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
Subject Areas : Journal of Investment Knowledge
Asgar
Noorbakhsh
1
((Ph.D), Faculty of Management and Accounting Sciences, Tehran University, Tehran, Iran)
Shahram
Irani janyarlou
2
((MSe),Faculty of Management and Accounting Sciences, Shahid Beheshti University, Tehran, Iran)
Keywords: Three-factor model, Stock Return, Premium risk, Five-factor model,
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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