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Showing 2 results for Stock Returns
Sadaf Khojasteh, Majid Zanjirdar,
Volume 4, Issue 15 (3-2017)
Abstract
Due to the key role of capital market in macroeconomic variables, addressing to investors’ tendency to imitate the actions of others, the formation of herding behavior, and the impact of this behavior on firms’ stock returns is crucial. For investigating these issues Huang and Solomon's model is used for 49 firms during of 2009-2013. This paper is a practical study and method and nature of this paper is a correlation study and in this regard, Kolomogrov-Smirnov test is used for normality test of data. Furthermore, t-test is used to assess the statistical hypotheses of the research. The SPSS19 and EXCEL software are used to data analyzing. The results suggest that there is a significant relationship between herding behavior of investors and stock returns, and this relationship in large firms is greater than small firms. Moreover, this relationship in firms with high financial leverage is more than firms with low financial leverage.
Dr Mohsen Lotfi, Dr Afsaneh Delshad,
Volume 12, Issue 46 (9-2024)
Abstract
The present study aims to investigate the explanatory power of Fama and French three factor and five factor models in explaining a set of anomalies using Fama and Macbeth regression approaches. For this purpose, a sample of 136 companies listed on the Tehran Stock Exchange was selected over the period from 2008 to 2023. Each anomaly variable was divided into five portfolios and after comparing the average excess returns of the stocks, the explanatory power of different portfolios in terms of number of anomalies is assessed. The overall findings indicate that there is a significant difference between the number of additional returns of stocks in different portfolios based on the investigated anomalies, which means the efficiency of the portfolio. The results of examining the impact of anomalies on the explanation of excess stock returns show that among the investigated anomalies, dividend yield, bankruptcy risk and stock return volatility have a significant impact on explaining excess returns in both three factor and five factor models. However, accruals have not had a significant effect. This result suggests that part of the stock returns can be explained significantly by these variables. In addition, a comparison of the explanatory power of excess stock returns between the three factor and five factor models of Fama and French reveals no significant difference between the two models in terms of capturing the examined anomalie.
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