Evaluate the effect of momentum the explanatory models feature five factors in explaining stock returns
Author(s):
Abstract:
Market growth and financial instruments, the complexity of financial markets and investment categories of specialization requires investors and employees of financial markets, the tools, methods and models used in the selection of the best and most appropriate investment to its full portfolio What help. This led to theories, models and various methods for pricing financial assets and predict stock returns discussed and every day is developing and changing. This study aims to add momentum to the five-factor test a new model to explain stock returns in Tehran Stock Exchange is expected. Thus, the sample consisting of 108 companies during the years 1389 to 1393 were selected. To test the hypotheses, a hybrid approach to data analysis and multivariate regression were used. The results showed that the addition of momentum to the five-factor model does not increase the explanatory power of the model, but the five-factor model of Fama - French than five factor model and acceleration, more power to explain the expected return on stocks. The findings showed a much empirical validity of five factor model than other models in anticipation of the expected return on stocks
Keywords:
Language:
Persian
Published:
Financial Knowledge of Securities Analysis, Volume:10 Issue: 36, 2017
Pages:
45 to 57
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