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...

Full description

Bibliographic Details
Main Authors: Ebrahim Abbasi, Ghaffar Ghezeljeh
Format: Article
Language:fas
Published: Shahid Bahonar University of Kerman 2013-02-01
Series:مجله دانش حسابداری
Subjects:
Online Access:https://jak.uk.ac.ir/article_508_b4c22b2f005730d09a484d384872e683.pdf