Explaining stock anomalies using multifactorial asset pricing models

سال انتشار: 1402
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 166

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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

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