اقتصاد و سیاست گذاری مالی

اقتصاد و سیاست گذاری مالی

مدل بهبود یافته قیمت گذاری دارایی های سرمایه ای بر پایه عوامل ناهنجاری

نوع مقاله : مقاله پژوهشی

نویسندگان
1 گروه حسابداری، واحد کاشان، دانشگاه آزاد اسلامی، کاشان، ایران
2 گروه حسابداری و مدیریت، دانشگاه تربیت مدرس تهران، ایران.
چکیده
عوامل ناهنجاری می‌پردازد. این مدل به تحلیل رابطه میان ریسک مالی و نرخ بازده مورد انتظار دارایی‌ها در بازار سرمایه کمک‌ می‌کند. پژوهش حاضر از نوع کاربردی - کمی‏با رویکرد همبستگی- پس‌رویدادی است. جامعه آماری پژوهش شامل کلیه شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران با روش حذف سیستماتیک، تعداد 144 شرکت به‌عنوان نمونه آماری طی دوره زمانی 1391 تا 1401 انتخاب گردیده است. داده‏ها از نوع داده‌های تابلویی (پانل دیتا) و از نوع ترکیبی بوده و از آزمون (چاو F) لیمر و آزمون‏هاسمن و برای برآورد مدل‌ها از روش حداقل مربعات معمولی استفاده گردید. نتایج نشان می‏دهد مدل‌های قیمت‌گذاری دارایی‌های سرمایه‌ای و فاما و فرنچ، توان محدودی در تبیین تغییرات بازده مازاد سهام داشته و نسبت جاری و جریان وجه نقد به‌عنوان عوامل مؤثر در ارتقای قدرت پیش‌بینی مدل شناسایی شده بحساب آمده که با تشکیل پرتفوی‌ها، استراتژی خرید پرتفوی برنده و فروش پرتفوی بازنده بر مبنای معیارهای جریان وجه نقد و مومنتوم، به بازده مازاد منفی منجر شده در حالی‌که پرتفوی‌های مبتنی بر نسبت جاری و مانده وجه نقد، بازده مثبت و معنادار و همچنین افزایش ضریب تعیین تعدیل‌شده و بهبود قدرت تبیین‌کنندگی مدل‌ها را به همراه داشته است. یافته‌ها حاکی از این است که می‌توان مدل بهبود یافته قیمت‌گذاری دارایی‌های سرمایه‌ای را بدون از دست دادن اطلاعات کلیدی نسبت به مدل فاما و فرنچ به‌کار گرفت.

چکیده تصویری

مدل بهبود یافته قیمت گذاری دارایی های سرمایه ای بر پایه عوامل ناهنجاری
کلیدواژه‌ها
موضوعات

عنوان مقاله English

Improved Model of Capital Assets Pricing on Basis of Disorder Principals

نویسندگان English

Seyed Saeid Sefidgaran 1
Mohamad Ali Aghaie 2
Meysam Arabzadeh 1
Hasan Ghodrati 1
1 Department of Accounting, Kashan Branch, Islamic Azad University, Kashan, Iran
2 .Department of Accounting & management , Tarbiat modares University, tehran, Iran
چکیده English

This study examines and develops an enhanced Capital Asset Pricing Model (CAPM) based on anomaly factors. The proposed model aims to analyze the relationship between financial risk and the expected rate of return on assets in the capital market. The research is applied and quantitative in nature, adopting a correlational and ex post facto approach.The statistical population consists of all companies listed on the Tehran Stock Exchange. Using a systematic elimination method, 144 firms were selected as the statistical sample over the period 2012–2022 (1391–1401 in the Iranian calendar). The data are panel (pooled) data, and the F-Limer (Chow) test and Hausman test were employed to determine the appropriate estimation method. The models were estimated using the Ordinary Least Squares (OLS) method. The results indicate that the traditional CAPM and the Fama–French model have limited explanatory power in explaining variations in excess stock returns. In contrast, the current ratio and cash flow were identified as influential factors that enhance the predictive capability of the model. Portfolio formation results show that a strategy of buying winner portfolios and selling loser portfolios based on cash flow and momentum criteria led to negative excess returns, whereas portfolios formed on the basis of the current ratio and cash balance generated positive and statistically significant returns. These portfolios also increased the adjusted coefficient of determination and improved the explanatory power of the models. The findings suggest that the enhanced CAPM can be employed without losing key information relative to the Fama–French model, while providing improved explanatory and predictive performance.

کلیدواژه‌ها English

Asset Pricing
Improved Model
Fama and French
Market Anomalies
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