Multi-Factor asset pricing model in Iranian Capital Market

Eight-factor pricing model of Skocˇir and Loncˇarski (2018) is a development of Fama and French (2016). They attempt to improve the explanatory power of the model by adding three factors; default risk, liquidity and momentum, in response to some anomalies of the model. Findings show that explanatory power of the model depends highly on variable selection. Efficiency of the model has not been approved in the mentioned confidence interval. But, evidence of the new factors` power and their impact on improvement of the model shows that in combination with 5- factor model, momentum has better performance and default has the worst performance. In addition, through combination of 2 factors, intercept analysis implies that combination of liquidity and momentum leads to a better performance.