The Six-Factor Fama-French Model and Its Impact on Common Stock Returns Analysis: An Analytical Study of a Sample of Companies Listed on the Iraq Stock Exchange
DOI:
https://doi.org/10.58564/Keywords:
Fama-French, stock returns, momentum, loser portfolios, winner portfolios.Abstract
The main objective of the current research is to test the Fama-French Six model and its ability to explain the returns of common stocks of the researched companies in order to build an investment portfolio and evaluate its performance according to the performance of portfolios (winners, losers) according to momentum strategies. The published data issued by the Iraq Stock Exchange for the sectors (insurance, industry, agriculture, hotels, and services) were adopted, and a sample of (15) companies was selected to represent the entire research community for the period from (2013) to (2022), in light of the monthly closing prices of the sample companies' shares. A set of advanced financial and statistical laws was adopted to analyze the data of the companies included in the research. The ((Eview-10) program
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Copyright (c) 2026 Maryam Abdul-Ridha Bahaa Hussein Al-Modarres*, Assistant Prof. Dr. Jenan Ismail Salih
This work is licensed under a Creative Commons Attribution 4.0 International License.
