Test of Fama and French Three-Factor Model Components Effects on Portfolio Return Variance

Document Type : Research Paper

Authors

Abstract

The purpose of this study is to test the Fama and French three-factor model in Tehran Stock Exchange. In order to do this, six portfolios including 616 stocks were formed for the years 2004-2009, regarding the size and the book values to the market value ratio. The results indicated that the beta, the size and the book value to market value ratio had significant effects on portfolio return. Adding two factors of the size of the company and the book value to market value ratio to the single factor CAMP resulted in increase in the coefficient of determination. This implies that the three-factor model describes variance variability of the percentage of portfolio return more than CAMP. Two factors of the size and the book value to market value ratio describe variance variability of the portfolio return considerably and their coefficients are statistically significant.

Keywords

References

- ایوانی، فرزاد (1378). بررسی رابطه بین بازده سهام عادی و نسبت ارزش دفتری به ارزش بازار سهام در شرکتهای پذیرفته شده در بورس اوراق بهادار تهران، پایان‌نامه کارشناسی ارشد، دانشگاه شهید بهشتی.
- حنیفی، فرهاد (1376). کارایی الگوی ارزشیابی دارایی‌های سرمایه‌ای در بورس اوراق بهادار تهران، پایان نامه کارشناسی ارشد، دانشگاه امام صادق (ع).
- رباط میلی، مژگان، (1386). مقایسه الگوی قیمت گذاری دارایی سرمایه ای با الگوی سه عاملی فاما و فرنچ در پیش بینی بازده مورد انتظار در بورس اوراق بهادار تهران، پایان‌نامه کارشناسی ارشد، دانشگاه الزهراء
- سلمانپورخوئی، مجید (1383). بررسی تاثیر اندازه شرکت بر نرخ بازده سهام در بورس تهران، پایان نامه کارشناسی ارشد، موسسه عالی آموزش و پژوهش مدیریت و برنامه‌ریزی.
- ظرایف فرد، احمد و قائمی، محمد حسین، (1382). آزمون تجربی الگوی قیمت گذاری دارایی های سرمایه ای در بورس اوراق بهادارتهران، مجله علوم انسانی و اجتماعی، ش 2، ص 52-41.
- Ashiq, A., Hwang, S.T. (2003). Arbitrage risk and the book–to- market anomaly, Journal of Financial Economics, Vol. 69, pp. 355-373.
-           Ajili, S. (2002). The capital asset pricing model and the three factor model of Fama and French revisited in the case of finance, Cohier de Recherche du Cereg university Paris Ixpuphine, pp. 1-26.
-           Banz, R.W. (1981). The relationship between return and market value of common stock", Journal of Finance Economics, Vol. 9, No. 1, pp. 3-18.
-           Basu, S. (1983). The relationship between earnings yield, market value and return for NYSE common stock: future evidence. Journal of Financial Economics, Vol. 12, pp. 129-156.
-           Chan, L.K., Yasushi, H. and Lakonishok J. (1991). Fundamental and stock returns in Japan, Journal of Finance, Vol. XLVI, No. 5, pp. 1739-1764.
-           Fama, E.F. and French, K.R. (1992). The cross-section of expected returns, Journal of Finance, Vol. 47, No. 2, pp. 427-465.
-           Fama, E.F. and French, K.R. (1996). The CAPM is wanted dead or alive. Journal of Finance, Vol. LI, No.5, pp. 1946-1958.
-           Jaffe, J., Keim D.B. and Westerfield, R. (1989). Earning yields, market values and stock returns". Journal of Finance, Vol. 44. No. 1 pp. 135-148.
-           Keim D.B. (1990). A new look at the effects of firm size and E/p ratio an stock returns. Financial Analysis Journal, March/April, pp.56-57.
-           Keim D.B. (2003). Financial market anomalies, http://www.google.com.
 
-           Lakonishock, J., Shleifer, R., and Wishng, W. (1994). Contrarian investment, extrapolation and risk, Journal of Finance, Vol. 49, pp. 1541-1578.
-           Lam, K. (2002). The relationship between size and book – to – market equity ratio, earning price ratio and return for the Hong Kong Stock, Global Finance Journal, Vol. 13, pp. 163-179.
-           Moska, A.P. (2004). Impact of fundamental variables on Mexican stock return. available at: http://proquest-umi.com/pqdweb
-           Rahmani, A., Sheri S. and Tajvidi E. (2006). Accounting variables, market variables and stock return in emerging markets, Case of Iran available at: www.ssrn.com.
 
 
Journal of Accounting Knowledge
Volume 3, Issue 11 - Serial Number 11
February 2013
Pages 161-180

Files

History

  • Receive Date: 26 February 2013
  • Accept Date: 26 February 2013

Share

How to cite

Statistics