جستجوی مقالات مرتبط با کلیدواژه « سهام ارزشی » در نشریات گروه « حسابداری »

 This study aims to elucidate the profitability of value premium and size premium anomalies by employing the CHS score by Campbell et al. (2008) as the market-based financial distress indicator and Ohlson's O score (1980) as the accounting-based financial distress indicator.CHS score is a reduced-form econometric model to predict financial distress at short and long horizons. Among the market anomalies, value and size premiums have attracted more attention. Previous research noticed the existence of value premiums in stocks and found that value stocks have higher average returns compared to growth stocks. A value stock refers to shares of a company that appears to trade at a lower price relative to its fundamentals. Common characteristics of value stocks include high dividend yield, high book value to market value ratio, and a low P/E ratio. However, growth stocks often look expensive, trading at a low book value to market value ratio. In addition, researchers highlighted the existence of size premium where small stocks perform better than large stocks. These phenomena led to the formation of investment strategies based on value and size premiums. Value premium strategy involves buying value stocks and selling growth stocks, while size premium strategy entails buying small stocks and selling big stocks.

 In this study, the required data was collected from a sample consisting of 168 companies listed on the Tehran Stock Exchange and Iran Farabourse during the period from October 22, 2011, to September 22, 2021. To investigate the relationship between stock excess returns and risk factors, a total of three models were used: 1) Fama and French three-factor model, 2) the augmented three-factor model including the CHS score, and 3) the augmented three-factor model including the O score.

 According to the findings of this study, the inclusion of the financial distress factor in the Fama and French three-factor model, regardless of the criterion that is used to measure this factor, improves the performance of this model in explaining the fluctuations in the average returns of companies listed on Tehran Stock Exchange and Iran Farabourse. In the meantime, the CHS score, compared to the O score, has a greater contribution to increasing the explanatory power of the mentioned model. Additionally, it is found that both in the original model of Fama and French and the augmented versions of this model, the value premium is mainly seen among value stocks, both small and big ones. The size effect, which is seen in all groups of stocks before the inclusion of the financial distress variable in the mentioned model, after augmenting this model, although loses its importance among big-value stocks, is still an influential factor in explaining the fluctuations of the average returns of small value stocks, small growth stocks, and big growth stocks.

 The results prove the existence of a negative and highly significant relationship between the financial distress risk and the excess returns of portfolios formed based on size and book value to market value, confirming that in the long run, financially distressed companies compared to healthy companies, realize lower excess returns. This finding can be of interest to the Securities and Exchange Organization (SEO), audit institutions, investors, and creditors. It is suggested that researchers use more dynamic versions of asset pricing models and other indicators of financial distress to analyze and explain fluctuations in stock returns in future research. In this regard, researchers can refer to Fama and French five-factor model (2015) and the newer versions of the capital asset pricing model (CAPM), and by including the factor of financial distress in these models, compare the power of the mentioned models in explaining the fluctuations of stock returns

The purpose of this study was to investigate the effect of intellectual capital indices and information asymmetry on growth and value stock returns empirically. Intellectual capital has been measured using the three criteria of human capital, structural capital efficiency and productivity capital efficiency And dividing stocks into growth and value is done using the pe ratio and asset growth rate. Also, firm size, leverage ratio as control variables were included in the research pattern. The sample of the study consists of 78 companies in the period 2012-2018. The results obtained by using regression data indicate that among intellectual capital indices, human capital index has a positive and significant effect, structural efficiency has a negative and significant effect, and productivity efficiency has a negative and significant effect with grown Portfolio returns based on the pe ratio.. Also, the ratio of human capital had a significant negative impact, the structural efficiency had a positive and significant effect, and the productivity of productivity had a significant negative impact on the value portfolio return based on the pe ratio. The second hypothesis test also showed that human capital and productivity capital productivity in both growth and value portfolios based on asset growth had a negative and significant effect on stock returns But structural efficiency has had a meaningful effect on both growth and value portfolios on stock returns. Information asymmetry in both growth and value portfolios based on pe ratio and asset growth had a positive and significant effect on returns

The purpose of this paper is to examine the explanatory power of Fama and French`s five-factor model to forecast the return of the growth and value stock in listed companies in Tehran Stock Exchange. For this purpose, a sample consisting of 238 companies during the period of 2003 to 2013 was selected. The research method is Library and correlation using multivariate regression. To test the hypotheses, this study relied on the two-stage Fama-MacBeth (1973) regression analysis using Eviews8 software; to analyze the data, description and infentional statishes were employed. The findings indicate that the effect of market, size and profitability on risk premium in value companies is significant but in growth companies the effect of five factors (market, size, growth, profitability and investment) on risk premium is significant. Results also show that this effect is more powerful in growth companies than value firms in Tehran Stock Exchange.

By classifying the Company's shares as value stock or growth stock, returns behave like a particular form, so that we can predict their behavior. Skewness of returns is used as the main criterion to verify the existence of asymmetries in stock returns on the Iranian Stock Exchange member firms. Correlation between skewness in stock returns in the categories of book value to market value of the shares at the top (or bottom) shows the trends of negative (or positive) in stock returns. Based on the findings, the value or glamour-stock puzzle is partially described by investor preference for positive skewness in stock returns. Such preference for skewness is in accordance with the investor's preferences, which have inverse S-shaped utility functions. This paper offers some further evidences of the significant predictive power of accounting-based measures, such as book rate of returns, for skewness of stock returns. After testing the hypotheses, a positive correlation is found between returns for firms with growth stocks.

The value premium or value stocks return surplus to growth stocks is one of capital market anomalies. However this anomaly has verified in many capital markets in the world، there is some controversy about its reasons. This study investigates whether after control for growth and value stocks risk، there is any evidence of investors’ overreaction to past financial performance of growth and value stocks or not. Performance measures in this study include sales growth، earning growth and past stocks return. In order to conduct this study، a sample including 121 firms during the period of 1380 to 1389 in the form of two 5-year-period، is selected. For testing the research hypothesises، both portfolio test method and regression method with panel data has been used. The results of this study shows that investors behavioral errors is not the reason for value premium in Iran capital market، but there is a direct relationship between risk and return of growth and value stocks which confirms the rational justification of value premium occurrence.

Due to the different time periods with different market conditions and economic conditions in different countries، growth and value stocks has different efficiency. One of the recommendations in order to obtain optimum efficiency is diversification. As the time to select a suitable portfolio، using bonds and other securities can reduce portfolio risk and balancing the potential risk and reward of investing، choose an appropriate portfolio of stock involves the use of different investment methods and both value and growth stocks should be considered in the portfolio to reduce risk and obtain better results. Despite the importance of value and growth stocks، but certain categories of growth، value and blended companies has not been provided. This paper tries to use financial data of listed companies in the Tehran Stock Exchange for time period 1384-1388 and Fuzzy C-Means Clustering (FCM) to classify stocks of companies. The results of this study show that most of these companies lie in the blended portfolio، but their tendency is growing portfolio.