asset pricing anomalies at the firm level

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NADERI BENI RAHMATALAH; ARABSALEHI MEHDI; KAZEMI IRAJ

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Journal: FINANCIAL ACCOUNTING Year:2019 | Volume:11 | Issue:42 Page(s): 52-74

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Information Journal Paper

Title

asset pricing anomalies at the firm level

Author(s)

NADERI BENI RAHMATALAH | ARABSALEHI MEHDI | KAZEMI IRAJ | Issue Writer Certificate

Keywords

AnomalyQ1

Hierarchical BayesianQ1

Capital Asset Pricing ModelQ2

Abstract

Anomaly is deviation from common rules and in finance it can be defined as a pattern in the average of stock return that is not consistent with the prevailing asset pricing models literature. For Anomaly investigation two common methods are used: portfolio approach and individual firm approach. This paper wants to shed light on anomalies of Capital Asset Pricing Model at the individual firm level. This approach is used because of portfolio approach deficiencies. The sample consists of 1150 firm – year observations in Tehran stock exchange in the period of 1387-1396. Bayesian approach and standard Markov chain Monte Carlo have been used to test hypothesis. The results show that the variables which consist of size, book value to market value, momentum, profitability, asset growth, working capital accrual items, financial distress, investments, net stock issuance and external financing cannot be interpreted as Anomaly when the test is at the individual firm level.

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APA: Copy

NADERI BENI, RAHMATALAH, ARABSALEHI, MEHDI, & KAZEMI, IRAJ. (2019). asset pricing anomalies at the firm level. FINANCIAL ACCOUNTING, 11(42 ), 52-74. SID. https://sid.ir/paper/168241/en

Vancouver: Copy

NADERI BENI RAHMATALAH, ARABSALEHI MEHDI, KAZEMI IRAJ. asset pricing anomalies at the firm level. FINANCIAL ACCOUNTING[Internet]. 2019;11(42 ):52-74. Available from: https://sid.ir/paper/168241/en

IEEE: Copy

RAHMATALAH NADERI BENI, MEHDI ARABSALEHI, and IRAJ KAZEMI, “asset pricing anomalies at the firm level,” FINANCIAL ACCOUNTING, vol. 11, no. 42 , pp. 52–74, 2019, [Online]. Available: https://sid.ir/paper/168241/en

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