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

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, t...

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Autores principales:	Ebrahim Abbasi, Ghaffar Ghezeljeh
Formato:	article
Lenguaje:	FA
Publicado:	Shahid Bahonar University of Kerman 2013
Materias:	fama and french three-factor model beta size and book value to market value ratio portfolio return capm Accounting. Bookkeeping HF5601-5689
Acceso en línea:	https://doaj.org/article/8287824c3d884022a358d48b1652be62
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spelling	oai:doaj.org-article:8287824c3d884022a358d48b1652be622021-11-04T19:43:23ZTest of Fama and French Three-Factor Model Components Effects on Portfolio Return Variance2008-89142476-292X10.22103/jak.2013.508https://doaj.org/article/8287824c3d884022a358d48b1652be622013-02-01T00:00:00Zhttps://jak.uk.ac.ir/article_508_b4c22b2f005730d09a484d384872e683.pdfhttps://doaj.org/toc/2008-8914https://doaj.org/toc/2476-292XThe 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.Ebrahim AbbasiGhaffar GhezeljehShahid Bahonar University of Kermanarticlefama and french three-factor modelbetasize and book value to market value ratioportfolio returncapmAccounting. BookkeepingHF5601-5689FAمجله دانش حسابداری, Vol 3, Iss 11, Pp 161-180 (2013)
institution	DOAJ
collection	DOAJ
language	FA
topic	fama and french three-factor model beta size and book value to market value ratio portfolio return capm Accounting. Bookkeeping HF5601-5689
spellingShingle	fama and french three-factor model beta size and book value to market value ratio portfolio return capm Accounting. Bookkeeping HF5601-5689 Ebrahim Abbasi Ghaffar Ghezeljeh Test of Fama and French Three-Factor Model Components Effects on Portfolio Return Variance
description	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.
format	article
author	Ebrahim Abbasi Ghaffar Ghezeljeh
author_facet	Ebrahim Abbasi Ghaffar Ghezeljeh
author_sort	Ebrahim Abbasi
title	Test of Fama and French Three-Factor Model Components Effects on Portfolio Return Variance
title_short	Test of Fama and French Three-Factor Model Components Effects on Portfolio Return Variance
title_full	Test of Fama and French Three-Factor Model Components Effects on Portfolio Return Variance
title_fullStr	Test of Fama and French Three-Factor Model Components Effects on Portfolio Return Variance
title_full_unstemmed	Test of Fama and French Three-Factor Model Components Effects on Portfolio Return Variance
title_sort	test of fama and french three-factor model components effects on portfolio return variance
publisher	Shahid Bahonar University of Kerman
publishDate	2013
url	https://doaj.org/article/8287824c3d884022a358d48b1652be62
work_keys_str_mv	AT ebrahimabbasi testoffamaandfrenchthreefactormodelcomponentseffectsonportfolioreturnvariance AT ghaffarghezeljeh testoffamaandfrenchthreefactormodelcomponentseffectsonportfolioreturnvariance
_version_	1718444662347268096

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

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