Explain the role of stock market anomalies in the pricing of capital assets

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Kiamehr Ali; JANANI MOHAMMAD HASAN; Hemmatfar Mahmood

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

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Journal: Financial Economics Year:2021 | Volume:14 | Issue:53 Page(s): 193-212

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Information Journal Paper

Title

Explain the role of stock market anomalies in the pricing of capital assets

Author(s)

Kiamehr Ali | JANANI MOHAMMAD HASAN | Hemmatfar Mahmood | Issue Writer Certificate

Keywords

Stock Market AnomaliesQ1

Capital Asset PricingQ1

Portfolio Risk SpendingQ1

Fama and Farang Three-Factor Model (2001)Q1

Kahart Four-Factor ModelQ1

Fama and Farang Five-Factor Model (2014)Q1

Abstract

The purpose of this study was to explain the anomalies of the stock market in the pricing of capital assets of companies listed on the Tehran Stock Exchange. For this purpose, information of 150 companies from the financial reports of companies listed on the Tehran Stock Exchange have been collected and tested. Findings show that in all three Capital Asset Pricing models (Fama and French three-factor model (2001), Kahart Four-Factor Model and Fama and French five-factor model (2014) ), Stock Market Anomalies affect Capital Asset Pricing. The results also show that in all three pricing models, the presentation of a Capital Asset Pricing model based on Stock Market Anomalies increases the predictive power of common Capital Asset Pricing models.

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APA: Copy

Kiamehr, Ali, JANANI, MOHAMMAD HASAN, & Hemmatfar, Mahmood. (2021). Explain the role of stock market anomalies in the pricing of capital assets. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 14(53 ), 193-212. SID. https://sid.ir/paper/387027/en

Vancouver: Copy

Kiamehr Ali, JANANI MOHAMMAD HASAN, Hemmatfar Mahmood. Explain the role of stock market anomalies in the pricing of capital assets. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2021;14(53 ):193-212. Available from: https://sid.ir/paper/387027/en

IEEE: Copy

Ali Kiamehr, MOHAMMAD HASAN JANANI, and Mahmood Hemmatfar, “Explain the role of stock market anomalies in the pricing of capital assets,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 14, no. 53 , pp. 193–212, 2021, [Online]. Available: https://sid.ir/paper/387027/en

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