جستجوی مقالات مرتبط با کلیدواژه « fama » در نشریات گروه « حسابداری »

The mean and variance of stock returns alone are not sufficient to describe the distribution of returns. According to Markowitz, paying attention to higher torques such as skewness and kurtosisas a risk index instead of variance leads to more accurate results. Therefore, due to study contradictions, the study of stock returns reaction to models for measuring non-systematic risk moments was significant. For this purpose, 152 companies were selected( In the time domain of the years between 2013to 2020 ) as a statistical sample from the companies listed on the Tehran Stock Exchange based on the systematic removal method. results showed that by increasing the unsystematic risk torques calculated with the capital asset pricing model and the Fama and French five-factor model reduce future stock returns; These results can be justified in line with the concepts of capital market efficiency theory; Other results showed that the effect of unsystematic risk moments on stock futures is intensified by the simultaneous interaction between limited shareholder attention and arbitrage constraints. These results are based on the concepts of information asymmetry theory and the concepts of attentional limitations theory; Investors are taking risks due to irrational preferences for positively skewed stocks. This puts companies at greater risk for future stock price declines. This effect is exacerbated when institutional investors' disregard for managers coincides with increasing arbitrage restrictions. And managers will hide bad news through earnings management to affect stock returns.The obtained results are consistent with the documents mentioned in the theoretical framework of research and financial literature.

The mean and variance of stock returns alone are not sufficient to describe the distribution of returns. , paying attention to higher torques such as skewness and kurtosisas a risk index instead of variance leads to more accurate results. Therefore, due to study contradictions, the study of stock returns reaction to models for measuring non-systematic risk moments was significant. For this purpose, 152 companies were selected( In the realm of time between 2014to 2021 ) as a statistical sample from the companies listed on the Tehran Stock Exchange based on the systematic removal method (CAPM & FF3). Also, by determining the superior regression model, the power of the superior regression model was compared with the neural network model. results showed that by increasing the unsystematic risk torques calculated with the capital asset pricing model and the Fama and French tree-factor model reduce future stock returns; These results can be justified in line with the concepts of capital market efficiency theory.Other results indicate that the difference in expected non-systematic risk calculated with CAPM and FF3 models is significant. Therefore, the strength of the expected non-systematic risk torques calculated by the capital asset pricing model is less than the Fama and French three-factor model. By comparing the neural network model coefficient and linear regression, it can be said that the neural network-based model has a better performance in predicting future stock returns based on non-systematic risk moments than linear regression.

The purpose of this study was to investigate the role of financial uncertainty, economic uncertainty, economic policy uncertainty as a systematic risk and the fama french five factor model along with Momentum as a unsystematic risk in the US capital market and short-term and long-term effects on stock returns (S&P New York Stock Exchange Index) Using a structural vector autoregressive model Quarterly data. The results show that in the short run, the greatest impact of negative shocks, respectively, due to variables such as stock returns, profitability factor, small minus big (SMB) and momentum respectively. Economic policy uncertainty has also had a positive short-term shock to stock returns. Therefore, the variables of economic uncertainty and financial uncertainty, like other Unsystematic risk factors, have almost equally and negatively affected stock returns. In the long run, the greatest impact of negative shocks was due to variables such as economic policy uncertainty, stock returns, economic uncertainty and investment factor, respectively. In the long run, the greatest impact of positive shocks is due to variables such as Small Minus Big (SMB), High Minus Low (HML), profitability factor, momentum, Market portfolio return ratio and risk free rate of return and finally financial uncertainty.

The success of any asset pricing model should depend on the proportionality of the real options in the value of the companies whose returns are tested in the model test. The purpose of this study is to investigate the Investment Option Model Indicators and its impact on stock returns. The statistical population of this study consisted of 146 companies in the period 1390-1397. This research is applied in terms of and in terms of nature and content is correlational and the research hypotheses are estimated using multivariate regression approach and panel data method. The results of the hypotheses test showed that investment options based on Grullon's four-factor model affect stock In addition, the results showed that there is a significant difference between the explanatory power of Fama and French's five-factor asset pricing model and the investment options model based on Grullon's four-factor model in explaining stock returns. And the explanatory power of the Grullon's four-factor model in explaining stock returns is more than the Fama and French five-factor model.

The purpose of this paper is to examine the explanatory power of Hou et al. four-factor model and Fama and French’s five-factor model to predict the expected stock return in listed companies in Tehran Stock Exchange. For this purpose, a sample consisting of 147 firms during the period of 2006 to 2015 has been selected. To analyze the data, descriptive and inferential statistics were incorporated and to test the research hypotheses, multiple regression approach with the pooled data approach through the software’s Eviews and Stata has been used. The findings indicate that the adjusted coefficient of determination, which shows the explanatory power of their two models together, is equal. The mean squared error and mean absolute error of both models also are not significantly different. Thus, the results demonstrated that in the course of the study, the explanatory power of the French’s five-factor model with Hou et al. four-factor model, in anticipation of expected returns is not significantly different from each other.  Therefore, investors can use both models to predict expected returns to form their investment portfolio.

  This study examined the effects of investor sentiment index on excess return in the Fama-French five-factor model, in the companies listed in the Tehran Stock Exchange in the period 2009 to 2015. Data collection was based on document mining and referral to databases, and data analysis was performed using inference method and Stata and Eviews software. To test the research hypotheses a Panel data model was used. The results showed that the investor sentiment index plays an important role in capital assets pricing, and supports this role of the index in creating excess return and price formation. Attention to the factors such as investor sentiment, besides the fundamental factors, can have significant effect on the decisions of investors and other users, regarding challenges of the efficient markets hypothesis.

This study deals with the life cycle of firms as one of the explaining factors of return. The statistical population consists of firms listed in Tehran Stock Exchange over the period from 2003 to 2017. To evaluate the effect of the life cycle, firms are classified based on accounting information (sales growth, capital expenditures) and life (growth firms, mature firms and stagnant firms). The capital asset pricing model (CAPM) and Fama and French three factor model (3FF) are evaluated in each class and also for all firms . Vuong test results reject any difference between information content of capital assets pricing model (CAPM) and Fama and French three-factor model (3FF). Adjusted coefficient of determination in both models is the highest in mature firms and the lowest in stagnant firms. Also Cramer Z test indicates that firms' life cycle is effective on the explanatory power of models in the study

The Stock market is one of the markets from which investors try to earn interests. Stock returns are the most important measures for decision making of investors in this market. This study develops a model for predicting stock returns using financial statements, disclosure quality, corporate governance mechanisms, audit quality, stock market qualification and macroeconomic items. Data is collected from disclosures of firms listed in Tehran Stock Exchange during a period from 2004 to 2012. Based on this model, net income, price index for consumer goods and services, dividend, oil price index and gold coin price index are the most important variables effective on predicting stock returns. To determine the developed model’s accuracy and validity, stock returns are predicted for sample firms (86 firms) for years from 2013 to 2017 and then errors of predicted returns as compared to real returns for those periods are determined. Furthermore, other prior valid predicting models (capital assets pricing model (CAPM) , Fama and French three factors model and arbitrage pricing model) errors are calculated for that period. Comparing developed predicting model errors with other predicting models errors shows that this model has significantly fewer errors in predicting future stock returns than the prior models.

In this study, the explanation power of the capital asset pricing model, Fama and French three-factor model and the five-factor model are compared and tested. The study period is from 1382 to 1394 and was performed in Tehran Stock Exchange. Vuong test results showed that there are significant differences in explaining the stock return by capital asset pricing model and the five-factor model of Fama and French. However, differences in the use of capital asset pricing model and Fama and French three-factor model and also in the five-factor and three-factor model of Fama and French wasnt observed. But the explanatory power of the independent variable in the models was different. The Adjusted R^2 of the capital asset pricing model, Fama and French three-factor model and five factor model of Fama and French was 59, 61 and 62 percent. It was also found that the higher investing in firm rise stock return. This shows that with the addition of explanatory variables can be explanatory percent higher efficiency and the use of the five-factor model of Fama and French can be more effective in explaining returns.

The purpose of this article is to examine the impact of sentiments and behavioral tendencies of investors on pricing of capital assets. For this purpose, the adjusted three-factor model of Fama and French has been used based on the evaluation criteria for emotions of the investor. This study has been done based on the information released by listed companies in Tehran Stock Exchange, in the period between 1389 and 1394, with the selected sample consisting of 141 companies.
Results of testing hypothesis show an increase in the explanatory factor of pricing model of capital assets as well as each of its components by adding emotion indexes. Investor emotions indices used in this study includes financial turnover of shares in the market, ratio of days with uptrend to days with downtrend of the stock price and the ratio of spending stock dividend profit. The first and second indicators of investor emotions has a positive and significant relationship with the returns of stock portfolios and regarding the third index, no significant relationship was observed in the model; while, positive emotions compared to negative emotions have a distinct impact on asset pricing. Also, the first and second indicators of emotions impact the market factor of Fama and French model, all three indicators of emotions impact the factor of size of the company in Fama and French model and also the second and third indicators of emotions impact the factor of ratio of book value to market value of Fama and French model.

In this study, firm's life cycle hypothesis in explaining returns using Fama and French Five-Factor Model, were studied. The study period is from 1388 to 1392 and was performed at the Tehran Stock Exchange. According to the financial statements (sales growth, capital expenditures) and firm's establishment year divided into three categories: growth firms, mature firms and stagnant firms and model was carried out in different category. Cramer Z test showed a significant difference in determining return in all firm's level as well as in different levels of firm's life cycle. Explanatory power of the independent variable in the model was different at different levels. Also, it can be confirmed that the firm's life cycle influencing explanatory returns by the market risk premium, size, ratio of book value to market value, profitability and investment and could influence on return explanation power by Fama and French Five-Factor Model.

In this study, the relationship between accruals quality, disclosure and abnormal stock returns is evaluated. The aim of this study is the assessment of replacement or supplemental relationship between accruals quality and disclosure to predict changes in abnormal stock returns. Existing theories and studies on the relationship between accruals quality and disclosure has shown different effects on abnormal stock returns. In this study, given the negative correlation between accruals quality and disclosure to predict unusual changes in stock returns is tested. The research hypothesis is tested by using financial data of 102 companies listed in Tehran Stock Exchange during the period 2006 - 2014 by utilizing a model of Fama and French and multi - regression analysis. Based on the results, the quality of accrual and disclosure quality are the same and verifying each other and this confirms the replacement relationship among them.

Risk and return in is counted as one of the main tools in Finance literature which at the end will be presented as cost of capital. Cost of capital has a direct and important role in investment and finance decisions and always has been the main challenge for investors and finance decision makers. In this research we have tried to measure the cost of capital based on fundamental model and to compare it with employed cost of capital and Fama&French models. The result of investigation which was taken in 2011 among more than 88 TSE firms indicated that accounting based cost of capital in relation to financial variables has more correlation in compare with Fama&French and CAPM.As to this matter cost of capital can be a better help to users in evaluating and decision makings.

This paper examines the role of liquidity factor in explaining the cross-section of stock returns of firms listed at Tehran Stock Exchange. The regression results of CAPM, Liu's two-factor model, the Fama-French three-factor model, and a Four-factor model on eight portfolios formed by Size, B/M Ratio, and Liquidity show that the two-factor (market and liquidity) model performs better in explaining the cross-section of stock returns than the CAPM but not the Fama-French three-factor model. Adding liquidity premium to Fama-French three-factor model improves notably the adjusted R square of the model implying that all four factors of market, size, value, and liquidity play a significant role in explaining stock returns. The results are robust to sensitivity analyses for up and down market conditions and seasonal behavior.

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.

Predicting stock return is possible with discovery generating process of stock price behavior patterns. The success rate in the discovery of these patterns، indicate the efficacy of the prediction. In other words، stock price generating process can be studied as a dynamic model. This process may be obtained in linear model forms، nonlinear model forms or stochastic model forms. This study describes linear predictor structures in the form of capital asset pricing model and Fama and French three factor model and nonlinear structures in the form of artificial neural networks.

Purpose- The purpose of this research is to examine the relation between earnings transparency and cost of equity. Also the relation between earnings transparency and abnormal return is examined. Design/methodology/approach- Financial data of 121 listed companies quoted in Tehran Stock Exchange is examined for the period of 1384-1388. To measure the earnings transparency, the contemporaneous changes of earnings and returns are used. Cost of equity is calculated based on Fama-French three-factor model. To calculate the dependent and independent variables and to test the hypotheses, the multi-variation regression model is used. Findings- The findings show that there is a negative and significant relation between earnings transparency and cost of equity. That is, firms that have more transparent earnings, experience lower cost of equity. Also there is a negative and significant relation between earnings transparency and abnormal return. Firms that have more transparent earnings, experience lower abnormal return. Originality/value- Emphasizing the importance of financial information transparency (especially earnings) as an important qualitative characteristic in financial reporting and introducing a model for calculating it.

The purpose of this study is to test the Fama and French three-factor model in Tehran Stock Exchange. In order to do this, six portfolios including 616 stocks were formed for the years 2004-2009, regarding the size and the book values to the market value ratio. The results indicated that the beta, the size and the book value to market value ratio had significant effects on portfolio return. Adding two factors of the size of the company and the book value to market value ratio to the single factor CAMP resulted in increase in the coefficient of determination. This implies that the three-factor model describes variance variability of the percentage of portfolio return more than CAMP. Two factors of the size and the book value to market value ratio describe variance variability of the portfolio return considerably and their coefficients are statistically significant.

Recently, some of the accounting researches in Iran capital market have been devoted to income smoothing, but not so many on relationship with stock value. We mean to evaluate the effect of income smoothing stock return. Therefore, there is a need to measure the expected return, for which we use Fama-French three-factor model in this paper. To estimate the model, we use monthly data from 2006-2010. Also, sample concludes 90 listed companies in TSE. Income smoothing is measured by volatility ratio of operational income to cash flow from operation. Our findings show that income smoothing is another relevant factor in Fama-French three-factor model. In other words, income smoothing is relevant to stock return and the less volatility ratio, the less the expected return of shareholders.

Nowadays، investors in capital markets require a detailed analysis of risk and return of companies listed in Iran stock exchange to be able to make proper investment decisions. Based on Fama and French three factors model، Book to Market value ratio was used as a replaced indicator of risk in this study. “Panel data” method was used for analyzing data during 2001 to 2008. The results showed that there werepositive weak relationships between Changes Ratio of Inflation Rate، Exchange Rate، Gold Rate and Oil price for each gallon and corporate risk indicator changes ratio while there was a negative weak relationship between changes ratio of Tehran Stock Exchange indicatorand corporate risk indicatorchanges ratio.