Market Fragility and Stock Returns: Evidence from Tehran Stock Exchange
- سال انتشار: 1401
- محل انتشار: مجله حسابداری ، حسابرسی و امور مالی ایران، دوره: 6، شماره: 2
- کد COI اختصاصی: JR_IJAAF-6-2_005
- زبان مقاله: انگلیسی
- تعداد مشاهده: 232
نویسندگان
Department of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
Department of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
Department of Accounting and Management, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
Department of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
چکیده
Recognising and investigating stock return behaviour has always been one of the most critical issues in scientific and investment communities. In recent years, factor models have been used in many studies related to stock return prediction. This research is based on a six-factor model, including the Fama-French five-factor model plus the market fragility factor. The explanatory power of this model has been examined in the Tehran securities market from ۲۰۰۹ to ۲۰۱۸ for ۱۱۷ companies. The results show that the explanatory power of the six-factor model is better than the Fama-French five-factor model in the Iranian capital market. The results also suggest that market fragility has a significant negative relationship with stock returns. Policymakers can consider this result in financial and investment issues and people interested in this issue.کلیدواژه ها
Fama-French five-factor model, Market fragility, Risk, stock returnsاطلاعات بیشتر در مورد COI
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