The aim of this study is to introduce the Risk Management Factor (RMF) as a risk premium factor in capital asset pricing model (CAPM) and multi-factorial models of Fama and French. To answer the research questions, the information of 120 firms listed on the Tehran Stock More
The aim of this study is to introduce the Risk Management Factor (RMF) as a risk premium factor in capital asset pricing model (CAPM) and multi-factorial models of Fama and French. To answer the research questions, the information of 120 firms listed on the Tehran Stock Exchange during the period 2011-2020 has been used. According to Fama and French research, the monthly returns of the portfolios have been used for analysis. Then, using the panel data regression approach and GRS test, the performance of the adjusted models with magnet effect was compared with the conventional models in explaining the stock returns. The results showed that Risk Management factor (RMF) is effective for pricing capital assets and the development of research models with this factor and the formation of corresponding adjusted models, improves the performance of those models in explaining the difference in stock returns. The results also showed that the adjusted six-factor model with the Risk Management factor showed better performance compared to the adjusted three and five-factor model and the adjusted CAPM with the Risk Management factor.‏
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