... )RM G ^ S NA 08MG =.1 )RM G ^ S NA.

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1 * $#% 0 ) *+, -./ 0 $#% &"#!" (203) / ) ; < / "= > 8.:& / 8/ / 8.89 E " 392 # C :& / 8"* 0? 3 9= N=MO*. 8"H=& IJ$ E. + KH= L*=M 4>G F +"* 9% ",R 8 IJ$ 3./ P=Q ) + 8"G ) + U 0IJ$ 8."T )S 8 CO= S "&. )A IJ$ =.: / 9= Eviews8, X#Y (973) VL : \ / 8.:& / 0LM 4 % 8S Z[ 4 % (8>+" 8S 0/ 0 "*. Z[ 8/ 8.:& / 8/ 8.:& / Z[ 3 "& : )S &G = 3]*../ \ LM.: 8Y ) ; < / 8.:& / " :OM. 08/ 0/ :% $ # 94/8/8 :"#J : c 94/9/4 :"#J E > c * $#% &"# :fm gm A.k.salehi@iaumis.ac.ir )*RM G ^ S NA 08MG =. * `[. _ 8MG 8 =& 8RA.2 )*RM G ^ S NA *#3 ^ S NA 08MG /</&.3 A a 0< a

2 394, 08 */ 0 08MG *). 0" k,. # 8.8 +i*j 8M 8?= 0O ) : i U* 8" 8"l 08>+" O : & kt / 8 `\#n m `\#n 3 "*. 0l 3.(200 8>+" " p "& Y9. / o )S "& / 3#.(969 0)U*. ) : / ru\ C " q^oy / ".` "& (CAPM) 8" 8. 8>+:*Y 0/ s n 8N# Y # 3JJ$ "l n= 8 8N# ) /* 8.+Y a 3O " Y 3 / tha "U r.: +./ "v.+y 3 u 8 8\ 8. 0 / "l.)s "&.#Q :OM : "& : (203) 0.N# 3 3 l U./?= 8 +.wt `Y 8 OY 8. " E a 8 a "& l ++ 8.:& / ; < 8.=& " "\ 8 +i*j N. J# )>+".& "T :*Y / :*Y 0i. *MJ 0i. "*l * #?= / 3N.)S "&.:& / ) 3.& "l x / "*. * mt 3 / "\ 8 :*Y ".)S 3U* / "\ y :*Y / y 3N "& =& / & ;% 3N i& 3N ), " # N 4 C./O :.H S "& S l " )*C 3 >+" 2 /.)S qg^n% "& / m "\ >+" 3./ 3 0/. a za 8.82 = ".)S KH= 8 "& 8/ : i& 3\ :*Y 3N.)S :*Y "& =M. :*Y 3N.)S :*Y "& =M. 08/./ ) 3O (203) )&.: ) " 8/ / wt. Capital Asset Pricing Model 2. Value Stock 3. Growth stock

3 "l {.2 3 =.: A )S ) k ) NA.2 0 {+ =M. # `^C )+&9= 0 {+. + Y {& }< ) /{ "Y^ # " "& =M. M O 8 +@U/.2 3 = 3]*...NA ) NA.2 ; )S 8." AH m.)s i*j O )>+" 8>+".* L*& ~, LQ& 8.:& /./ 0)), -.2 8>+:*Y " # ` LM kn " p `\#n 89. "& / o )S "& + (964) / (CAPM) 8"./ 4 \ L 8N# " "& / (Beta) L*=M LM / xj L 8N# ( ) " Q 8. 8 G :M " 8N# "Q +. Y J= 82 = "& O Y 0* "l 8.+Y 3O "n CAPM 3*= Nl (i& E y 8N a) i=.. wt (993) " 3O ) "& r. (997) `. 8 N 8.N# : + R )++ # 3JJ$ x.& / s n 8.+Y 8 G =M 3 k\ (202) )U*. R./ s n # 3JJ$ x 8 N 8.+Y. l 3.. a OY " 8>+" )* "T 203 "MJ l +.wt `Y " ) & s n 8..2 " = a l "l 8.)S.* 8 + OY 8. E 0i L E < & y= OY :: " "& : C i.?= 8. \ m t = τ = ( E ( d t + τ ) τ + r) ( ). Momentun

4 394, 08 */ 0 08MG r 0t+τ g?= 8J E(d t+τ ) 0t ) i :*Y m t 0"#\ 3 8. a - IY C " ` O J 3N.:?= )MU?= 0:& / 0t ) + 0() k#\ In.a 8 y?= 3 :*Y "& * 0/ "=/ `9= 8.:*Y LM 3 :*Y "& S 0/ Jn J\ 8>+:*Y +.:/ m t :*Y 8\ :*MY R 8 y.:,& *= 8>+" 8S 0 3 x () k#\ 9 ) 08U= E "& )A (96) N.* H= B/M?= )A s / " (2) kn "& S : " t ) :& / \ E m*r :: / E ( Yt + τ db t + τ ) (2) M t = τ = ( τ + r) P db t+τ =B t+τ -B t+τ- t+τ g 8 ) m*r Y t+τ "#\ 3 )OG% ;JG 8 = E imj "& : )OG% ;JG 8 = E :S : " 0/ 3 " "& 0t ) M t τ = B t E( Y t + τ db ( + r) = B t t + τ τ ) 8l E,l " 0qy.& )?= "=U " 0(3) k#\./ "= +? :Z (3) k#\ kj 0(r)?= 3N (M t ) i 8\ " 0B t /M t E " 8 = E :OM y J M t 3 J r S 8.,l " 0(3) k#\ J k*. M t 0qZ.: y?=?= S 8. "& + " "#\ 3./ "= +? :Z 0?= M t B t :Z J l 0R.a y?= 8\ " y l 8 /?= 8>+" " 8 = E :OM 0?= 8..: 3?= 8\ " "& ( 3). Miller and Modigliani

5 R 8.\ / " R 0: & R (3) k#\ "&.#Q x q a "& A.2.: /?= 8.8>+"?= S 8. "& & \?= 8S 8 ja/ 0/ R (202) r& -8 \T kn L (203))U*..S. 8Y kn 3N. & / 0 3N 8>+" 3 8S? () *U khm "& :/ )S (3) k#\ l 8.,N = 3 8>+" "R= & (993) " kn s / ", a " B/M " :* s n (4) Rit RF t = α i + βi ( RM t RF t ) + S i SMB t + H i ML t + r i RMV t + c i CMA t + εi t :)S "& :OM 3 `9 : `O "& " 8 = = HML =RMW t. " 8 = E 3 :OM " 8 = E 8y 8S.:& / y 8S.:& / 3 `9 "& 8S.:& / 3 `9 "& =CMA t.s : " i& : " (&"?$) 3 8>+".:& / ("Ml) y 8>+" 8S 0 " 8 = E 0 X " c i r i h i s i β i (4).S ) / 9% 3N i 89 za εi t i 89 8>+".(993 0 a.2.)s.=a a " )S " 993 * "O$ 8. P= r 8"O E <.89 "R= 3 ".)S.=a. P= )S " 8 ) + 9= E " 8 = E :OM 3 <U\ kn 3N 3 "& " )* "T (997) `. &. l ij=m kn 3N 8 Q "& : `. &.* s n Q 0 " 8N# CAPM 8>+:*Y 8na ), " " 8N# 0CAPM 8.na In 3N "& 8C "..&. 8 % 0/4 % 0/3 0% 0/35 X " `. & Q 8N#

6 394, 08 */ 0 08MG wt `Y 8 Q 8N# "&. )A `. & 8."=./ =G 0. *. 0$.& i )U*.... wt 8.+Y k*. :M=, `. & Q 8M :M "& * "v Q " 8l Q " Y `. & Q 8N# " 8N# 0= L*=M LM Q 3.. c 0O.)S " 8.:& / 0~, LQ& 8.:& / 89. y 8S.:& / 0 8>+" i& 8>+ "Q + "& 8S :/ :*. )S 8."= ) "& 9 j$.)s L. =M "=M NU C " 3 "& "R= 3 " =a a l )S " ?= 8. \nj ` P % a.2.)s.. wt 8>+" 8S 0B/M 8 = E 0:& / g 0 8.ta/ 3*_= "& 5 "& * 8 +"R= " :OM 3N 8 + po / 8>+" 8S 0 C " * 3 "Q + : = " )/ "T.* "v. 3N % :M & ) wt 8 " "MJ 08>+" 8S 8.@.: "=, 8 N*AQ C " U S " / R k* 3N 8.:& / i& 3N 8. :M Y "& : 3 3 )U*. 8Q.. wt *& 8S 0 8>+" i "& LQ& U* =M+ k* L 9= (205) "& )A.)S IJ$ =. & # = 8>+:*Y.. wt 8>+:*Y 8.8R " " :OM 4 % +/J 8.\ `9= sn Z[ A.2 (392) )U*. P=. Y )S Q 9= 4 % +/ X " "=M / "= +? # =& 8. P= ) " " 8 = E :OM LM 4 % 9= Z[ 0+/J `9= 8.\ sn "&. )A.2 3 =.:

7 4... Z " (392) )U*. /Y%.:/.a 4 % 3.=a ) ; < " 8N# $T ) " 8N# +.wt ), 8 (997) `. & l 8N#.2 8/ 89 "&. )A =.: / 9= (993) 0 89 "MJ 89 3]*. / 89 "MJ x=.: A.A g. 8 ~, 8. " 8N# 0(CAPM) L 8N# 8.9 / 3\ X T. )A "& : S : " % X " `. & Q 8N# N# $T ), V " 8N# " ), 8 `. & )S ) "& (392) 8 A k\#n = C / 8/ LU9 "?= 8,.=M /. )A 0/ R ) < Q % " % kmj " 8"\#n (393) )U*. ) ; < / "= > 8.:& / 3O `. & L Q & " "&. )A.2 =.=a : 3 &G.2 = 3]*..: X 08" 8. 8>+:*Y Q 3 " " :OM =, `. & Q "& 0(=) "=/>+ 0 LM 4 % P= (394) $#%,G.>+ Z[ 0 LM 4 % P= `. & Q +.k$t `Y kmj " A.2 ) ; < g/ "= > 8.:& /?= KH= 392# C :& / 8"* 0? 3.=a `Y 8 "&. )A.)S IJ$ =. +.:& / 3O `. & Q " :OM 8 +.wt " 8>+" ), "& : )S &G = 3]*.././.:& / 3O `Y, V "

8 394, 08 */ 0 08MG $4 $*3.3 8/ / 0LM 4 % 4 % 3 kn :. i. 8\ `9 8\ `9 8/ / 0LM4 3 kn:. i. 8\ `9 8/ / 0LM4 % 3 kn:. i. `9 8/ / 0LM4 % 3 kn :. i. 8\ `9 8/ / 0LM4 % 3 kn :. i. 8\ $ : N=MO*. m :.? 8 & 4.? @$,l N=MO*...2 m ) J=-Y 8 U \Y `^C TG.2 9= 8. "U " "l 3]*../ * 0IJ$ 3 8S k\l. & 8"JOC 8 r m ) )S 0: H / 392 ) 382 ) ; < / "= > 8.:& / 9= 0L*=M >G E" 8S k*3\8.(:& / :& /469) :& / \ / 8.:& /) :& / 238 \? 3.: / 8."T )S. S :l (:& / \ 8/ 8.:& /./ KH=.2.:{ {/ {R "G 8. `^C 8S { 0 k{g 8"{H=& E.2{ 8 {? {O 3{ 8 { kg 8,{& L{ {m^{c :{ {/ "{v `^C? 8. 8S + { xo { {^C u ; < ) " / "v # 8.`% "{,R 8 {.:{ / 9= 3 S ^C L -{ ){ +.:{ / 9= (973) V L U 0. S IJ$.:{ {. 8>+:*Y = S 8.E U 0(973) VL

9 43... (8S{ 8>{+" 0:& / / ) 8 0E 3.{/{ "O{$ L{M 4 {% J 0: Z. 8>+:*Y / j "& 8 (:& {/ {) 8{9 {. 8{.{ 0 :/ S "G. = r {.{/ 3\ 8 X T J / E? X {T 8. 0@. " p LM 4 % ko$ 8 0 g. L{ (:& {/ ) " 0:#G 3./ "G / S 8 a za X T O o "& :/ i.a / S {= N{ "& & = 0@. X T.O o 3= + 3N. L{ {. Z[{ {? "./ "v 0: (:& /) S x{ {/ "{v E {/ 8{/ 8{.:& / LM 4 % 8.@.:{ + { ={ = )S ".\ "& : / 9= (998) )U*. = = 0{ +{ { "{.:& / +. X T X 3 {[ {? { k{t 0. )A 8\ `9."MJ 3 U =G "& %. + $4 $89.5 : `O.2 8. P= LM ) - (RM) "& (RM RF) LM 4 % ) " ) ; ta/ IJ$ 3. + "O$ (R F ) 3 `9 < ) ; ta/. + Y 9=. + "O$ 8= ta/ imj 0 8= ta/ 8 ) ta/ =# :&A ; / ^ KM$# -, (R F ) LM ) ta/ / 8.:& / ~, 8.:& / 3 `9 "& ".:& / IOC "& RS./ )A SMB S : " LQ& /X g < "* 8.:& /? 3 0/ 8"JOC LQ& ~, k= g 8.:& / " %50 (B) ~, g 8.:& / " 8"O 3 8y %50 ~, 8.:& / g `9 ko$ 8 )S r./ zj=a (S) LQ&

10 394, 08 */ 0 08MG (3 LQ& 3 ~, g m*r 3N) LQ& 8.:& / g x= = 0LQ&. + "O$ kn I "+l ~, 8.:& / S / L + S / M + S / H B / L + B / M + B / H SMB = 3 3 U, 8>+" 8S 0 E 8 = E :OM 3*../ - `9 "& : (R i R F ) 89 LM 4 % "=M P= I C :& /..S : " (R F ) LM ) - (R i ) 89 :: S : " R it = [( + )( + α + β )] D it P it ( P it + Cα ) 00 P it + Cα 0t g i :& / i :*Y = P it 0t g i :& / i - = R it % = α 0t g i :& / i = D it 0t g ) i :& / i :*Y = P it ", % = β 08J S ", 8J S ", : =a * O = c 9= s / " (203) "T )S? " :: / Rit RF t = α i + βi ( RM t RF t ) + s i. SMB t + h i. HML t + r i. RMV t + c i. CMA t + εit RM t 0LM ) - RF t 0t g 89 "Y - Ri t :.)S "& RMW t 0 " 8 = HML t SMB t CMA t $4$*9.6 $4 <= $;.6. 8.S.* "v.2 8. u :\T & */ 9% 8.S "&. )A / "v =./ "v l / 8.:& / " p 9% 0(-0/0) -0/23 4 % 0(-0/4) 0/05 LM 4 %(") 3N 0/ 8.:& 0(0/04) 0/06 0(0/3) 0/09 0(0/3)

11 (-0/88) 4/94 LM 4 % 8. P= (@YG) Š&G.: (-0/03) -0/05 0(-0/07) 0/29 0(-0/06) 0(-/26) 0/29 4 %./ (-0/2) 0/08 8>+ 0(-0/0) 0/32 8S ( *, $()*) %&!"# $ : )3 /0 -. 0/73-0/88 4/94-0/4 0/05 R_RF 0/46 -/26 0/29-0/0-0/23 RM_RF 0/2-0/06 0/46 0/3 0/6 SMB 0/0-0/07 0/29 0/3 0/09 HML 0/ -0/0/ 0/32 0/04 0/06 RMW 0/0-0/2 0/08-0/03-0/05 CMA / "v =./ "v 2 l 8/ 8.:& / " p 9% 8.S 4 % 0(-0/4) 0/28 LM 4 % (") 3N 8/ 8.:& / "&. )A 0(0/4) 0/4 0(0/09) 0(-0/29) -0/38.: (0/05) 0/00 0(0/07) 0/07 ($* $()*) %&!"# $ : )3 /0 -. /07-0/84 5/39-0/4 0/28 R_RF 0/44 -/26 0/29-0/29-0/38 RM_RF 0/3-0/06 0/46 0/09 0/0 SMB 0/0-0/07 0/29 0/4 0/4 HML 0/0-0/0 0/32 0/07 0/07 RMW 0/0-0/2 0/08 0/05 0/00 CMA 4 % 0(-0/84) 5/39 LM 4 % 8. P= (@YG) Š&G 0&> 8.:& / 0/32 0(-0/07) 0/29 0(-0/06) 0/46 0(-/26) 0/29./ (-0/2) 0/08 0(-0/0)

12 394, 08 */ 0 08MG >9?-@$ A3 B.6.2 N=MO*. X T )S P= 3 na N=MO*. :l l 8.: / "v 3 l )S = / R 0.;<= >? :3 CMA RMW HML SMB RM_RF R_RF -. R_RF 0/05 RM_RF 0/22 0/07 SMB 0/05-0/42 0/28 HML -0/27-0/24 0/05 0/03 RMW -0/02 0/26-0/56-0/69 0/06 CMA N=MO*. IJ$ 8. P= Š& 3 0) gs = <. l 8\ $4 $89 C; /. P= "T )S. 0"= i*\ #U 0)U*. ) M G "A 8.)S P= "&. )A =. + "v 4 l = / 9= ) r )S S.)S 9= =M. % wn.2 8. P= *./* K & = " R A DEF A, 98/73 586/ /68 232/ / /50 %& $-.?? A, :4.?=6# C B? A, 67/99 720/ / /78 374/7 3006/7 AB= A; A, -29/24-22/02-39/65-27/66-42/35-42/7 -. R_RF RM_RF SMB HML RMW CMA.\ 0% wn.s * : &>

13 47... $4 $ ; = 08/ / 8.:& / "T )S :l "v 5 l )S = / S (973) VL 8"G ) + U.: + *, $* $()*%& H I?. :5 VIF --- 2/4 /75 /24 /20 2/94 $* $()* (8\) X T (0/77) 0/0 (0/00) /3 * (0/06) /8 (0/00) 4/3 ** (0/02) /99 (0/00) /97 %3/00 (0/00) 44/25 VIF --- 2/62 /82 /50 /6 2/84 (0/00) 2/92 (0/83) 0/2 (0/00) 6/49 * (0/09) /69 (0/00) 3/2 *, $()* (8\) X T (0/00) -0/27 * (0/05) 0/37 (0/00) /58 (0/78) 0/08 ** (0/0) 0/63 (0/23) 0/49 %8/50 (0/00) 6/92 P= O o RM_RF SMB HML RMW CMA 3\ X T (8\) A gs : kt : kt : kt :Q kt :ir kt %0 %5 0% wn 8\ X " * ** 0 X T (-0/27) O o "&. )A / 8.:& / S = " (0/63) :& / 8S X T % l N J.\ %5 %0 wn X A gs 8\.: / 8.:& 8. P= 3 nai., 3\ X T.: % wn / S & 8\ N (6/92)

14 394, 08 */ 0 08MG P= ` P % 8/5 8. P= 0/ 8.:& / "&. )A.* 3O "=M X T. )A 8/ 8.:& / S X T 0% wn (/97) (4/3) N J \ %5 %0 wn X " (/99) 8S.: 8/ 8.:& 8. P= 3 l.: % wn 0/ S & 8\ g. )A (44/25) A gs 8\ 3 G 08/ 8.:& 8. P= "&. )A, /@\ 3\ X T.& 3O "=M P= ` P % 9= X T 08/ / 8.:& /.2 S r kt )S zja.: / "MJ (998) )U*. = = )S 4 Z[ "&. )A % wn (2/92) )S gs 8\ :& / 0 Z[ 3 "=/ 8\ `9 i. 8/ / 8.:& / 0LM.:.2 kt N 0mT 3.: 8\ `% " 8/ 8.:& / X T kmj :l (0/2) )S gs 8\ `9 08/ / 8.:& / Z[ "&. )A, 8/ / 0.2 kt )S 8./.2 kt >#. i. 8\ 0LM 4 % Z[ "&. )A % wn (6/49) )S gs 8\ 8/ 8.:& / 0 Z[ 3 "=/ 8\ `9 i. 8/ / 8.:& / S 8\ 0,.2 Q kt )S zja.: 8Y 8\ `% " 0LM 4 % Z[ "&. )A %0 wn (/69) )S 8/ 8.:& / 0 Z[ 3 "=/ 8\ `9 i. 8/ / 8.:& / wn.2 ir kt )S :l (3/2) )S gs 8\ 03]*..: 8Y 8/ / 8.:& / 0LM 4 % Z[ "&. )A %.: 8Y 08\ `% " 8/ 8.:& / 0 Z[ 3 8\ `9 i. 0/ X T 08/ / 8.:& / S r.: / S (973) VL 8"G ) + U 9= 0LM

15 % 8S Z[ "&. )A."T )S 8\ = "*. Z[ 8/ 8.:& / : \ / 8.:& / 0LM 0 Z[ 3 / \ LM 4 % (8>+" 8S 0/ 0 8.:& / "&. )A, /@\ 3\ X T.: 8Y 8/ 8.:& / : #G 3 0& 3O "=M P= ` P %3 8. P= 08/ 3 "U "l 3.: %8/5 G / 8.:& / 3\ X T "& " 3O "& : A.2 3#.2 3 "& * ) S : " = < 0: "= + `% ) 3 /?= +.wt `Y 8 8/ 8.:& / 8 +"R= 3 + S. k*. 8 / 8.:& / E : 3U* "& #G : / == VL 8"G U 9=./ 3 "R= 08 N I) $H.8 " q* mt 3 "& O l ^C 8.N.:& / a 8. ( # "* KH= x / U "./.:& / 8 `^C 03]*.. + 4>G "*.:& / 3Q 0. ) < = IJ$ 3 = i*\ 03./ 4>G "*.)S `9= 8>+" 8.:& /. + `% p=g.:& " N "& #G.: / 9= ta/ ko$ :l (K.* 9= ), :\% ta/.ta/ ) # `^C IJ$ 3 ) # `^C Z[ / #*=G 8. (.(: "= + Y 9= / ` Z xj TG IJ$ 0 " (.* P g, IJ$ = : 3U* "& #G

16 394, 08 */ 0 08MG I) $/.9 % 0/.9. s / " IJ$ 8.A a )S S : " = / R IJ$ 8= :/ ) : "= + Y ) " 3# "& - OY 8. " :OM l # L ) " 8y +. wt `Y.* L*& ; < J# )>+" "?= / 8.:& / i. 3 "&. )A 3A 8. " :OM 3. 8 = 8 & :Y 8/ 8.:& / i. 8#8.G:U# E =M+ 8j=YI * M J < "& RS -2 )>+" + A 0 XM& )>+" IA? " 0& 9...& a 8>+" LM 08/ 8.:& / 8>+" =a 8 `^C : y zja 3, < # ) N$ -3 0A& 8j=Y ka Q :&A 3*T.+S Y J# )>+" IJ$ 3 = 3]*..S i. ) " " )*C `Ol 8." AHm.)S i*j O )>+" 8>+" O 8 +@U/.* L*& 8/ 8.:& / a ; $I) $/.9.2 `. & Q 8. +.wt ) kmj - 8/ / 8.:& / 3O 3O 3+. / +.wt ) kmj -2 8/ / 8.:& / ja/ L 9= 8/ / 8.:& /?= -3 " 0(CAPM) /

17 5... K " % kmj.(393). 02)lG. 0*. 0.) 08,. ) ; < /"= > 8.:& / 3O `.& Q % (3) 2 0# 3[ : LU9 "?= 8 `. & )S.(392).m 08 A (6) 4 0 ; : # "R. / 8/ `. & Q +.wt `Y kmj.(394). 0$#%. 0,G.. G ^ S NA 0//& k). 8N# $T ) Z.(392).s 08 UM.m 0"y 0..< 0 /Y% (2) 4 08MG "R. ) ; < 8./ : " +/J 8.\ `9= sn Z[.(392).< 0RY. 0RY 0.m.< 0*/. 3[ : "j. Q 9= 4 % (2) 0# Aharoni, G., Grundy, B. and Zeng, Q. (203). Stock Returns and the Miller Modigliani Valuation Formula: Revisiting the Fama French Analysis. Journal of Financial Economics, 0 (2): Carhart, M. (997). On Persistence on Mutual Fund Performance. The Journal of Finance, 52 (): Chiah, D.C. (205). A better model? An empirical investigation of the Fama- French. Electronic copy available at: Fama, E.F., Fisher, L., Jensen, M.C. and Roll, R. (969). The Adjustments of Stock Prices to New Information. International Economic Review, 0 (): -2. Fama, E.F. and French, K. (992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47 (2): Fama, E.F. and French, K. (993). Common Risk Factor in the Returns on Stocks and Bonds. Journal of Financial Economics, 33 (): Fama, E.F. and French, K. (203). A Five-Factor Asset Pricing Model. ssrn.com/abstract= Fama, E.F. and MacBeth, J.D. (973). Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy, 8 (3):

18 394, 08 */ 0 08MG Hou, K., Xue, C. and Zhang, L. (202). Digesting anomalies: An investment approach. Unpublished Working Paper. The Ohio State University. Jegadeesh, N. and Titman, S. (993). Returns to buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48 (): Miller, M. and Modigliani, F. (96). Dividend Policy, Growth, and the Valuation of Shares. The Journal of Business, 34 (4): Novy-Marx, R. (202). The other Side of Value: The Gross Profitability Premium. Journal of Financial Economics, 08 (): -28. Paternoster, R., Brame, R., Mazerolle, P. and Piquero, A.R. (998). Using the Correct Statistical Test for the Equality of Regression Coefficients. Criminology, 36 (4): Rowl, B. and Pasaribu, F. (200). Asset Pricing Model Selection, Journal Akuntansi & Manajemen, 2 (3): Sharpe, W.F. (964). Capital Asset Prices: a Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 9 (3):

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