improving the risk-adjusted return of the portfolio by implementing capital productivity in tehran stock capital productivity in tehran stock exchange (2000-2007)

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.: