Modeling Asset Pricing Using Behavioral Variables: Fama-Macbeth Approach

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

NASIRI MOHAMMAD; SARRAF FATEMEH; Nourollahzadeh Nowrouz; HAMIDIAN MOHSEN; NOORIFARD YADOLLAH

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Interdisciplinary Journal of Management Studies Year:2021 | Volume:14 | Issue:3 Page(s): 547-564

Download Full-Text

Persian Verion

View:

440

Download:

156

Cites:

Information Journal Paper

Title

Modeling Asset Pricing Using Behavioral Variables: Fama-Macbeth Approach

Author(s)

Keywords

Accounting information riskQ1

Investors’trading behaviorQ1

Investors' sentiment stock returnsQ1

Fama-Macbeth approachQ2

Abstract

Investors generally make decisions based on risk and stock returns, and their decisions are influenced by two factors, namely macroeconomic variables and microeconomic variables. The behavioral factors affecting investment decisions are investigated in the area of behavioral finance. In other words, behavioral finance focuses on specific human behavior attributes and their utilization in asset pricing. Behavioral asset pricing is the result of applying behavioral finance theories within traditional asset pricing theories. Although there are many asset-pricing models, due to their weaknesses and incompleteness as well as the necessity of investigating behavioral factors, this study attempted to model asset pricing using behavioral models. The population of the study included all listed firms in Tehran Stock Exchange over the years 2008 to 2018, and the sample was selected through systematic elimination of the population. Given these conditions, 141 firms were selected as the sample. The hypotheses were then tested by designing multivariate regression models. The results showed that using Fama-Macbeth approach, Accounting information risk, investors’ trading behavior, and investors' sentiments had a significant and direct impact on firms’ stock returns. Thus, it is argued that behavioral variables can play a significant role in Modeling Asset Pricing.

Cites

No record.

References

No record.

Cite

APA: Copy

NASIRI, MOHAMMAD, SARRAF, FATEMEH, Nourollahzadeh, Nowrouz, HAMIDIAN, MOHSEN, & NOORIFARD, YADOLLAH. (2021). Modeling Asset Pricing Using Behavioral Variables: Fama-Macbeth Approach. IRANIAN JOURNAL OF MANAGEMENT STUDIES, 14(3 ), 547-564. SID. https://sid.ir/paper/371407/en

Vancouver: Copy

NASIRI MOHAMMAD, SARRAF FATEMEH, Nourollahzadeh Nowrouz, HAMIDIAN MOHSEN, NOORIFARD YADOLLAH. Modeling Asset Pricing Using Behavioral Variables: Fama-Macbeth Approach. IRANIAN JOURNAL OF MANAGEMENT STUDIES[Internet]. 2021;14(3 ):547-564. Available from: https://sid.ir/paper/371407/en

IEEE: Copy

MOHAMMAD NASIRI, FATEMEH SARRAF, Nowrouz Nourollahzadeh, MOHSEN HAMIDIAN, and YADOLLAH NOORIFARD, “Modeling Asset Pricing Using Behavioral Variables: Fama-Macbeth Approach,” IRANIAN JOURNAL OF MANAGEMENT STUDIES, vol. 14, no. 3 , pp. 547–564, 2021, [Online]. Available: https://sid.ir/paper/371407/en

Related Journal Papers