تاثير عوامل سودآوري و سرمايه گذاري بر بازده سهام (مدل پنج عاملي فاما و فرنچ، 2015)

A study on the Effect of Profitability and Investment Factors on Return Firms Listed in Tehran Stock Exchange by Five-factor Asset Pricing Model

فاما و فرنچ (2014) با ارايه مدل پنج عاملي و افزودن دو عامل سودآوري و سرمايه گذاري به مدل سه عاملي (1993) تلاش كردند تا بازده غيرعادي را كه ممكن است از طريق عوامل سودآوري و فرصت هاي سرمايه گذاري ايجاد شود، توضيح دهند؛ لذا اين پژوهش بر مبناي تحقيق فاما و فرنچ (2014) در بازار سهام ايران صورت گرفته است. با توجه به اينكه ارزيابي بازده سهام شركت هاي مختلف مهم ترين مسيله پيش روي سرمايه گذاران در بازار سرمايه است، هدف اين پژوهش آن است كه آيا عوامل سودآوري و سرمايه گذاري پس از كنترل عوامل اندازه، ارزش دفتري به ارزش بازار، قدرت توضيح‌دهندگي بازده پرتفوها را دارد يا خير؟ و تاثير اين عوامل در سطوح مختلف چگونه است؟ به منظور پاسخ‏گويي به مسيله مطرح-شده، پنج فرضيه تدوين شده‌ است. براي آزمون اين فرضيه‏ها، نمونه‏اي از 152 شركت‏ پذيرفته شده در بورس اوراق بهادار تهران طي سال‏هاي 1387 تا 1392 انتخاب شدند و براي آزمون فرضيه‏ها از رگرسيون چند متغيره به روش داده‏هاي سري زماني استفاده شده ‌است. نتايج بررسي نشان مي دهد كه هر دو عامل سودآوري و سرمايه گذاري، توانايي لازم براي تببين رفتار بازده آتي سهام شركت ها را دارند. همچنين يافته ها حاكي از ايجاد بازده غيرعادي بيشتر توسط راهبرد دو مبادلاتي كه هر دو عامل سودآوري و سرمايه گذاري مورد توجه قرار مي گيرد نسبت به راهبرد يك مبادلاتي كه تنها به يك عامل توجه مي شود، است.

Fama and French (????) offered a ??factor model in which two factors of profitability and investment were added to three-factor model (????) which was trying to abnormal returns that may be caused by factors, account for the profitability and investment opportunities/ This study is based on research, Fama and French (????) in the stock market of Iran/ Since the evaluation of company stock is the most important problem facing investors in the capital market/ the purpose of this study is whether the factors and investment profitability after controlling for size, efficiency explanatory power of book value to market value portfolio or not? And how the impact of these factors on different levels like? In order to answer the question raised, five hypotheses formulated/ To test these hypotheses, a sample of ??? firms listed in Tehran Stock Exchange for the period of ???? to ?????were chosen to test the hypothesis, we used multivariate regression analysis using time series data/ The results showed that both profitability and ability to explain investment behavior of future stock returns/ Also findings show more abnormal output which suggest creating greater efficiency by strategies of two transactions that both profitability and investment attention will be given to the strategy of a transaction that is only one factor, respectively. Fama and French (????) offered a ??factor model in which two factors of profitability and investment were added to three-factor model (????) which was trying to abnormal returns that may be caused by factors, account for the profitability and investment opportunities/ This study is based on research, Fama and French (????) in the stock market of Iran/ Since the evaluation of company stock is the most important problem facing investors in the capital market/ the purpose of this study is whether the factors and investment profitability after controlling for size, efficiency explanatory power of book value to market value portfolio or not? And how the impact of these factors on different levels like? In order to answer the question raised, five hypotheses formulated/ To test these hypotheses, a sample of ??? firms listed in Tehran Stock Exchange for the period of ???? to ?????were chosen to test the hypothesis, we used multivariate regression analysis using time series data/ The results showed that both profitability and ability to explain investment behavior of future stock returns/ Also findings show more abnormal output which suggest creating greater efficiency by strategies of two transactions that both profitability and investment attention will be given to the strategy of a transaction that is only one factor, respectively.