اختبار نموذج تسعير الموجودات متعدد العوامل في سوق العراق للأوراق المالية
الكلمات المفتاحية:
تسعير الموجودات، نموذج Fama- French ذي العوامل الخمسةالملخص
تهدف هذه الدراسة الى اختبار تأثير متغيرات نموذج French Fama - ذي العوامل الخمسة في العائد المطلوب على الاسهم في سوق العراق للأوراق المالية، وتمثلت متغيرات النموذج بالعائد المطلوب على الاسهم كمتغير تابع و (اضافة مخاطرة السوقRm-Rf ،اضافة الحجم SMB ،اضافة القيمة HML،اضافة الربحية التشغيلية RMW واضافة الاستثمار CMA) كمتغيرات مستقلة ، ومن أجل اختبار النموذج فقد جرى تطبيقها لعينة الدراسة والتي تمثلت بـ(33) شركة من أصل(130) شركة مدرجة في سوق العراق للأوراق المالية وللمدة من شهر يوليو2006 ولغاية شهر يونيو 2021 ، ولتحقيق هدف الدراسة واختبار فرضيتها الرئيسة جرى استخدام نموذج الانحدار المتعدد عبر برنامج Excel-v16 وبناءً عليه خلصت الدراسة الى عدد من الاستنتاجات ولعل أهمها : هنالك تأثير ذي دلالة معنوية لنموذج تسعير الموجودات متعدد العوامل في معدل العائد المطلوب على الاسهم، ولقد خرجت الدراسة بعدد من التوصيات أهمها:اهمية الاستثمار في الشركات صغيرة الحجم ، لأنها تحقق معدلات عوائد أعلى منه في الشركات الكبيرة.
المراجع
الكــتــب
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البحوث المنشورة
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الرسائل
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البحوث غير المنشورة
- Panagiotakopoulos, Ioannis, and Vasileia Stavrakaki. "Fama French five-factor model testing in Europe.", 2016.
- Charitou, Andreas, and Constantinidi, Eleni. "Size and book-to-market factors in earnings, cash flows and stock returns: empirical evidence for the UK." Cash Flows and Stock Returns: Empirical Evidence for the UK (January 12, 2003) (2003).
- Gu, Qian,"Size and Book-to-Market Factors in Returns.", Utah State University ,(2015).
- Haqqani, Kanwal, and Rahman, Wali. "The Empirical Test of Fama-French Five-Factor Model: Evidence." (2020) .
التنزيلات
منشور
كيفية الاقتباس
إصدار
القسم
الرخصة
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