Explaining stock anomalies using multifactorial asset pricing models

Advances in Mathematical Finance and Applications

مقاله 2، دوره 8، شماره 3، مهر 2023، صفحه 745-767   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2022.1946418.1662

نویسندگان

Morteza Mahmoudi¹؛ jamal bahri sales^{* 2}؛ Saeed Jabbarzadeh Kangarlouie²؛ Ali Ashtab³

¹Accounting, Islamic Azad University, Urmia Brnach Departmet of Accounting, Islamic Azad University, Urmia Brnach, Urmia

²Department of Accounting, Urmia Branch, Islamic Azad University, Urmia, Iran

³Department of Accounting, Urmia University, Urmia, Iran

چکیده

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 120 companies listed at the Tehran Stock Exchange from 2008 to 2019 using the Fama-Macbeth [18] 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.

کلیدواژه‌ها

Excess stock returns؛ multifactorial models؛ stock anomalies؛ unexplained returns

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