بررسي عملكرد مدل قيمت گذاري عوامل ارزش، مومنتوم و عامل بازار در توضيح بازده هاي مازاد پرتفوهاي ساخته شده از ناهنجاري هاي اقلامتعهدي و محدوديتمالي رويكردي مقايسه اي با مدلهاي عاملي رقيب از طريق آزمون GRS

Explain the anomalies of accruals and financial constraints through value and momentum factors an‎d test performance with GRS test at Tehran stock exchange

ﻫﺪف ﭘﮋوﻫﺶ ﺣﺎﺿﺮ اراﺋﻪ ﻣﺪلﻗﯿﻤﺖﮔﺬاري ﺑﺮ ﻣﺒﻨﺎي ﻋﻮاﻣﻞ ارزش و ﻣﻮﻣﻨﺘﻮم ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ راﺑﻄﻪ ﻣﻨﻔﯽ و ﻣﻌﻨﯽدار آﻧﻬﺎ ﺑﻪ ﻫﻤﺮاه رﯾﺴﮏ ﺑﺎزار، ﺟﻬﺖ ﺗﻮﺿﯿﺢ ﺑﺎزده ﻣﺎزاد ﭘﺮﺗﻔﻮﻫﺎي ﺳﺎﺧﺘﻪ ﺷﺪه از ﻧﺎﻫﻨﺠﺎري اﻗﻼم ﺗﻌﻬﺪي و ﻣﺤﺪودﯾﺖﻣﺎﻟﯽ ﺑﻪﻋﻨﻮان ﻧﺎﻫﻨﺠﺎريﻫﺎي ﺑﺎزار و ﻧﻤﺎﯾﺶ اﺛﺮ اﺳﺘﻔﺎده ﻫﻢزﻣﺎن از آنﻫﺎﺳﺖ. ﺑﻪ اﯾﻦ ﻣﻨﻈﻮر از ﻃﺮﯾﻖ ﺳﺎﺧﺖ ﭘﺮﺗﻔﻮﻫﺎي ﺑﺎزده ﻣﺎزاد ﺑﺮ اﺳﺎس ﻋﻮاﻣﻞ ارزش و ﻣﻮﻣﻨﺘﻮم و ﻣﺤﺎﺳﺒﻪ ﻋﺎﻣﻞ ﺑﺎزار ﺑﻪﻋﻨﻮان ﻣﺘﻐﯿﺮﻫﺎي ﻣﺪل ﻃﯽ دوره زﻣﺎﻧﯽ ﺳﺎلﻫﺎي 1386 اﻟﯽ 1395 ﺑﺮاي 120 ﺷﺮﮐﺖ ﻧﻤﻮﻧﻪ اﻧﺘﺨﺎبﺷﺪه، ﻣﺪل ﻗﯿﻤﺖﮔﺬاري ﺑﻪ روﯾﻪ ﺳﺮي زﻣﺎﻧﯽ آزﻣﻮن ﺷﺪ. ﻧﺘﺎﯾﺞ آزﻣﻮنﻣﺪلﻫﺎ و ﻓﺮﺿﯿﺎت ﺑﯿﺎﻧﮕﺮ وﺟﻮد ﻫﻤﮕﺮاﯾﯽ ﺑﯿﻦ ﻋﻮاﻣﻞ ارزش و ﻣﻮﻣﻨﺘﻮم ﺑﺎ ﺑﺎزده ﻣﺎزاد ﺳﻬﺎم درﺳﺒﺪﻫﺎي ﺳﺎﺧﺘﻪﺷﺪه ﺑﺮ اﺳﺎس وﯾﮋﮔﯽﻫﺎي ارزش/ﻣﻮﻣﻨﺘﻮم، ارزش/اﻧﺪازه، اﻗﻼمﺗﻌﻬﺪي/اﻧﺪازه، ﻣﺤﺪودﯾﺖﻣﺎﻟﯽ/اﻧﺪازه ﺑﻮده و اﯾﻦ دو ﻋﺎﻣﻞ ﻣﻨﺠﺮ ﺑﻪﺻﺮف رﯾﺴﮏ در ﺳﺒﺪﻫﺎي ﻣﺼﻮنﺳﺎزي ﺑﺮ ﻣﺒﻨﺎي وﯾﮋﮔﯽ ارزش/ﻣﻮﻣﻨﺘﻮم، اﻗﻼمﺗﻌﻬﺪي/ اﻧﺪازه و ﻣﺤﺪودﯾﺖ ﻣﺎﻟﯽ/اﻧﺪازه ﺷﺪه اﺳﺖ. ﻫﻤﭽﻨﯿﻦ ﻣﺪل ﺳﻪ ﻋﺎﻣﻠﯽ ارزش، ﻣﻮﻣﻨﺘﻮم ﺑﻪ ﻫﻤﺮاه رﯾﺴﮏ ﺑﺎزار، ﺑﻬﺘﺮﯾﻦ ﻋﻤﻠﮑﺮد را ﻧﺴﺒﺖ ﺑﻪ ﻣﺪلﻫﺎي ﻗﯿﻤﺖﮔﺬاري داراﯾﯽﻫﺎي ﺳﺮﻣﺎﯾﻪاي ﻧﻈﯿﺮ ﻣﺪل )CAPM( و ﻣﺪل ﺳﻪ ﻋﺎﻣﻠﯽ ﻓﺎﻣﺎ و ﻓﺮﻧﭻ ﺑﺎ اﺟﺮاي آﻣﺎره آزﻣﻮن GRS اراﺋﻪ داده اﺳﺖ

Considering the inverse relationship between the value and momentum factors and the lack of simultaneous use of them in capital asset pricing models such as CAPM and Fama and French's three-factor model, the basis of this study is to provide a new functional model has been replacing pricing models of investing in stocks based on value, momentum with market risk and explain the anomalies of accruals and financial constraints through it. By imposing restrictions during the period from 1386 to 1395, 120 companies were sampled and tested. The results of the test of models and assumptions indicate the existence of convergence between the value and momentum factors with the excess return on stocks based on value / momentum, value / size, accruals / size, financial constraints / size, and these factors lead to Risk taking in the embedding portfolios based on the property of value (momentum), accruals (size) and financial constraints (size). Also, the three-factor model of value, momentum with market risk, has less GRS test statistic among competing models, and has the best performance compared to capital asset pricing models such as the CAPM and the Fama and French three-factor model.