Non-linear Test of the Effect of Firm Size on Stock Return in Tehran Stock Exchange

In a few recent decades with increasing extension of capital markets, investigating effective factors on stock return has become the most important and the most challenging financial management issues. So, different models such as capital asset pricing model and multifactor Fama and French are introduced for examine effective factors on stock return. However, the firm's size factor has been the main factor that is investigated in different studies. In previous studies in multifactor Fama and French, the relationship between firm's size and stock return are investigated as a simple linear relationship, while it might not be a linear form. In this research, with adding firm's size factor square to Fama and French model, the hypothesis of non-linear relation between the firm's size and stock return is examined.