مدل قیمت‌گذاری چندعاملی در بازار سرمایه ایران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار، گروه مدیریت مالی و بیمه، دانشگاه تهران، تهران، ایران.

2 دانشجوی کارشناسی ارشد مدیریت مالی، دانشگاه تهران، تهران، ایران

3 دانشجوی کارشناسی ارشد مدیریت مالی، دانشگاه تهران ، تهران، ایران.

چکیده

مدل هشت‌عاملی اسکاکیر و لانکرسکی (2018)، بسط یافته مدل پنج‌عاملی فاما و فرنچ (2016) است. این دو محقق با افزودن سه عامل ریسک نکول، نقدشوندگی و مومنتوم سعی در بهبود قدرت تبیین‌کنندگی مدل داشته و دنبال یافتن پاسخی برای برخی نابهنجاری‌های این مدل بوده‌اند. هدف این پژوهش بررسی کارایی عوامل یادشده در قالب مدل قیمت‌گذاری دارایی ها در بازار سرمایه ایران است. یافته‌ها نشان می‌دهندکه قدرت توضیح‌دهندگی مدل‌ها تا حد بسیار زیادی به نحوه گزینش عوامل بستگی دارد. کارایی مدل‌ها در سطح معنی‌داری مورد توجه، مورد تأیید نبوده است. لیکن نتایج درباره قدرت عوامل جدید و اثر آن‌ها بر ارتقای مدل پنج‌عاملی در ترکیبات مختلف نشان می‌دهد که در ترکیب تنها یکی از عوامل با مدل پنج‌عاملی، مومنتوم عملکرد بهتری داشته و ریسک نکول ضعیف‌ترین عملکرد را ارائه کرده‌است. در ترکیب دو عامل از میان عوامل، بررسی عرض از مبدأ نشان می‌دهد که ترکیب ریسک نقدشوندگی و مومنتوم باعث بهبود بیشتری شده‌است.

کلیدواژه‌ها

عنوان مقاله [English]

Multi-Factor asset pricing model in Iranian Capital Market

نویسندگان [English]

  • Reza Eyvazlo 1
  • Yasaman Hashemi 2
  • Amirali Qorbani 3
1 Assistant Prof., Department of Financial Management and Insurance, University of Tehran, Tehran, Iran.
2 Master's student in Financial Management, University of Tehran, Tehran, Iran
3 Master's student in Financial Management, University of Tehran, Tehran, Iran.
چکیده [English]

Eight-factor pricing model of Skocˇir and Loncˇarski (2018) is a development of Fama and French (2016). They attempt to improve the explanatory power of the model by adding three factors; default risk, liquidity and momentum, in response to some anomalies of the model. Findings show that explanatory power of the model depends highly on variable selection. Efficiency of the model has not been approved in the mentioned confidence interval. But, evidence of the new factors` power and their impact on improvement of the model shows that in combination with 5- factor model, momentum has better performance and default has the worst performance. In addition, through combination of 2 factors, intercept analysis implies that combination of liquidity and momentum leads to a better performance.

کلیدواژه‌ها [English]

  • Asset pricing
  • Fama and French Models
  • GRS Test
  • Default risk
  • Liquidity risk and Momentum

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