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


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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

Assistant Professor, Department of Socio-Economic Systems and Economics Institute for Management and Planning Studies (IMPS) , a.fattahi@imps.ac.ir
Abstract:   (677 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 1188 kb]   (26 Downloads)    
Type of Study: Research | Subject: Special
Received: 2016/06/5 | Accepted: 2017/07/29 | Published: 2017/07/29

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