List of Articles French model

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  1 - To Compare the Explanatory Power of the Five-Factor Fama French Model with Carhart and q-Factor Models: Evidences from Tehran Stock Exchange
  Shahram babalooyan Mehrdokht mozaffari
  One of the most important issues in financial markets is the stock return prediction. The aim of this study to compare the explanatory power of five-factor Fama French model (2015) with four-factor Carhart model (1997) and q-factor HXZ model (2014) in relation to stock More

  One of the most important issues in financial markets is the stock return prediction. The aim of this study to compare the explanatory power of five-factor Fama French model (2015) with four-factor Carhart model (1997) and q-factor HXZ model (2014) in relation to stock returns.We find that the Five-Factor Fama French Model outperforms the Carhart and q-factor models over the period April 2010 - March 2015 in Tehran stock Exchange.In contrast to the study of Fama and French (2015) in U.S. stock market, we find that value factor (HML) is not redundant with adding CMA and RMW. The result also shows that among beta, size, value, Momentum, profitability and investment variables, only two factors (momentum and investment) don’t effect on stock return. Manuscript profile
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  2 - Review and Assessment of Capital Assets Pricing Models and Compare Them with the 5-Factor Model of Fama and French “Using Economic Variables Exchange; Rates, Inflation, Import and Liquidity”
  Mohammad Hossein Ranjbar Hossein Badiee Maysam Mohebi
  The present research tries to assess and compare the Capital Asset Pricing Models in stock exchange of Tehran. Financial data of 108 companies in stock market (2009-2014) are processed. The important issue is to use suitable patterns and models for evaluating and price More

  The present research tries to assess and compare the Capital Asset Pricing Models in stock exchange of Tehran. Financial data of 108 companies in stock market (2009-2014) are processed. The important issue is to use suitable patterns and models for evaluating and price setting in stock market. These models must have the ability to predict the behavior of the prices and also can estimate the outcome and efficiency of the so-called investment. The models investigated in this research, include the traditional investment financial pricing, 3-factor model and FAMA and French 5-factor and consumption investment models. In order to analyze the data and to test the hypothesis, we used OLS model for time series models. In this study, models are investigated according to the models of significance lateral distance from the source (Jensen's Alpha). A model, of which efficiency is high, should have a zero intercept. Generally, FAMA and French 5-factor models that were developed in 2014, work more efficiently. Then comes the Capital Asset Pricing Model Manuscript profile
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  3 - Mathematical Modeling of Information Risk Pricing with Autoregressive Distributed Lag (ARDL) Approach in the Iranian Capital Market
  Fatemeh Lotfaliyan Mahmud Hematfar Mohammad Hasan Janani
  The purpose of this study is to evaluate the information risk factor in increasing the power to explain the excess return on companies' stocks.Using the monthly stock' excess return data of 201 companies listed on the Tehran Stock Exchange during the period 2012 to 2021 More

  The purpose of this study is to evaluate the information risk factor in increasing the power to explain the excess return on companies' stocks.Using the monthly stock' excess return data of 201 companies listed on the Tehran Stock Exchange during the period 2012 to 2021, information risk factors including information asymmetry, stock price synchronicity, stock price delay reaction and conservatism separately and simultaneously to the five-factor Fama and French model (2013) were combined and regressed on the monthly stock excess return using the autoregressive distributed lag (ARDL) models. The results showed that by adding each of the information risk factors separately to the five-factor Fama and French model (2013), the explanatory power of this model increases. On the other hand, by adding the combined factor of information risk to five-factor Fama and French model (2013), its explanatory power increases. Also, the model, which includes all information risk factors simultaneously, has the greatest power to explain the stock' excess return of the companies and can explain approximately 20% of the monthly stock' excess return of companies. It can be concluded that corporate environmental information risk is priced by investors and is considered as a risk Premium factor. As a result, investors and financial analysts are advised to pay attention to the information risk elements of companies in stock pricing models and adjust their expected returns. Manuscript profile
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  4 - Speculative bubble and stock return
  Vali Nadi Ghomi Nasim Seif
  The bubble in the stock market and in general in all markets is a real phenomenon that can cause losses to investors. The main problem facing each investor in the capital market is the decision to select the securities for investing and creating an optimal portfolio of More

  The bubble in the stock market and in general in all markets is a real phenomenon that can cause losses to investors. The main problem facing each investor in the capital market is the decision to select the securities for investing and creating an optimal portfolio of stocks. Hence, stock valuation models have long been used by researchers  and investors. Solving  valuation puzzle reveals  the need to develop a comprehensive model that  describes the abnormal return . In this regards, although many efforts have been made and various models have been developed, none of these models has been able to fully explain this abnormal return. In this research, a pricing model in bubble conditions and an evaluation of the effective factors on stock returns are presented using the Fama-French model. For this purpose, the sample included 81 listed companies in the Tehran Stock Exchange( TSE) between 2009 and 2013, which have been selected . The results of this study reveal that among the five factors of the market, firm size, book value to price, momentum and bubble, only two factors of momentum and bubble affect the abnormal returns.     Manuscript profile
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  5 - An Evaluation of Mutual Funds Performance in Iranian Capital Market by combining Market Timing Models with the Fama and French three Factor Model
  Hossein Abdoh Tabrizi Behrang Asadi Gharehjeloo
  The aim of this study is to consider the combination of market timing models with Fama - French three factor model to evaluate the performance of mutual funds in Iran capital market. To follow this purpose, a sample of 12 mutual funds for the years of 2011-2015 has been More

  The aim of this study is to consider the combination of market timing models with Fama - French three factor model to evaluate the performance of mutual funds in Iran capital market. To follow this purpose, a sample of 12 mutual funds for the years of 2011-2015 has been chosen. At first step, active management skills including market timing & security selection based on Treynor-Mazuy & Henriksson –Merton models for individual funds and then for all of the funds, using panel model, was applied. The results show that there is no statistically significant market timing ability and security selection among any of these cases. Although a Positive statistically significant size and book to market ratio effect, respectively, in one and three mutual funds is observed. As a result of panel model, there is a negative statistically significant size effect and security selection, a positive statistically significant beta and book to market ratio, and there is no market timing ability in both Treynor-Mazuy & Henriksson –Merton models. In contrast to traditional models, combined models show better results.     Manuscript profile
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  6 - 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
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  7 - The Evaluation of Conditional Conservatism as Risk Factor
  Gholamreza Kordestani Mohammad Asle Roosta
  Evaluation of conditional conservatism based on the sensitivity of accounting earnings to economic bad news ( negative stock returns ) to pervasive feature of empirical research in accounting information has become . Improving the quality of accounting information , mar More

  Evaluation of conditional conservatism based on the sensitivity of accounting earnings to economic bad news ( negative stock returns ) to pervasive feature of empirical research in accounting information has become . Improving the quality of accounting information , market information processing , prices will lead to an appropriate level of investment risk by reducing the fluctuating stock prices dropped , resulting in reduced cost of capital . In this study , to evaluate the conditional conservatism as a risk factor , the data of 100 listed companies in Tehran Stock Exchange during the period 1382 to 1389 has been studied . Research findings show that conditional conservatism is considered a risk factor and the risk premium will be affected. Manuscript profile
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  8 - Implied Equity Duration and Excess Stock Return: The Evidence from Tehran Stock Exchange
  Afsaneh Soroushyar Hossein Kazemi Gavarti
  The purpose of this paper is to investigate the effect of value premium factor and implied equity duration factor on excess stock returns in Companies Listed in Tehran Stock Exchange. For testing the research hypotheses, the Fama - French Model (1993) is used. The evide More

  The purpose of this paper is to investigate the effect of value premium factor and implied equity duration factor on excess stock returns in Companies Listed in Tehran Stock Exchange. For testing the research hypotheses, the Fama - French Model (1993) is used. The evidence of previous research shows the relationship between the timing of firms' cash flows and value premium. Therefore, in this research, the effect of value premium factor on excess stock returns (similar to the Fama- French Model) are examined and then value premium factor replaced with implied equity duration. The statistical society is companies listed on Tehran Stock Exchange and the research sample includes 145 companies using the systematic elimination method, in the period of 2007-2016. The results indicate both value premium factor and implied equity duration factor have the significant and positive effect on the excess stock returns. Manuscript profile