ﺑﺴﻂ ﻣﺪلﻫﺎي ﻋﺎﻣﻠﯽ ﻗﯿﻤﺖﮔﺬاري داراﯾﯽﻫﺎي ﺳﺮﻣﺎﯾﻪاي از ﻃﺮﯾﻖ ﻗﯿﻤﺖﮔﺬاري ﻋﻮاﻣﻞ ارزش، ﻣﻮﻣﻨﺘﻮم و ﮐﯿﻔﯿﺖ ﺳﻬﺎم

The Expansion of Capital Asset Pricing Factor Models through Pricing Value ، Momentum and stock quality at Tehran stock exchange

ﺗﻼشﻫﺎﯾﯽ درﮔﺬﺷﺘﻪ در راﺳﺘﺎي ﯾﺎﻓﺘﻦ اﻟﮕﻮي ﻣﻨﺎﺳﺐ ﻗﯿﻤﺖﮔﺬاري داراﯾﯽﻫﺎ ﺻﻮرت ﮔﺮﻓﺘﻪ ﮐﻪ ﻣﻨﺠﺮ ﺑﻪ ﺷﮑﻞ ﮔﺮﻓﺘﻦ ﻓﺮﺿﯿﻪ ﺑﺎزار ﮐﺎرا ﺷﺪه و ﭘﮋوﻫﺶﻫﺎي اﯾﻦ ﺣﻮزه در ﺟﻬﺖ ﮐﺸﻒ ﻋﻮاﻣﻞ رﯾﺴﮏ ﻣﺆﺛﺮ ﺑﺮ ﭘﯿﺶﺑﯿﻨﯽ ﺑﺎزده اﻧﺠﺎمﺷﺪه اﺳﺖ. ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ راﺑﻄﻪ ﻣﻌﮑﻮس و ﻗﻮي ﻋﻮاﻣﻞ ارزش و ﻣﻮﻣﻨﺘﻮم و ﻋﺪم اﺳﺘﻔﺎده ﻫﻢزﻣﺎن از آنﻫﺎ در ﻣﺪلﻫﺎي ﻗﯿﻤﺖﮔﺬاري و ﻧﯿﺰ ﻋﺪم اﺳﺘﻔﺎده از ﮐﯿﻔﯿﺖ ﺳﻬﺎم ﺑﻪﻋﻨﻮان ﻧﻤﺎﯾﻨﺪه ﻋﻮاﻣﻞ ﺳﻮدآوري و ﺳﺮﻣﺎﯾﻪﮔﺬاري در ﻣﺪلﻫﺎ، اﺳﺎس ﮐﺎر ﭘﮋوﻫﺶ ﺣﺎﺿﺮ اراﺋﻪ ﻣﺪﻟﯽ ﭼﻬﺎر ﻋﺎﻣﻠﯽ و ﻧﻮﯾﻦ ﺑﺮ ﻣﺒﻨﺎي ﻋﻮاﻣﻞ ارزش، ﻣﻮﻣﻨﺘﻮم و ﮐﯿﻔﯿﺖ ﺳﻬﺎم ﺑﻪ ﻫﻤﺮاه رﯾﺴﮏ ﺑﺎزار و ﻣﻘﺎﯾﺴﻪ آن ﺑﺎ ﻣﺪلﻫﺎي رﻗﯿﺐ ﺑﻮده اﺳﺖ. ﺑﻪ ﻫﻤﯿﻦ ﻣﻨﻈﻮر ﺑﺎ اﻋﻤﺎل ﻣﺤﺪودﯾﺖﻫﺎﯾﯽ ﻃﯽ دوره زﻣﺎﻧﯽ ﺳﺎلﻫﺎي 1386-1395، ﺗﻌﺪاد 120 ﺷﺮﮐﺖ ﺑﺎ روش ﺣﺬف ﺳﯿﺴﺘﻤﺎﺗﯿﮏ ﺑﺮاي ﻧﻤﻮﻧﻪ اﻧﺘﺨﺎب ﺷﺪ و آزﻣﻮنﻫﺎي ﻻزم ﺑﺎ روش ﺗﺤﻠﯿﻞ ﭘﺮﺗﻔﻮ ﺑﻪ اﺟﺮا درآﻣﺪ. ﻧﺘﺎﯾﺞ آزﻣﻮن ﻣﺪلﻫﺎ و ﻓﺮﺿﯿﺎت ﺑﯿﺎﻧﮕﺮ وﺟﻮد ﻫﻤﮕﺮاﯾﯽ ﺑﯿﻦ ﻋﻮاﻣﻞ ارزش، ﻣﻮﻣﻨﺘﻮم و ﮐﯿﻔﯿﺖ ﺳﻬﺎم ﺑﺎ ﺑﺎزده ﻣﺎزاد ﺳﻬﺎم ﺑﻮده و اﯾﻦ ﺳﻪ ﻋﺎﻣﻞ ﻣﻨﺠﺮ ﺑﻪﺻﺮف رﯾﺴﮏ در ﭘﺮﺗﻔﻮﻫﺎي ﻣﺼﻮنﺳﺎزي ﺑﺮ ﻣﺒﻨﺎي وﯾﮋﮔﯽ ﺷﺪه اﺳﺖ. ﻫﻤﭽﻨﯿﻦ ﻣﺪل ﭼﻬﺎر ﻋﺎﻣﻠﯽ ﻣﺰﺑﻮر، ﺑﺎﻻﺗﺮﯾﻦ ﺗﻮان ﺗﻮﺿﯿﺢ دﻫﻨﺪﮔﯽ و ﺑﻬﺘﺮﯾﻦ ﻋﻤﻠﮑﺮد را ﻧﺴﺒﺖ ﺑﻪ ﻣﺪلﻫﺎي ﻗﯿﻤﺖﮔﺬاري داراﯾﯽﻫﺎي ﺳﺮﻣﺎﯾﻪاي ﻧﻈﯿﺮ ﻣﺪل )CAPM( و ﻣﺪل ﺳﻪ ﻋﺎﻣﻠﯽ ﻓﺎﻣﺎ و ﻓﺮﻧﭻ اراﺋﻪ داده اﺳﺖ.

Considering the inverse relationship between the value and momentum factors and the lack of simultaneous use of them in capital asset pricing models as well as non-use of stock quality as representative of profitability ans investment factors such as CAPM and Fama and French's three-factor models, the basis of this study is to provide a new functional model has been replacing pricing models of investing in stocks based on value, momentum and stock quality with market risk. For this purpose, by imposing restrictions during the period of 1387-1395, 120 companies were selected for the sample and the necessary tests were carried out. The results of the test of models and assumptions indicate the existence of convergence between the value , momentum and stock quality factors with the excess return on stocks in portfolios based on value / momentum and value / size characteristics, and these three factors lead to the risk premium in the investment Characteristic-balanced Portfolios based on Value and momentum. Also, the four-factor model of value, momentum and stock quality with market risk, has more explanatory power among competing models, and has the best performance compared to the CAPM model and the Fama and French three-factor model.