THE FOUR-FACTOR MODEL AND STOCK RETURNS IN BANGLADESH

For determining the expected return, and asset pricing, CAPM (Capital pricing model) is being used dominantly grounded on only market (systematic) risk-factor though several anomalies have been revealed in this model. Fama French (1993) addressed those developed Three-factor model by combining size value factors besides factors. Over time, Carhart (1997) has further a addressing momentum factor three of which known as four-factor Though kinds research conducted three-factor model, little works accompanied an evolving like Bangladesh. The goal work to examine validity loftier explanatory power Dhaka Stock Exchange (DSE). From regression analysis we found that market, size, value, explain excess stock return. This study indicates lowest GRS F-statistic, highest adjusted R-squared, Sharpe ratio contrast superior statistical model.
 JEL Classification Codes: G12, G13, G14.