Explain the anomalies of accruals and financial constraints through value and momentum factors And test performance with GRS test at Tehran stock exchange
Subject Areas : Financial engineeringgholamreza soleimanian 1 , daruosh foroughi 2 , hadi amiri 3
1 - Accounting department، Economic and administration faculty, university of isfahan,isfahan.iran
2 - Department of Accounting, Faculty of Administrative Sciences and Economics, Isfahan University, Isfahan, Iran
3 - Economic department, Economic and administration faculty, university of isfahan,isfahan,iran
Keywords: Accruals, value, Momentum, financial constraints,
Abstract :
Considering the inverse relationship between the value and momentum factors and the lack of simultaneous use of them in capital asset pricing models such as CAPM and Fama and French's three-factor model, the basis of this study is to provide a new functional model has been replacing pricing models of investing in stocks based on value, momentum with market risk and explain the anomalies of accruals and financial constraints through it. By imposing restrictions during the period from 1386 to 1395, 120 companies were sampled and tested. The results of the test of models and assumptions indicate the existence of convergence between the value and momentum factors with the excess return on stocks based on value / momentum, value / size, accruals / size, financial constraints / size, and these factors lead to Risk taking in the embedding portfolios based on the property of value (momentum), accruals (size) and financial constraints (size). Also, the three-factor model of value, momentum with market risk, has less GRS test statistic among competing models, and has the best performance compared to capital asset pricing models such as the CAPM and the Fama and French three-factor model.
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_||_
1541–1578.
Advances. 31-64. (in Persian).
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