The Role of Financial Uncertainty Shocks, Fama French Five Factor Model and Momentum in the Capital Market and Its Effects on Stock Returns

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Shirmardi Seyedeh Narges; SAMETI MAJID; SHARIFI RENANI HOSSEIN

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Journal Paper

Paper Information

Journal: The Financial Accounting and Auditing Researches Year:2024 | Volume:16 | Issue:61 Page(s): 1-50

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Title

The Role of Financial Uncertainty Shocks, Fama French Five Factor Model and Momentum in the Capital Market and Its Effects on Stock Returns

Author(s)

Shirmardi Seyedeh Narges | SAMETI MAJID | SHARIFI RENANI HOSSEIN | Issue Writer Certificate

Keywords

Capital Market

Stock Returns

Keywords: uncertainty

Systematic and Unsystematic Risk

Fama and French Five Factor Model- Momentum

Abstract

Abstract The purpose of this study was to investigate the role of financial uncertainty, economic uncertainty, economic policy uncertainty as a systematic risk and the fama french five factor model along with Momentum as a unsystematic risk in the US Capital Market and short-term and long-term effects on Stock Returns (S&P New York Stock Exchange Index) Using a structural vector autoregressive model Quarterly data. The results show that in the short run, the greatest impact of negative shocks, respectively, due to variables such as Stock Returns, profitability factor, small minus big (SMB) and momentum respectively. Economic policy uncertainty has also had a positive short-term shock to Stock Returns. Therefore, the variables of economic uncertainty and financial uncertainty, like other Unsystematic risk factors, have almost equally and negatively affected Stock Returns. In the long run, the greatest impact of negative shocks was due to variables such as economic policy uncertainty, Stock Returns, economic uncertainty and investment factor, respectively. In the long run, the greatest impact of positive shocks is due to variables such as Small Minus Big (SMB), High Minus Low (HML), profitability factor, momentum, Market portfolio return ratio and risk free rate of return and finally financial uncertainty.

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