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 |
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| Lenguaje: | FA |
| Publicado: |
Shahid Bahonar University of Kerman
2013
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/f1ece2285a204c9aa5b9a4a7660f26cf |
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