Market Fragility and Stock Returns: Evidence from Tehran Stock Exchange
عنوان مقاله: Market Fragility and Stock Returns: Evidence from Tehran Stock Exchange
شناسه ملی مقاله: JR_IJAAF-6-2_005
منتشر شده در در سال 1401
شناسه ملی مقاله: JR_IJAAF-6-2_005
منتشر شده در در سال 1401
مشخصات نویسندگان مقاله:
Javad Sadeghi Panah - Department of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
Mansour Garkaz - Department of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
Parviz Saeidi - Department of Accounting and Management, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
Alireza Matoufi - Department of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
خلاصه مقاله:
Javad Sadeghi Panah - Department of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
Mansour Garkaz - Department of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
Parviz Saeidi - Department of Accounting and Management, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
Alireza Matoufi - Department of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran
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.
کلمات کلیدی: Fama-French five-factor model, Market fragility, Risk, stock returns
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1445342/