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...
| Format: | Article |
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| Language: | fas |
| Published: |
Shahid Bahonar University of Kerman
2013-05-01
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| Series: | مجله دانش حسابداری |
| Subjects: | |
| Online Access: | https://jak.uk.ac.ir/article_519_baf4763b348ec1449f82cd0509768218.pdf |