Modeling Asset Pricing Using Behavioral Variables: Fama-Macbeth Approach

Document Type : Research Paper

Authors

Department of Accounting, Faculty of Economics and Accounting, Islamic Azad University, South Tehran Branch, Tehran, Iran

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.

Keywords

Main Subjects


Article Title [فارسی]

قیمت گذاری دارایی ها با بکار گیری متغیرهای رفتاری :رویکرد فاما -مکبث

Authors [فارسی]

  • محمد نصیری
  • فاطمه صراف
  • نوروز نوراله زاده
  • محسن حمیدیان
  • یدالله نوری فرد
گروه حسابداری ،دانشکده اقتصاد و حسابداری ، دانشگاه آزاد اسلامی ،واحد تهران جنوب ، تهران ،ایران
Abstract [فارسی]

سرمایه گذاران به طور کلی بر اساس ریسک و بازده سهام تصمیم گیری می کنند و تصمیم آنها تحت تأثیر دو عامل متغیرهای کلان اقتصادی و متغیرهای خرد اقتصادی است. عوامل رفتاری مؤثر بر تصمیمات سرمایه گذاری در حوزه مالی رفتاری مورد بررسی قرار می گیرند. به عبارت دیگر ، تأمین مالی رفتاری بر ویژگیهای خاص رفتار انسان و استفاده از آنها در قیمت گذاری دارایی متمرکز است. قیمت گذاری دارایی رفتاری نتیجه اعمال نظریه های مالی رفتاری در نظریه های قیمت گذاری دارایی های سنتی است. علیرغم بسیاری از مدل های قیمت گذاری دارایی ، به دلیل ضعف و ناقص بودن آنها و همچنین لزوم بررسی عوامل رفتاری ، این مطالعه سعی در مدل سازی قیمت گذاری دارایی با استفاده از مدل های رفتاری دارد. جامعه آماری این مطالعه شامل کلیه شرکتهای پذیرفته شده در بورس اوراق بهادار تهران طی سالهای 2008 تا 2018 بوده و نمونه گیری از طریق حذف سیستماتیک جامعه انتخاب شده است. با توجه به این شرایط ، 141 بنگاه به عنوان نمونه انتخاب می شوند. گفتنی است این فرضیه ها با طراحی مدل های رگرسیون چند متغیره مورد آزمایش قرار می گیرند. نتایج نشان می دهد که با استفاده از روش فاما مکبث ، ریسک اطلاعات حسابداری؛ رفتار معاملات سرمایه گذاران و احساسات سرمایه گذاران تأثیر معنادار و مستقیمی بر بازده سهام بنگاه ها دارد. بنابراین ، استدلال می شود که متغیرهای رفتاری می توانند نقش مهمی در مدل سازی قیمت گذاری دارایی داشته باشند.

Keywords [فارسی]

  • ریسک اطلاعات حسابداری
  • رفتار معاملاتی سرمایه‌گذاران
  • تمایلات سرمایه‌گذاران
  • بازده سهام
  • رویکرد فاما-مک‌بث
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