online]. Available: https://sid.ir/paper/408901/en

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