This study aimed to present a model for portfolio risk premium assessment of companies listed in Tehran Stock Exchange. In order to achieve this purpose, monthly data of 150 companies listed in Tehran Stock Exchange during 2007-2017 was used. In this study, the predictive powers of FamaFrench three-factor model [11], Carhart four-factor model [1], Fama - French five-factor model [24], Brousseau...

This paper provides an alternate method of evaluating portfolio performance of stock pricing models. We apply Pitman Closeness Criterion to compare the accuracy of three popular pricing models. This comparison is used to assess which, if any, model outperforms the others. In assessing model performance over a long period of time, we find that the Fama-French three-factor model and the Carhart f...

participants at the workshops at Tulane University and the annual Financial Management Association meetings, two anonymous referees and many of our colleagues for helpful comments at various stages of this research. We also thank Lipper Analytical Services, Inc. for providing data on monthly total net assets and returns, and thank Mark Carhart for data on factor returns to estimate four-factor ...

Employing a new proxy for liquidity, this paper examines its impact on stock returns in the context of the Fama-French framework. We augment the Carhart four-factor model with a liquidity factor and employ individual and system regression techniques. Using an extensive dataset drawn from the Australian equities market, we find a significant illiquidity premium and evidence that liquidity explai...

For determining the expected return, and asset pricing, CAPM (Capital pricing model) is being used dominantly grounded on only market (systematic) risk-factor though several anomalies have been revealed in this model. Fama French (1993) addressed those developed Three-factor model by combining size value factors besides factors. Over time, Carhart (1997) has further a addressing momentum factor...

About 50 million people in the world suffer from epilepsy, especially in childhood, adolescence and old age. Available treatment fails to control epilepsy in up to 30% of affected people. In developing countries, however, the amount of patients that do not receive adequate treatment climbs up to 75%. Moreover, the new generation of antiepileptic drugs (AEDs) causes important central and periphe...

The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies ...

Article history: Received 12 June 2012 Received in revised form 22 March 2013 Accepted 8 April 2013 Available online 28 April 2013 I use the second Hansen and Jagannathan (1997) distance measure (HJD) to examine whether index-based models similar to Cremers, Petajisto, and Zitzewitz (forthcoming) are more reliable benchmark models of expected returns than the Fama and French (1993) and Carhart ...

Abstract This paper suggests innovative investment strategies drawing on return seasonalities. By means of an out-of-sample study the German stock market, we report that these long–short earn average raw returns up to 233 basis points per month throughout two decades from 1998 2017. On a monthly basis, this documents outperformance corresponding Heston and Sadka (J Financ Econ 87(2):418–445, 20...