M.A. Thesis:

Investigating the explanatory power of Mispricing factor in comparison with Fama and French Five-Factor Model in relationship with Stock Return

One of the problems that there is in relation to the exchange of shares by investors and capital market activists, their inability in measuring and estimating correctly stock return on futures in order to properly price the shares. Therefore, has been introduced various models for stock pricing one of the most important of these models, is the 5th Fama and French model. Despite the fact that most studies have been approved fama and Farang's findings on the Impact of the Factors of the CAPM Model on extra stock returns, however some studies have reported contradictory results and believe affect some other factors on the extra stock returns. Considering these cases, in this study paid explains the explanatory power of the element of the error pricing ratio to the elements of five-factor Fama and French model in relation to stock return. Using a sample of 135 companies listed in the Tehran Stock Exchange during the years 86 - 95 and use regression model to test the research hypotheses, the research results indicate that five elements fama and French models (Other than the investment factor) there is a significant impact on stock returns. Also the results show that pricing error element increases stock returns. This means that in addition to the 5 elements which is introduced in the capital asset pricing model, other factors can explain additional stock returns.

Keywords: Stock Pricing, 5-factor Model Fama and French, Stock Return, Pricing Error.