Momentum Factor Effect on the Explanatory Power of Fama -French Three-Factor Model: Evidence from Tehran Stock Exchange

Abstract We empirically tested, in Tehran Stock Exchange (TSE), the validity of the Carhart (1997) four-factor model by adding the price momentum factor as the fourth explanatory variable into the Fama-French three-factor model. The results imply that growth portfolio in comparison to value portfoli...

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Formato:	article
Lenguaje:	FA
Publicado:	Shahid Bahonar University of Kerman 2013
Materias:	keywords: price momentum carhart (1997) four factor model fama-french three factor model capm Accounting. Bookkeeping HF5601-5689
Acceso en línea:	https://doaj.org/article/f1ece2285a204c9aa5b9a4a7660f26cf
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spelling	oai:doaj.org-article:f1ece2285a204c9aa5b9a4a7660f26cf2021-11-04T19:44:15ZMomentum Factor Effect on the Explanatory Power of Fama -French Three-Factor Model: Evidence from Tehran Stock Exchange2008-89142476-292X10.22103/jak.2013.519https://doaj.org/article/f1ece2285a204c9aa5b9a4a7660f26cf2013-05-01T00:00:00Zhttps://jak.uk.ac.ir/article_519_baf4763b348ec1449f82cd0509768218.pdfhttps://doaj.org/toc/2008-8914https://doaj.org/toc/2476-292XAbstract We empirically tested, in Tehran Stock Exchange (TSE), the validity of the Carhart (1997) four-factor model by adding the price momentum factor as the fourth explanatory variable into the Fama-French three-factor model. The results imply that growth portfolio in comparison to value portfolio and also winner portfolio to loser portfolio have higher returns. However, with regard to Size factor no clear trend was observed. The average adjusted R2 across eight portfolios for single factor CAPM model, Fama-French three-factor model and Carhart four-factor model has been respectively 0.26, 0.50, and 0.56 showing a significant improvement in the four-factor model by adding the momentum factor to Fama-French model. Robustness of the Carhart four-factor model is also checked for two effects: up and down market conditions and seasonal behavior.Shahid Bahonar University of Kermanarticlekeywords: price momentumcarhart (1997) four factor modelfama-french three factor modelcapmAccounting. BookkeepingHF5601-5689FAمجله دانش حسابداری, Vol 4, Iss 12, Pp 59-88 (2013)
institution	DOAJ
collection	DOAJ
language	FA
topic	keywords: price momentum carhart (1997) four factor model fama-french three factor model capm Accounting. Bookkeeping HF5601-5689
spellingShingle	keywords: price momentum carhart (1997) four factor model fama-french three factor model capm Accounting. Bookkeeping HF5601-5689 Momentum Factor Effect on the Explanatory Power of Fama -French Three-Factor Model: Evidence from Tehran Stock Exchange
description	Abstract We empirically tested, in Tehran Stock Exchange (TSE), the validity of the Carhart (1997) four-factor model by adding the price momentum factor as the fourth explanatory variable into the Fama-French three-factor model. The results imply that growth portfolio in comparison to value portfolio and also winner portfolio to loser portfolio have higher returns. However, with regard to Size factor no clear trend was observed. The average adjusted R2 across eight portfolios for single factor CAPM model, Fama-French three-factor model and Carhart four-factor model has been respectively 0.26, 0.50, and 0.56 showing a significant improvement in the four-factor model by adding the momentum factor to Fama-French model. Robustness of the Carhart four-factor model is also checked for two effects: up and down market conditions and seasonal behavior.
format	article
title	Momentum Factor Effect on the Explanatory Power of Fama -French Three-Factor Model: Evidence from Tehran Stock Exchange
title_short	Momentum Factor Effect on the Explanatory Power of Fama -French Three-Factor Model: Evidence from Tehran Stock Exchange
title_full	Momentum Factor Effect on the Explanatory Power of Fama -French Three-Factor Model: Evidence from Tehran Stock Exchange
title_fullStr	Momentum Factor Effect on the Explanatory Power of Fama -French Three-Factor Model: Evidence from Tehran Stock Exchange
title_full_unstemmed	Momentum Factor Effect on the Explanatory Power of Fama -French Three-Factor Model: Evidence from Tehran Stock Exchange
title_sort	momentum factor effect on the explanatory power of fama -french three-factor model: evidence from tehran stock exchange
publisher	Shahid Bahonar University of Kerman
publishDate	2013
url	https://doaj.org/article/f1ece2285a204c9aa5b9a4a7660f26cf
_version_	1718444687035990016

Momentum Factor Effect on the Explanatory Power of Fama -French Three-Factor Model: Evidence from Tehran Stock Exchange

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