مقايسه قدرت پيش بيني براي مدلهاي فاما و فرنچ و ارزش بتا و بازده مورد انتظار سهام

Comparative Studies of Fama & French and Reward Beta Models in Estimating Expected Stock Returns

In this article, two models of Reward Beta and Fama & French Three- Factor Model have been compared to estimate the expected returns in Tehran Stock Exchange. Results show Fama & French Three-Factors Model is more effective than RBM; meantime, there is a direct relation between the size of the company and the expected returns, whereas the ratio of book value to market value has reverse relation with the expected returns.