Document Type : Research Paper
Authors
Abstract
This paper investigated the relationship between market return, firm size and book-to-market value of equity with return of equity in Tehran Stock Exchange (TSE). For this purpose we use Fama-French three factor model (1993) to investigate the effects of market return, firm size and book-to-market value of equity on equity return. We use OLS regression to analyzing the collected of data during 1376 to
1383. Our results indicate a significant relationship between three mentioned variable with equity returns.
The relationship between market return, and firm size with return of equity was positive, and the relationship between book-to-market value of equity with return of equity was negative. Also, our findings indicate that investing in firms with big size and low book-to-market value of equity ratio in TSE has more return for investors.
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