Improving the Risk-Adjusted Return of the Portfolio by Implementing Capital Productivity in Tehran Stock Capital Productivity in Tehran Stock Exchange (2000-2007)

Abstract

For assessment of portfolio performance, it's crucial to adjust the
return by the risk which is taken. So it seems undeniable that for
measuring the risk-adjusted return of portfolio, we need an appropriate
and developed model for risk and asset pricing. Fama & French 3
factor model could explain several return anomalies. Recent studies
show that capital productivity effects on stock returns and the strategy
of selecting productive firms could lead to excess return on the base of
expected return of Fama & French 3 factor model. We in this research,
show that capital productivity in Tehran Stock Exchange (TSE) could
be a source of excess return too, and increases alpha in portfolio
assessment. We employed data of firms in TSE over 8 years from
2000 to 2007 to examine our hypothesis.:

Keywords

Files

Share

How to cite

Statistics