CAPM Anomalies Analysis in Respect of Hierarchical Bayesian Approach

Tabatabaei, Seyed Jalal

CAPM Anomalies Analysis in Respect of Hierarchical Bayesian Approach

Document Type : applied

Author

seyed jalal tabatabaei

lecturer, Management Department, Payam noor University, Yazd, Iran

Abstract

The purpose of investors gets rational returns for investing in firms' stocks. Stock price or changes in it is one of the criteria for decision-making about buying and selling stocks. This study has tried to access capital asset pricing anomalies in TSE. The sample consisted of112 selected companies during the years 1384-1394. Firm characteristics as of anomalies include firm size, book value to market value, momentum, net marginal profit, asset growth rate, and the share issue. The hierarchical Bayesian approach in modeling conditional alpha on the company as a function of the characteristics of the company has been introduced. The results of the study show the existence of anomalies in the capital asset pricing model in separate analysis of characteristics. But the effect at the simultaneous analysis of the characteristics is reduced. The results indicate that there is a direct relationship between stock returns and four variables named book value to market value, momentum, net marginal profit and share issue but the relations between stock returns, firm size and growth rate of assets, would be inverse.
JEL: G10, G12, G14
How to cite this paper: Tabatabaei, S. J (2017). CAPM Anomalies Analysis in Respect of Hierarchical Bayesian Approach. Quarterly Journal of Risk Modeling and Financial Engineering, 2(2), 179– 196. (In Persian)

Keywords

Main Subjects

FINANCIAL ECONOMETRICS

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