Studying the Relationship between Liquidity Risk and Market Risk with Non-Ordinary Return at Fama—French Three Factor Model at Tehran Stock Exchange

Shams, Mirfeiz Fallah; Abshari, Leila; Kordlouie, Hamidreza; Naghshineh, Nader; Gholipour, Mohsen

doi:10.5539/ibr.v7n2p53

Cited by 5 publications

(1 citation statement)

References 10 publications

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“…Along with this, Hamid, Hanif, Malook, and Wasimullah (2012) indicated that FF explained many variations in returns in Pakistan firms. Tackling this issue in Tehran, Shams et al (2014) showed that the influence of size and value factors was eliminated. Investigating this issue in Vietnam, Hoang et al (2013) found that FF1993 model are superior to CAPM.…”

Section: Literature Reviewmentioning

confidence: 99%

Application of asset pricing models: evidence from Saudi exchange

Salameh¹

2020

Investment Management and Financial Innovations

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The Saudi Arabia Stock Exchange (Tadawul) is one of the biggest emerging Stock Exchanges in the Middle East region. Therefore, this research aims to apply Fama and French (2015) 5-factor model on Tadawul, and compares it with the Fama and French 3-factor model and CAPM to check the applicability of the models in Tadawul and the identity of the factors that can affect stock returns. Furthermore, the Generalized Method of Moments (GMM) regression has been implemented to examine the impact between the variables in the models. Empirically, the results show that Fama and French (2015) 5-factor model is the most consistent model in comparison to the other two models in terms of explaining the cross-section of average stock returns in Tadawul. However, it is not the best according to the intercepts results of all the regressions in 2x3, 2x2, or 2x2x2x2 sorts. Besides, Fama and French (2015) 5-factor model has the highest explanatory power in most of the portfolios based on the adjusted R2 regardless of the sort (2x3, 2x2, or 2x2x2x2). Finally, the results conclude that Fama and French (2015) 5-factor model can be an applicable model in Tadawul but only market and size can affect the stock returns, while the value, profitability, and investment cannot. Accordingly, the author recommends that, as a continuation of this research, further research can be done, which investigates a model with additional factors like momentum and illiquidity.

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Section: Literature Reviewmentioning

confidence: 99%

Application of asset pricing models: evidence from Saudi exchange

Salameh¹

2020

Investment Management and Financial Innovations

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Implement Fama And French And Capital Asset Pricing Models In Saudi Arabia Stock Market

Aldaarmi¹,

Abbod²,

Salameh³

2015

JABR

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This paper applies two of the famous asset pricing models in finance (Capital Assent Pricing model and Fama and French 1993 three factor model) in an emerging market with an Islamic Culture: Saudi Arabia Market (Tadwal), Generalized Methods of Moments and t Test statistical techniques were used to find the coefficients and to compare between real and expected returns.The results show that Fama and French 1993 model has more explanatory power and do a better job in explaining the changes in stock returns than the CAPM, and those developed market models can be applicable in emerging markets like Saudi Arabia. CAPM model has a clear evidence for its applicability while Fama and French Model has a clear evidence for the market return but not a clear evidence for the size and book to market return. Finally the results show that we can predict the stock prices by using any of those two models which means that the Saudi Arabia Market is inefficient pricing Market.The modernity and low number of companies has a big effect on the results, in addition the strong purchasing power and strong cash availability.Finally we recommend to appply more modern pricing models at the micro and macro level and add variables consistent with the Islamic Culture of Saudi Arabia.

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Liquidity Risk and Its Determinants': A Study on Manufacturing Industry of Oil and Gas (Rosneft) in Russia

Sanglimuthu

2018

SSRN Journal

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Studying the Relationship between Liquidity Risk and Market Risk with Non-Ordinary Return at Fama—French Three Factor Model at Tehran Stock Exchange

Cited by 5 publications

References 10 publications

Application of asset pricing models: evidence from Saudi exchange

Application of asset pricing models: evidence from Saudi exchange

Implement Fama And French And Capital Asset Pricing Models In Saudi Arabia Stock Market

Liquidity Risk and Its Determinants': A Study on Manufacturing Industry of Oil and Gas (Rosneft) in Russia

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