Volume 21, Issue 3 (Autumn 2016)                   2016, 21(3): 49-66 | Back to browse issues page

XML Persian Abstract Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Jalali Naeeni A R, Fattahi A A, Pakdel Bonab S. Evaluating the Capability of Uni-factor and Multi-factor Models for Predicting the Stocks Registered in Tehran Stock Exchange. The Journal of Planning and Budgeting. 2016; 21 (3) :49-66
URL: http://jpbud.ir/article-1-1351-en.html
Institute for Management and Planning Studies (IMPS) , a.fattahi@imps.ac.ir
Abstract:   (2507 Views)

Investigating the relationship between risk and return and determining the effective factors on the return have always been an interesting subject for finance researchers. By using a capital asset pricing model (CAPM), Sharp (1963) and Linter (1965) investigated that the whole market return is the only effective factor on stocks returns. Chen, Roll and Ross (1986) mentioned that there are indeed many factors affecting the stocks return, other than Beta and the firms' factors. 
In this research, we investigate the capability of uni-factor and multi-factor models for predicting the stocks registered in Tehran Stock Exchange for the period 2002 to 2013. The results show that the uni-factor explains only %17 of the stock market variations, whereas the multi-factor models explains %61 of it. Additionally, it is shown that the variable oil price, long run bank interest rate, inflation rate and GDP are not significant factors in predicting the stock price.

Full-Text [PDF 1198 kb]   (1577 Downloads)    
Type of Study: Research | Subject: Special
Received: 2016/06/5 | Accepted: 2017/07/29 | ePublished: 2017/07/29

Add your comments about this article : Your username or Email:

© 2019 All Rights Reserved | The Journal of Planning and Budgeting

Designed & Developed by : Yektaweb