List of Articles Five-factor Fama and French model

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  1 - 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