نوع مقاله : مقاله پژوهشی
نویسندگان
1 استادیار، گروه حسابداری، دانشگاه پیام نور، تهران، ایران.
2 کارشناسی ارشد حسابداری، دانشگاه پیام نور، تهران، ایران.
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
The primary objective of this study is to evaluate the explanatory power of risk-adjusted excess returns in single-stock capital asset pricing models (CAPM) using an instrumental variable approach, in comparison to portfolio-based factor models, with the aim of identifying the superior pricing model. The models assessed include single-factor CAPM, the three-factor and five-factor Fama-French models, the Carhart four-factor model, the Hou, Xue, and Zhang q-factor model, and the modified q-factor model by Hou et al. These models were examined under three specifications: constant beta, time-varying beta, and single-stock characteristics. Data from 196 companies listed on the Tehran Stock Exchange from 2015 to 2024 were analyzed using Ordinary Least Squares (OLS) and Generalized Method of Moments (GMM). The findings indicate significant differences in the explanatory power of risk-adjusted excess returns between multifactor models and the single-factor model, as well as between models with time-varying betas and those with constant betas. Among the six models with constant betas and no single-stock characteristics, the Fama-French five-factor model demonstrated the highest explanatory power. In contrast, the time-varying beta specification of the Hou, Xue, and Zhang q-factor model exhibited the greatest ability to explain risk-adjusted excess returns. Moreover, factor models incorporating single-stock characteristics showed significantly higher explanatory power than those without such characteristics. Additionally, models estimated via OLS provided more accurate predictions of risk-adjusted excess returns compared to those estimated using GMM. The sensitivity analysis using the GMM approach indicates that while some complex models face overfitting risks within the instrumental variables framework, the augmented...
کلیدواژهها [English]
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