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- Title
Market Leverage Effect in Fama Frech Model.
- Authors
Abbasian, Ezatollah; Tehrani, Reza; Amiri, Mojtaba Pakdin
- Abstract
The model is investigated. Among the companies listed on the Tehran Stock Exchange, the number of statistical samples in the years under review (2016-2017) includes 1408 companies / year. According to the purpose of this research and the performed test, the result of the present research shows; In the three-factor model test, the effect of market factor and size is significant and the effect of value factor is not significant. Also, in the findings of the test of the three-factor adjustment model and considering the market leverage, the results indicate that the effect of market factors, value, size is significant. In both tests, the effect of market factor is significant and direct and the effect of size factor is significant and inverse. Also, the research results show that the value of the adjusted coefficient of determination in the modified three-factor model is more than the initial model and the addition of market leverage will improve the explanatory power of the model.
- Publication
Financial Management Perspective / Chashm/&āz-i Mudīriyyat-i Mālī, 2021, Vol 11, Issue 33, p9
- ISSN
2645-4637
- Publication type
Article