Explaining stock anomalies using multifactorial asset pricing models

سال انتشار: 1402
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 164

فایل این مقاله در 23 صفحه با فرمت PDF قابل دریافت می باشد

استخراج به نرم افزارهای پژوهشی:

لینک ثابت به این مقاله:

شناسه ملی سند علمی:

JR_AMFA-8-3_002

تاریخ نمایه سازی: 19 تیر 1402

چکیده مقاله:

This study investigates the effects of stock anomalies on excess stock and unexplained returns of multifactorial models in the companies listed at the Tehran Stock Exchange. We selected a sample of ۱۲۰ companies listed at the Tehran Stock Exchange from ۲۰۰۸ to ۲۰۱۹ using the Fama-Macbeth [۱۸] regression approach. The results revealed that stock anomalies led to considerable differences in excess stock returns of different portfolios, implying that stock returns at different anomaly levels significantly differ. In addition, it was found that the anomalies related to stock characteristics greatly impacted explaining excess stock returns in the three-factor and five-factor models suggested by Fama and French. Besides, in different portfolios of the anomalies, the unexplained return rates were significantly different from each other. Moreover, in Fama and French's three-factor and five-factor models, different anomaly portfolios show significant differences in explaining excess stock returns.

نویسندگان

Morteza Mahmoudi

Accounting, Islamic Azad University, Urmia Brnach Departmet of Accounting, Islamic Azad University, Urmia Brnach, Urmia

jamal bahri sales

Department of Accounting, Urmia Branch, Islamic Azad University, Urmia, Iran

Saeed Jabbarzadeh Kangarlouie

Department of Accounting, Urmia Branch, Islamic Azad University, Urmia, Iran

Ali Ashtab

Department of Accounting, Urmia University, Urmia, Iran

مراجع و منابع این مقاله:

لیست زیر مراجع و منابع استفاده شده در این مقاله را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود مقاله لینک شده اند :
  • Alamifar, S., Khani, A., Amiri, H., Development of Fama and ...
  • Amihud, Y., I., lliquidity and stock returns: cross-section and time-series ...
  • Arabzadeh, M., Foroughi, D., Amiri, H., Explaining accrual anomaly using ...
  • Doi:۱۰.۲۲۰۵۹/frj.۲۰۱۸.۲۶۱۳۳۹.۱۰۰۶۶۹۰. (in Persian) ...
  • Banz, R. W., The Relationship between Return and Market Value ...
  • Bashir Khodaparsati, R. Saba, M., Boroumandzadeh, H., Efficiency of Fama ...
  • Basu, S., Investment Performance of Common Stocks in Relation to ...
  • Basu, S., The Relationship Between Earnings Yield, Market Value, and ...
  • Bhandari, L., Debt/Equity Ratio and Expected Common Stock Returns: Empirical ...
  • Bin, G., Zhang, Y., Zhange, H., The Five-factor Asset Pricing ...
  • Bozorg Asl, M., Masjed Mousavi, M., Comparison of Explanatory Power ...
  • Carhart, M.,On Persistence on Mutual Fund Performance, Journal of Finance, ...
  • Durnev, A., Morck, R., Yeung, B., Zarowin, P., Does Greater ...
  • Fama, E., French, K., The cross-section of expected stock returns, ...
  • Fama, E., French, K., Common Risk Factor in the Returns ...
  • Fama, E., French, K. A., Five-Factor Asset Pricing Model, Journal ...
  • Fama, E., French, K., A Five-Factor Asset Pricing Model. ssrn.com/abstract, ...
  • Fama, E., Eugene F., MacBeth, D., Risk, Return, and Equilibrium: ...
  • Hou, K., Xue, C., Zhang, L., Digesting Anomalies: An Investment ...
  • Huynh, T., Explaining anomalies in Australia with a five-factor asset ...
  • Izadinia, N., Ebrahimi, M., Hajiannejad, A., Comparison of Fama and ...
  • Izadinia, N., Nazarzadeh, Y., The relationship between earning quality and ...
  • Jafari, M., Misaghi Farooji, J., Ahmadvand, M., Comparison of capital ...
  • Kiamehr, A., Banayi, M. H., Hemmatfar, M, Explaining the role ...
  • Kordestani, G., Tayefeh, S., Qualitative Characteristics of Common Stock Capital ...
  • Konstantin, K. B., Runge, P., Charifzadeh, M., An Analysis and ...
  • Kubota, K., Takehara, H., Does the Fama and French Five-Factor ...
  • Lee, D., Kim, M., Kim, T., Abnormal Trading Volume and ...
  • Lintner, J., The Valuation of Risk Assets and the Selection ...
  • Lin Q., Residual momentum and the cross-section of stock returns: ...
  • Pantzalis, Christos., Xu, Ziwei, Does Stock Return Synchronicity Really Matter ...
  • Rahimpour, M., Ghaemi, M., Evaluation of Pricing Model and Time-Calendar ...
  • Ranjbar, M. Badiei, H., Mohebbi, M., Investigation and evaluation of ...
  • Rosenberg, B., Reid, K., Lanstein, R., Persuasive Evidence of Market ...
  • Sadeghi Sharif, J., Talaneh, A., Askari Rad, H., Investigating the ...
  • Sharpe, W.F., Capital Asset Prices: A Theory of Market Equilibrium ...
  • Soleimanian, G. R., Foroughi, D., Amiri, H., The performance of ...
  • Sundqvist, T., Tests of a Fama-French Five Factor Asset Pricing ...
  • نمایش کامل مراجع