Comparing the Fama & French three-factor model with the five-factor model of Fama & French in explaining stock returns of companies listed on the Tehran Stock Exchange

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NOORBAKHSH ASGAR; Irani Janyarlou Shahram

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Journal: INVESTMENT KNOWLEDGE Year:2021 | Volume:9 | Issue:36 Page(s): 251-269

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Title

Comparing the Fama & French three-factor model with the five-factor model of Fama & French in explaining stock returns of companies listed on the Tehran Stock Exchange

Author(s)

NOORBAKHSH ASGAR | Irani Janyarlou Shahram | Issue Writer Certificate

Keywords

Stock ReturnQ1

Premium riskQ1

Three-factor modelQ1

Five-factor modelQ1

Abstract

Stock Return is one of the basic concepts in the corporate finance paradigm that has several applications in corporate finance, one of these applications is the role of Stock Return in motivating investors to invest in corporate stocks. In this research the explanatory power of Stock Returns by Fama & French Three-factor model and five factor model and comparison of these two models in explanatory and predictive power Stock Returns of companies listed on the Tehran Stock Exchange during the period 2012-2019 were examined. This research in class of the field study and using techniques of panel data with fixed effects model and the generalized least squares method including the 2960 observations (Company / season) is done. According to the findings, explaining power of Stock Returns of companies listed on the Tehran Stock Exchange by the Five-factor model of Fama & French is more than compared with Three-factor model of Fama & French. Key words: Stock Returns, Equity risk premium, Three-factor model of Fama & French, Five-factor model of Fama & French.

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APA: Copy

NOORBAKHSH, ASGAR, & Irani Janyarlou, Shahram. (2021). Comparing the Fama & French three-factor model with the five-factor model of Fama & French in explaining stock returns of companies listed on the Tehran Stock Exchange. INVESTMENT KNOWLEDGE, 9(36 ), 251-269. SID. https://sid.ir/paper/409256/en

Vancouver: Copy

NOORBAKHSH ASGAR, Irani Janyarlou Shahram. Comparing the Fama & French three-factor model with the five-factor model of Fama & French in explaining stock returns of companies listed on the Tehran Stock Exchange. INVESTMENT KNOWLEDGE[Internet]. 2021;9(36 ):251-269. Available from: https://sid.ir/paper/409256/en

IEEE: Copy

ASGAR NOORBAKHSH, and Shahram Irani Janyarlou, “Comparing the Fama & French three-factor model with the five-factor model of Fama & French in explaining stock returns of companies listed on the Tehran Stock Exchange,” INVESTMENT KNOWLEDGE, vol. 9, no. 36 , pp. 251–269, 2021, [Online]. Available: https://sid.ir/paper/409256/en

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