Determining the Number of Factors and Proposing a Multi-Factor Model: An Exploration of Iranian Market Data, M.Sc. Thesis Sharif University of Technology ; Baharmgiri, Mohsen (Supervisor) ; Hagh-Panah, Farshad (Supervisor)
Abstract
Asset pricing models are one of the most important tools in investment management and portfolio allocation. Multi-factor asset pricing models try to explain the relationship between risk and expected return through a limited number of macroeconomic, fundamental or statistical factors. Usually, these models are suggested based on the US market and its intrinsic qualities. Although, there are some similarities between the Iranian and the US market, these economies are structurally different and therefore, proposing a proper multi-factor model based on the Iranian market’s fundamental characteristics will greatly improve the understanding of risk-return relationship in this market. In this...
Cataloging briefDetermining the Number of Factors and Proposing a Multi-Factor Model: An Exploration of Iranian Market Data, M.Sc. Thesis Sharif University of Technology ; Baharmgiri, Mohsen (Supervisor) ; Hagh-Panah, Farshad (Supervisor)
Abstract
Asset pricing models are one of the most important tools in investment management and portfolio allocation. Multi-factor asset pricing models try to explain the relationship between risk and expected return through a limited number of macroeconomic, fundamental or statistical factors. Usually, these models are suggested based on the US market and its intrinsic qualities. Although, there are some similarities between the Iranian and the US market, these economies are structurally different and therefore, proposing a proper multi-factor model based on the Iranian market’s fundamental characteristics will greatly improve the understanding of risk-return relationship in this market. In this...
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