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Analysis of five factor model of Fama and French in Tehran Stock Exchange

Beikzadeh Moghaddam, Mohammad Reza | 2017

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 50007 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Zamani, Shiva
  7. Abstract:
  8. Investors are looking for profit making oppurtunities and using them to maximize their wealth. For investing in stock exchange, investors should be able to valuate the stock price rationally, so that he/she can define which stocks are trading below their intrinsic value. Stock price is the discount of future dividends of stock, but for discounting accurate rate is needed. Main goal of this study is presenting a way to calculate the proper discount rate or expected rate of return for investors. Method which has been studied in this thesis is “Fama & French five factor asset pricing model” which has been publish 2015 (Fama & French, 2015). The model concentrates on five factors to describe the expected rate of return. Independent factors are: market premium, size premium, profitability and investment. This model was tested in Tehran Stock Exchange and the results were so good. Sample of the study includes data of price and dividend returns of companies listed in Tehran Stock Exchange which their fiscal year ends in Esfand (middle of March) and their book equity were positive for 5 years. Results of this thesis verify usinf five factor model in Tehran Stock Echnage and also it shows that the five-factor model not preform greatly better than three factor model
  9. Keywords:
  10. Tehran Stock Exchange ; Book to Morket Value ; Fama and French Five Factor Model ; Operating Profit ; Companies Size

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