Appraising Expected Return Prediction on Corporate Using the Carhart Four-Factor Model

Document Type : Original Article

Authors

1 Master of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran

2 Department of Accounting, Associate Professor, Central Tehran Branch, Islamic Azad University, Tehran, Iran

Abstract

The aim of this study is to compare the ability to predict the expected return of the company by using Carhart four-factor model. This research is of library study and analytical- scientific kind and is based on the analysis of panel data. In this study, the financial information of 102 companies listed on the Stock Exchange in Tehran, during the period of 2003 to 2014 is studied (1224 companies - year). To analyze the results obtained from the study software's like Spss 20, Eviews7 and Minitab 16 have been used. The results in connection with the confirmation of the first hypothesis of the study showed that the expected returns forecasted using Carhart four-factor model is close to the actual one.

Keywords

Accounting and Auditing Research
Volume 9, Issue 35
October 2017
Pages 57-70

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