Stock returns analysis based on Fama and French five-factor model in different time scales with wavelet analysis approach"Caste study:Tehran Stock Exchange"

The present research is the first research on Fama and French Factor model analysis using wavelet analysis approach in Tehran Stock Exchange. However, in the case of the three-factor model Rostami et al. (1396) in a research entitled "Multi-scale pricing model with wavelet analysis approach and three Fama-French factors and non-liquidity in Tehran Stock Exchange", a three-factor Fama and French model with a three-factor approach Wavelet decomposition. The relationship between stock returns with beta, book value to market value and firm size in the medium term are significant. The relationship between stock returns and size in the short run is significant. The regression analysis of the time scale of the Fama and French model of the five-factor model using the wavelet analysis in MATLAB software shows that in the short run (2-4 months), variables of size, risk and profitability have a positive and significant effect on returns. . In the medium term (4 to 8 quarterly periods), size, risk, value, and long-term (8 to 16 quarterly periods), risk and investment have a positive and significant effect on returns. Wavelet analysis and Famafrnch model analysis at different time scales show that investors in different time horizons should consider different factors in shaping their expectations of a portfolio. The proposed methodology suggests that investors choose investment opportunities with dynamic portfolio management strategies and take multi-dimensional risk and returns.