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  1 - Modelling Portfolio Pricing in Tehran Stock Exchange
  zahra karimi zahra farshadfar
  Knowing effective factors on optimum portfolio assignment is one of the mainissues facing finance market investors. Therefore, the present empirical study aimsto assign optimum portfolio pricing pattern in Tehran Stock Exchange. Hence, RCAPM,Fama and French and Carhat p More

  Knowing effective factors on optimum portfolio assignment is one of the mainissues facing finance market investors. Therefore, the present empirical study aimsto assign optimum portfolio pricing pattern in Tehran Stock Exchange. Hence, RCAPM,Fama and French and Carhat pricing pattern were studied. A combination oftwo methods (panel data and apparent portfolio) were used for 2012-2020. Datasample consisted of 176 active companies in Tehran Stock Exchange. Initially, datawere divided into two groups: the first group used for portfolio making and modelestimation and the second group used for optimum portfolio assignment. Foroptimum assignment MAD, MSE, RMSE, MAPE index were used. Resultsindicated that portfolio comprising big companies had a negative effect oninvestment return, while portfolio comprising small companies had positive return.Momentum factor of portfolio comprising winning companies was positive while inportfolio comprising losing companies was negative. Finally, it can be concludedthat in Tehran Stock Exchange Carhat pricing pattern has better performancecompered to RCAPM or Fama and French pricing pattern during the mentionedperiod. Manuscript profile