توسعه مدل‌های عاملی قیمت‌گذاری فاما و فرنچ با استفاده از عامل بنیادی مبتنی بر ویژگی‌های حسابداری

هدف این پژوهش، معرفی عامل بنیادی مبتنی بر ویژگی های حسابداری، شامل نسبت سود به قیمت، نسبت ارزش دفتری به ارزش بازار، نرخ رشد فروش، اقلام تعهدی، سرمایه گذاری و رشد خالص دارایی های عملیاتی، به عنوان یک عامل در مدل های چند عاملی قیمت گذاری فاما و فرنچ است که مستخرج از نظریه مصرف و اصول و مفروضات حسابداری می باشد. به منظور آزمون فرضیه ها از اطلاعات 345 شرکت پذیرفته شده در بورس اوراق بهادار تهران و فرابورس ایران طی بازه 1385-1398 استفاده شده است. برای ارزیابی عملکرد مدل های چند عاملی قیمت گذاری دارایی ها، دارایی های آزمون در دو دسته، با لحاظ کردن ویژگی بازده مورد انتظار شرکت و بدون لحاظ کردن ویژگی بازده مورد انتظار شرکت، طبقه‌بندی شده اند. در ادامه به کمک رویکرد رگرسیون های سری زمانی، عملکرد مدل های بسط یافته با عامل بنیادی مبتنی بر ویژگی های حسابداری مذکور و مدل های متداول در توضیح بازده سهام مقایسه شده اند. نتایج این پژوهش نشان می دهد که بسط مدل های مورد بررسی پژوهش با عامل بنیادی مبتنی بر ویژگی های حسابداری موجب می شود تا عملکرد این مدل ها در توضیح الگوهای مختلف بازده سهام بهبود یابد که این تفاوت عملکرد از لحاظ قدرت توضیح دهندگی برای دارایی های آزمونی که با استفاده از بازده مورد انتظار تشکیل شده، مطلوب تر می باشد. یافته های این پژوهش بیانگر این مهم است که اطلاعات صورت های مالی دارای محتوای اطلاعاتی بوده و در تعیین بازده مورد انتظار می تواند نقش انکارناپذیری داشته باشند.

Developing Fama and French MultiFactor Pricing Model Using a Fundamental Factor Based on Accounting Characteristics

Journal of Accounting Advances, (2020) 12(1):DOI: 10.22099/JAA.2021.39285.2077     Journal of Accounting Advances (JAA)Journal homepage: www.jaa.shirazu.ac.ir/?lang=en      Developing Fama and French MultiFactor Pricing Model Using a Fundamental Factor Based on Accounting CharacteristicsSanaz Aalamifar1, Abdollah Khani2*, Hadi Amir3  1. Ph.D. Candidate, Department of Accounting, Faculty of Administrative Science and Economics, University of Isfahan, Iran. sanazaalamifar@ase.ui.ac.irCorresponding author, Associate Prof., Department of Accounting, Faculty of Administrative Science and Economics, University of Isfahan, Isfahan, Iran. a.khani@ase.ui.ac.irAssistant Prof., Department of Economic, Faculty of Administrative Science and Economics, University of Isfahan, Isfahan, Iran. h.amiri@ase.ui.ac.ir      ARTICLE INF  ABSTRACT     Received: 20201221Accepted: 20210403   The purpose of the present research is to introduce a fundamental factor, based on related accounting characteristics (including earnings to price, book to price, sales growth rate, accruals, investment and growth in net operating assets), as a factor in the structure of Fama and French asset pricing model. The mentioned factor has been deducted from consumption theory and accounting principles and assumptions. In order to test the hypotheses, data of 345 companies listed in the Tehran Stock Exchange (TSE) and Iran Farabourse market, during the period 2006 to 2020, were used. To evaluate the performance of the multifactor asset pricing model, test assets were ranked in two categories (once considering expected return characteristic, and once without considering the company’s expected return characteristic). In the following, using time series regression approach, the performance of augmented multifactor asset pricing models and corresponding conventional ones are compared. The results of this research showed that development of the research models with the fundamental factor based on mentioned accounting characteristics, can lead to improving the performance of these multifactor models in explaining the variation in (expected) stock returns, and the test assets that considered the company’s expected return performed better compared to those that did not. The findings of this study indicate that the information in the financial statements has information content and can play an undeniable role in determining the expected return.      * Corresponding author: Abdollah Khani Associate Prof., Department of Accounting, Faculty of Administrative Science and Economics, University of Isfahan, Isfahan, Iran.  Email: a.khani@ase.ui.ac.ir      1IntroductionIdentifying the correct asset pricing model has long been an important topic in the thematic literature of financial economics. Such a model not only explains stock returns, but also increases the ability to predict abnormal returns. The first models for estimating returns date back to the 1960s, when Markowitz’s (1952) new theory of securities attracted the attention of researchers. The first model for estimating returns was the capital asset pricing model (CAPM) which was presented by William Sharp (1964). In his research, William Sharp showed that return on asset was a function of line of market risk premium. But from 1975 to 1990, deviations and anomalies related to the CAPM model gradually became apparent. Following the recognition of these anomalies in accounting, in this study, based on the research of Penman and Zhou (2018), a fundamental factor based on accounting characteristics is introduced. For this purpose, consumption theory and accounting principles and assumptions will be used for initial identification; and empirical tests will be used for final identification of accounting characteristics that affect earnings growth and expected returns.  Then these identified characteristics are summarized in a factor called the fundamental factor. Therefore, the purpose of this study is to evaluate the possibility of improving the performance of the asset pricing factor models in explaining the stock returns by adding a fundamental factor based on accounting characteristics. The hypothesis, methods, result and discussion and conclusion have been explained below. 2HypothesisThe aim of this research is to introduce a fundamental factor based on accounting characteristics as a factor in the structure of the Fama and French asset pricing models. For this purpose, data of 345 companies, listed in the Tehran Stock Exchange, during the period 2006 to 2020 have been used. In order to achieve the objectives of this research, the following hypothesis are developed:H1: Adding a fundamental factor, based on accounting characteristics, to Fama and French threefactor model, improves its performance in explaining the stock returns.H2: Adding a fundamental factor, based on accounting characteristics, to Carhart fourfactor model, improves its performance in explaining the stock returns.H3: Adding a fundamental factor, based on accounting characteristic, to Fama and French fivefactor model, improves its performance in explaining the stock returns.H4: Adding a fundamental factor, based on accounting characteristics, to Fama and French sixfactor model, improves its performance in explaining stock returns. 3 MethodsThis is an applied research in terms of purpose and an inferential and descriptive research, in terms of method. For data analysis and hypothesis testing, the data have been collected from 345 companies listed in the Tehran Stock Exchange for a period of 15 years (2006 to 2020). For initial calculations, the Excel and Ox Metrics software tools, and for the final analysis, Eviews and State software tools were used. 4 ResultsThe results of this research showed that a research model with fundamental factor, based on accounting characteristics, has a better performance in explaining the stock returns compared to the corresponding multifactor pricing models; and the tests that considered the company’s expected return, performed better compared to those that did not. 5 Discussion and Conclusion Findings of this research indicate that adding a fundamental factor based on accounting characteristics to Fama and French threefactor, Carhart fourfactor, Fama and French fivefactor, and Fame and French sixfactor models, improves their performance in explaining the stock returns. In other words, developing a model with a fundamental factor, based on accounting characteristics, can lead to an improvement in the asset’s pricing model. This is a result of all the efforts that have been made since the time of Sharpe (1964). In addition, the research findings show that despite the research and efforts that have been made in the field of assets’ pricing, it is still possible to further develop this model from other angles in the financial field.