FAMA FRENCH 5 FACTOR MODEL VERSUS ALTERNATIVE FAMA FRENCH 5 FACTOR MODEL: EVIDENCE FROM SELECTED ISLAMIC COUNTRIES
نویسندگان
چکیده
In this study, the validity of five-factor model in developing and underdeveloped countries was investigated 2012-2020, as well to be created by using inflation rate instead risk-free interest rate, answers questions its comparison with original model. seeking an answer question, Pakistan, Malaysia, Indonesia Turkey were selected interest-sensitive investors. Kuala Lumpur Composite Index (KLCI) for Jakarta Islamic (JKII) Indonesia, Karachi Meezan (KMI) Pakistan Participation (KATLM) study analysis carried out on top 30 companies index.In terms portfolios, it is seen that different portfolios are effective highest excess return countries. fact, has been observed portfolio extreme a country lowest other country. It can only said excessive small firms greater than large firms. Looking at fluctuation returns, markets risky, while Malaysia least risky. As result analysis, evidence obtained little advantage over they very close each other. FF5F also markets, investors rate.
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ژورنال
عنوان ژورنال: Bilimname
سال: 2021
ISSN: ['1304-1878']
DOI: https://doi.org/10.28949/bilimname.952079