TheImpact of Higher Moments and Nonsystematic Volatility on Future Stock Return using Fama-MacBeth Model
In capital assets pricing model (CAPM) frame, the all effective factors in expected return, are summarized in Beta. As many assumptions in this model are not real, it necessitates the development of new models, and each one of them in its own part caused a new deficiency in mentioned assumptions. In...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2017-12-01
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| Series: | مطالعات تجربی حسابداری مالی |
| Subjects: | |
| Online Access: | https://qjma.atu.ac.ir/article_8780_b7061f4b7f178e5076117485a4e656ae.pdf |
| _version_ | 1827400541724999680 |
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| author | Javad Shekarkhah Ghasem Bolu Mohammad Haghighat |
| author_facet | Javad Shekarkhah Ghasem Bolu Mohammad Haghighat |
| author_sort | Javad Shekarkhah |
| collection | DOAJ |
| description | In capital assets pricing model (CAPM) frame, the all effective factors in expected return, are summarized in Beta. As many assumptions in this model are not real, it necessitates the development of new models, and each one of them in its own part caused a new deficiency in mentioned assumptions. In CAPM the assumptions are based on the fact that distribution of returns is normal and all investors are risk averse. However, distribution of returns is not always normal and often there is a significant difference between normal distributions. Mean-variance can be the best method for decision making. If distribution of returns is not normal, then mean-variances generalization is not working. Existence of representative problems, valid or limited debts, correlation between volatility and pricing, and compound returns are factors lid to asymmetry in portfolio returns. As a result, this paper by using cross sectional data and based on Fama-Mac Beth model is analyzing the effect of higher moments on future stock return. In this paper, because of applied target as descriptive research there is a correlation which the effect of skewness and kurtosis of equity return distribution and nonsystematic volatility on future stock return is examined by three different hypothesis. In order to accomplish this paper, a sample of 76 firms participating in Tehran exchange stock between 1389 to 1393 as systematically elimination is selected. As a result of this research, skewness coefficient is effective on future stock return and has a negative relationship with it. On the other hand, whatever the skewness of distribution is negative, then the future stock return is going up. And also there is a positive effect between nonsystematic volatility of equity return and future’s return. On other word, investor by increasing nonsystematic volatility and accepting higher risks, expects higher return in the future |
| first_indexed | 2024-03-08T20:04:45Z |
| format | Article |
| id | doaj.art-188a052da03f47619ddce203b5e9b7a7 |
| institution | Directory Open Access Journal |
| issn | 2821-0166 2538-2519 |
| language | fas |
| last_indexed | 2024-03-08T20:04:45Z |
| publishDate | 2017-12-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | مطالعات تجربی حسابداری مالی |
| spelling | doaj.art-188a052da03f47619ddce203b5e9b7a72023-12-23T10:36:51ZfasAllameh Tabataba'i University Pressمطالعات تجربی حسابداری مالی2821-01662538-25192017-12-01145610913310.22054/qjma.2018.87808780TheImpact of Higher Moments and Nonsystematic Volatility on Future Stock Return using Fama-MacBeth ModelJavad Shekarkhah0Ghasem Bolu1Mohammad Haghighat2Assistant Professor of Accounting Department, Allameh Tabataba’i University, TehranAssociate Professor of Accounting Department, Allameh Tabataba’i University, TehranM.S. of Financial Management, Allameh Tabataba’i University, TehranIn capital assets pricing model (CAPM) frame, the all effective factors in expected return, are summarized in Beta. As many assumptions in this model are not real, it necessitates the development of new models, and each one of them in its own part caused a new deficiency in mentioned assumptions. In CAPM the assumptions are based on the fact that distribution of returns is normal and all investors are risk averse. However, distribution of returns is not always normal and often there is a significant difference between normal distributions. Mean-variance can be the best method for decision making. If distribution of returns is not normal, then mean-variances generalization is not working. Existence of representative problems, valid or limited debts, correlation between volatility and pricing, and compound returns are factors lid to asymmetry in portfolio returns. As a result, this paper by using cross sectional data and based on Fama-Mac Beth model is analyzing the effect of higher moments on future stock return. In this paper, because of applied target as descriptive research there is a correlation which the effect of skewness and kurtosis of equity return distribution and nonsystematic volatility on future stock return is examined by three different hypothesis. In order to accomplish this paper, a sample of 76 firms participating in Tehran exchange stock between 1389 to 1393 as systematically elimination is selected. As a result of this research, skewness coefficient is effective on future stock return and has a negative relationship with it. On the other hand, whatever the skewness of distribution is negative, then the future stock return is going up. And also there is a positive effect between nonsystematic volatility of equity return and future’s return. On other word, investor by increasing nonsystematic volatility and accepting higher risks, expects higher return in the futurehttps://qjma.atu.ac.ir/article_8780_b7061f4b7f178e5076117485a4e656ae.pdffuture stock returnskewness and kurtosis equity return distributionnonsystematic volatility |
| spellingShingle | Javad Shekarkhah Ghasem Bolu Mohammad Haghighat TheImpact of Higher Moments and Nonsystematic Volatility on Future Stock Return using Fama-MacBeth Model مطالعات تجربی حسابداری مالی future stock return skewness and kurtosis equity return distribution nonsystematic volatility |
| title | TheImpact of Higher Moments and Nonsystematic Volatility on Future Stock Return using Fama-MacBeth Model |
| title_full | TheImpact of Higher Moments and Nonsystematic Volatility on Future Stock Return using Fama-MacBeth Model |
| title_fullStr | TheImpact of Higher Moments and Nonsystematic Volatility on Future Stock Return using Fama-MacBeth Model |
| title_full_unstemmed | TheImpact of Higher Moments and Nonsystematic Volatility on Future Stock Return using Fama-MacBeth Model |
| title_short | TheImpact of Higher Moments and Nonsystematic Volatility on Future Stock Return using Fama-MacBeth Model |
| title_sort | theimpact of higher moments and nonsystematic volatility on future stock return using fama macbeth model |
| topic | future stock return skewness and kurtosis equity return distribution nonsystematic volatility |
| url | https://qjma.atu.ac.ir/article_8780_b7061f4b7f178e5076117485a4e656ae.pdf |
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