Market Fragility and Stock Returns: Evidence from Tehran Stock Exchange

Iranian Journal of Accounting, Auditing and Finance

مقاله 5، دوره 6، شماره 2 - شماره پیاپی 19، مرداد 2022، صفحه 69-82   

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2022.41733

نویسندگان

Javad Sadeghi Panah¹؛ Mansour Garkaz^{* 1}؛ Parviz Saeidi²؛ Alireza Matoufi¹

¹Department of Accounting, Gorgan Branch, Islamic Azad University, Gorgan, Iran

²Department of Accounting and Management, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran

چکیده

Recognising and investigating stock return behaviour has always been one of the most critical issues in scientific and investment communities. In recent years, factor models have been used in many studies related to stock return prediction. This research is based on a six-factor model, including the Fama-French five-factor model plus the market fragility factor. The explanatory power of this model has been examined in the Tehran securities market from 2009 to 2018 for 117 companies. The results show that the explanatory power of the six-factor model is better than the Fama-French five-factor model in the Iranian capital market. The results also suggest that market fragility has a significant negative relationship with stock returns. Policymakers can consider this result in financial and investment issues and people interested in this issue.

کلیدواژه‌ها

Fama-French five-factor Model؛ Market fragility؛ Risk؛ Stock Returns