Studying the Expected Returns Based on Carhart Model Com-pared to CAPM Model and Implicit Capital Cost Model Based on Cash and Capital Flow of Growth and Value stocks

Advances in Mathematical Finance and Applications

مقاله 5، دوره 2، شماره 4، اسفند 2017، صفحه 61-79   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2017.536267

نویسندگان

Akram Khani Farahani^{* 1}؛ Majid Sheshmani²؛ Ali Mohades³

¹Department of Management, Arak Branch, Islamic Azad University, Arak, Iran

²Department of Financial Management, Faculty of Management, Tehran University, Tehran, Iran

³Department of Business Management, Faculty of Management, Tehran University, Tehran

چکیده

The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies were selected as the statistical sample. The present research is an applied research and is naturally a descriptive study. Descriptive and inferential statistics were used to describe the data, and to analyze the data, SPSS software was used. Also, the results showed that there is a significant difference between the mean of total returns and returns from the capital profit of growth and value stock; while there is no significant difference between the average cash flow of growth and value stocks. In addition to growth stocks, the expected returns on the basis of Carhart model are closer to real returns compared to expected returns based on the capital asset pricing model. But about value stock, the expected returns on the basis of Carhart model are not closer to actual returns compared to expected returns based on the capital asset pricing model and the cost of capital, and ultimately for growth stocks, expected returns based on Carhart model compared with expected returns, the implicit capital cost model is closer to actual returns.

کلیدواژه‌ها

Carhart model؛ Implicit capital cost model؛ Capital asset pricing model

مراجع

[1] Babaloyan, S., Mozafari, M., Comparison of the predictive power of the Fama and French Factor Model with Four-factor Caractor Model and q-factor model HXZ in Explaining Stock Returns, Financial Knowledge Analysis of Securities,2016, 9(30), P.17–32.

[2] Bagherzadeh, S., Factors Affecting Stock Returns in Tehran Stock Exchange, Financial Research, 2005, 19(5), P.25–64.

[3] Banz, R., The Relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics, 1981, 9(5), P.3-18.

[4] Bartholdy J., Pear P., Estimation of expected CAPM vs. Fama and French, International Review of Financial Analysis, 2005, 14(5), P.407-427.

[5] Blazenko G.W., Yufen, F., Value Versus Growth in Dynamic Equity Investing, Journal of Investing ,2010, 19(1), P. 25-31.

[6] Botosan. A., Christinne, A., Marlene, P., Estimating expected cost of equity capital: A theory-based approach, 2001 ,19(1), P.25-31.

[7] Chen L., Zhao X., Understanding the Value and Size premia: What Can We Learn from Stock Migrations, 2009 ,5(3), P.16-27.

[8] Fama, E., French K., The anatomy of value and growth stock returns, Financial Analysts Journal, 2007, 63(6), P.44-54.

[9] Fama, E., Kenneth, F., The Cross-Section of Expected Stock Return, Journal of Finance, 1992, 47(6), P.427-465.

[10] Fama, E, Kenneth R. F, The Anatomy of Value and Growth Stock Returns, The Chicago MBA: A Journal of Selected Papers, 2005, 45(3), P.1-26.

[11] Foroughi, D, Matinnejad, R, Effect of Company Characteristics on Expected Returns Calculated by Combined Implied Capital Investment Method, Accounting Progresses, 2014, 6(1), P. 91-114.

[12] Ghafouri Rad, P, Efficiency of Carhart’s Four-Factor Model for Expected Returns in Business Cycles, Master's Thesis, Islamic Azad University, 2013, 3(2), P. 95-110.

[13] Gulen, X, Zhang, X, Value Versus Growth: Time‐Varying Expected Stock Returns, Ross School of Business Paper, 2008, 1(2), P.11-46.

[14] Hou, K. van Dijk, M. A. & Zhang, Y, The implied cost of capital: A new approach. Journal of Accounting and Economics, 2012, 1(2), P.504–526.

[15] Jacquelyn E. Humphreya, Michael A. O’Brien, Persistence and the four-factor model in the Australian funds market. Accounting and Finance, 2012, 1(3), P.502–553.

[16] Jahanshad, A, Parsa, M, An Analysis of Factors Affecting Stock Expected Returns Based on the Implicit Capital Cost Model, Investment Knowledge, 2014, 1(3), P.125-144.

[17] Lakonishok J, Shleifer A, Vishny R. W., Contrarian Investment, Extrapolation and Risk. Journal of Finance, 1994, 49(3), P.1541- 1578.

[18] Lam, S. K, The relationship between size, book-to-market equity ratio, earnings-price ratio, and return for the Hong Kong stock market, Global Finance Journal, 2002, 13(1), P.163-179.

[19] Pourzamani Z., Bashiri A, Carhart Model Test for Expected Output Prediction, Financial Engineering and Management of Securities, 2012, 16(5), P.93-107.

[20] Rosenberg B., Reid K., Lanstein R., Persuasive Evidence of Market Inefficiency. Journal of Portfolio Management, 1985, 16(5), P.56-66.

[21] Artmann S., Finter P., Kempf A., Koch S., Theissen E., The Cross-Section of German Stock Returns: New Data and New Evidence., 2010, 30(6), P.65-77.