Explaining stock anomalies using multifactorial asset pricing models
Subject Areas : Financial and Economic ModellingMorteza Mahmoudi 1 , jamal bahri sales 2 , Saeed Jabbarzadeh Kangarlouie 3 , Ali Ashtab 4
1 - Accounting, Islamic Azad University, Urmia Brnach
Departmet of Accounting, Islamic Azad University, Urmia Brnach, Urmia
2 - Department of Accounting, Urmia Branch, Islamic Azad University, Urmia, Iran
3 - Department of Accounting, Urmia Branch, Islamic Azad University, Urmia, Iran
4 - Department of Accounting, Urmia University, Urmia, Iran
Keywords:
Abstract :
[1] Alamifar, S., Khani, A., Amiri, H., Development of Fama and French pricing factor models using fundamental factors based on ccounting characteristics, Journal of Accounting Improvements, Shiraz University, 2020, 12(2), P. 105-67. Doi:10.22099/jaa.2021.39285.2077. (in Persian).
[2] Amihud, Y., I., lliquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets, 2002, 5, P. 31-56. Doi:10.1016/S1386-4181(01)00024-6.
[3] Arabzadeh, M., Foroughi, D., Amiri, H., Explaining accrual anomaly using multifactor pricing model in Tehran Stock Exchange, Financial Research Quarterly, 2018, 20(3), P.305-326.
Doi:10.22059/frj.2018.261339.1006690. (in Persian).
[4] Banz, R. W., The Relationship between Return and Market Value of Common Stocks, Journal of Financial Economics, 1981, 9(3), P. 3-18. Doi:10.1016/0304-405X(81)90018-0.
[5] Bashir Khodaparsati, R. Saba, M., Boroumandzadeh, H., Efficiency of Fama and French Five-Factor Model in Offensive and Defensive Stocks, Scientific Journal of Financial Management Strategy, 2019, 6(4), P. 109-130. (in Persian).
[6] Basu, S., Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis, Journal of Finance, 1977, 12(3), P. 129-156. Doi:10.2307/2326304 .
[7] Basu, S., The Relationship Between Earnings Yield, Market Value, and Return for NYSE Common Stocks: Further Evidence, Journal of Financial Economics, 1983, 12(8), P. 129-156, Doi:10.1016/0304-405X(83)90031-4.
[8] Bhandari, L., Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence, Journal of Finance, 1988, 43(12), P. 507-528. Doi:10.2307/2328473.
[9] Bin, G., Zhang, Y., Zhange, H., The Five-factor Asset Pricing Model Tests for theChinese Stock Market, Pacific-Basin Finance Journal, 2018, 43(4), P. 84–106. Doi: 10.1016/j.pacfin.2017.02.001.
[10] Bozorg Asl, M., Masjed Mousavi, M., Comparison of Explanatory Power of Return Prediction Models in Tehran Stock Exchange, Financial Accounting Knowledge, 2017, 4(4), P. 45-64, Doi: JR.JFAK.4.4.003 (in Persian).
[11] Carhart, M.,On Persistence on Mutual Fund Performance, Journal of Finance, 1997, 52(5), P. 57-82. Doi:10.1111/j.1540-6261.1997.tb03808.x
[12] De Bondt, W.F. M., Thaler, R. H., Does the Stock Market Overreact? Journal of Finance,1985, 40(4), P. 793-805. Doi:10.1111/j.1540-6261.1985.tb05004.x.
[13] Durnev, A., Morck, R., Yeung, B., Zarowin, P., Does Greater Firm-specific Return Variation Mean More or Less Informed Stock Pricing? Journal of Accounting Research, 2003, 41, P. 797-836.
[14] Fama, E., French, K., The cross-section of expected stock returns, Journal of Finance, 1992, 47, P. 427-465.
[15] Fama, E., French, K., Common Risk Factor in the Returns on Stocks and Bonds, Journal of Finance, 1993, 33(6), P. 3-56. Doi:10.1016/0304-405X(93)90023-5.
[16] Fama, E., French, K. A., Five-Factor Asset Pricing Model, Journal of Financial Economics, 2015, 116(1), P. 1-22. Doi:10.1016/j.jfineco.2014.10.010.
[17] Fama, E., French, K., A Five-Factor Asset Pricing Model. ssrn.com/abstract, 2013, P.2287202. Doi:10.2139/ssrn.2287202.
[18] Fama, E., Eugene F., MacBeth, D., Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy, 1973, 81(3), P.607–636. Doi:10.1086/260061
[19] Fan, S., Yu, L., Does the Alternative Three-Factor Model Explain Momentum Anomaly Better in G12 countries? Journal of Finance & Accountancy, 2103, 12.
[20] Hou, K., Xue, C., Zhang, L., Digesting Anomalies: An Investment Approach, Unpublished working paper, 2012, The Ohio StateUniversity.
[21] Huynh, T., Explaining anomalies in Australia with a five-factor asset pricing model, International Review of Finance, 2018, Doi:10.1111/irfi.12125.
[22] Izadinia, N., Ebrahimi, M., Hajiannejad, A., Comparison of Fama and French three-factor model with Carhart's main four-factor model in explaining stock returns of listed companies in Tehran Stock Exchange, Journal of Asset Management and Financing, 2014, 2 & 3 (6), P. 17-28. Doi:20.1001.1.23831170.1393.2.3.3.0 (in Persian).
[23] Izadinia, N., Nazarzadeh, Y., The relationship between earning quality and stock returns in companies listed in Tehran Stock Exchange, Journal of Development and Capital, 2009, 3, P. 61-72, (in Persian).
[24] Jafari, M., Misaghi Farooji, J., Ahmadvand, M., Comparison of capital asset pricing models, Fama and French three-factor models, and artificial neural networks in predicting Iran stock market, Journal of Business and Economics, 2013, 4(5), P. 53-63. (in Persian)
[25] Jegadeesh, N., Titman, S., Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, 1993, 48(2), P. 65-91. Doi:10.2307/2328882.
[26] Kiamehr, A., Banayi, M. H., Hemmatfar, M, Explaining the role of stock market anomalies in capital asset pricing, Financial Economics Quarterly, 2020, 14 (53), P. 193-212. (in Persian)
[27] Kordestani, G., Majdi, D.,Investigating the relationship between the quality characteristics of earnings and capital expenditures of common stocks, accounting and audit reviews, 2007, 14(2), P.38-67. Doi:20.1001.1.26458020.1386.14.2.5.8 (in Persian).
[28] Kordestani, G., Tayefeh, S., Qualitative Characteristics of Common Stock Capital earning and Expenditures, Financial Research, 2013, 5(1), P. 75-94. Doi:10.22059/jfr.2013.35433 (in Persian).
[29] Konstantin, K. B., Runge, P., Charifzadeh, M., An Analysis and Comparison of Multi-Factor Asset Pricing Model Performance during Pandemic Situations in Developed and Emerging Markets, Mathematics, 2022, 142 (10). Doi:10.3390/math10010142.
[30] Kubota, K., Takehara, H., Does the Fama and French Five-Factor Model Work Well in Japan? International Review of Finance,2017, SN, P. 1468-244. Doi:10.1111/irfi.12126.
[31] Lee, D., Kim, M., Kim, T., Abnormal Trading Volume and the Cross-Section of Stock Returns, 2016, KAIST College of Business.
[32] Lintner, J., The Valuation of Risk Assets and the Selection of Risky Investments in StockPortfolios and Capital Budgets, The Review of Economics and Statistics,1965, 47(5), P. 13-37. Doi:10.2307/1924119.
[33] Lin Q., Residual momentum and the cross-section of stock returns: Chinese evidence, Finance Research Letters, 2019, 1(29), P. 206-15. Doi:10.1016/j.frl.2018.07.009.
[34] Pantzalis, Christos., Xu, Ziwei, Does Stock Return Synchronicity Really Matter in Terms of Stock Price Informativeness, 2017, University of South Florida
[35] Philipp, D., Franziska J. P., The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market, Schmalenbach Bus Rev, 2020, 72, P. 661–684, Doi:10.1007/s41464-020-00105-y.
[36] Rahimpour, M., Ghaemi, M., Evaluation of Pricing Model and Time-Calendar Portfolio Approach in Long-Term Event Research, Quarterly Journal of Empirical Studies of Financial Accounting, 2019, 15(61), P. 101-130. Doi:10.22054/qjma.2019.41172.1991 (in Persian).
[37] Ranjbar, M. Badiei, H., Mohebbi, M., Investigation and evaluation of capital asset pricing models and comparing them with Fama and French 5-factor model, using economic variables of exchange rate, inflation rate, import, and liquidity, Financial knowledge stock analysis, 2019, 12(42), P. 195-215. (in Persian).
[38] Rosenberg, B., Reid, K., Lanstein, R., Persuasive Evidence of Market Inefficiency, Journal of Portfolio Management, 1985, 11(3), P. 9-17. Doi:10.3905/jpm.1985.409007
[39] Ross, S., Risk, Return and Arbitrage', Risk and Return in Finance, I., Friend, I. Bicksler, J. (Eds.), 1977, Ballinger, Cambridge.
[40] Sadeghi Sharif, J., Talaneh, A., Askari Rad, H., Investigating the Effect of Momentum Factor on Explanatory Power of Fama and French Three-Factor Model: Evidence from Tehran Stock Exchange, Journal of Accounting Knowledge, 2018, 28, P. 39-22. (in Persian).
[41] Sharpe, W.F., Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk, Journal of Finance,1964, 19(3), P. 425-442. Doi:10.1111/j.1540-6261.1964.tb02865.x.
[42] Soleimanian, G. R., Foroughi, D., Amiri, H., The performance of value, momentum, and market factor pricing model in explaining the excess returns of portfolios resulted from accrual anomalies and financial constraints: A comparative approach to competing factor models through GRS test, Quarterly Journal of Financial Engineering and Stock Management, 2020, 43(7), P. 363-393. Doi: 20.1001.1.22519165.1399.11.43.16.9 (in Persian).
[43] Sundqvist, T., Tests of a Fama-French Five Factor Asset Pricing Model in Nordic Stock Markets, 2018, Department of Finance.