اختبار نموذج تسعير الموجودات متعدد العوامل في سوق العراق للأوراق المالية

علي أحمد فارس; سجى محمد أيوب

المؤلفون

علي أحمد فارس
سجى محمد أيوب

الكلمات المفتاحية:

تسعير الموجودات، نموذج Fama- French ذي العوامل الخمسة

الملخص

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 السوقR_m-R_f،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.

السيرة الشخصية للمؤلف

علي أحمد فارس

استاذ مساعد دكتور

قسم ادارة الاعمال

المراجع

الكــتــب

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البحوث المنشورة

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الرسائل

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البحوث غير المنشورة

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