A Comparison of Explanation Power of Karhart And HXZ Model at Basic Form and by Using Conditional Dual-Beta
Subject Areas : Journal of Investment Knowledge
Hossein Aboutalebi
1
(Ph.D Student in Department of Accounting, Isfahan (Khorasgan) Branch,Islamic Azad University, Isfahan, Iran,)
Mohsen Dastgir
2
(Professor of Accounting, Isfahan (Khorasgan) Branch,Islamic Azad University, Isfahan, Iran)
Gholamreza Soleimani Amiri
3
(Associate Professor of Accounting, AlZahra University, Tehran, Iran)
Keywords: "expected return", "conditional beta", "Karhart model", "Q factor model",
Abstract :
Rate of stock return is the minimum rate that an investor should earn to get a sufficient return. There are various criterion to assess companies and investors expected return that using by investors and creditors. The purpose of this study is to comparison explanatory power of assessing stock rate of return models in Iran during 1391 to 1395 at seasonal basis. At this study Eviews software was used for statistics and data was combinatorial. Results shows that using dual conditional beta increase Carhart model explanatory power and therefore it is a better model for decision makers. Also at the basic format, HXZ model has better explanatory power than Carhart model and it is more useful for investment decision making.
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