Investment Option Model Indicators and its Impact on Stock Returns

Document Type : Original Article

Authors

1 Employer

2 Department of Accounting, Babol Branch, Islamic University, Babol , Iran

3 Assistant professor of accounting university of Qom

4 Assistant Professor, Department of Accounting, Faculty of Management and Accounting, Islamic Azad University, Babol, Iran

10.22034/iaar.2022.162397

Abstract

The success of any asset pricing model should depend on the proportionality of the real options in the value of the companies whose returns are tested in the model test. The purpose of this study is to investigate the Investment Option Model Indicators and its impact on stock returns. The statistical population of this study consisted of 146 companies in the period 1390-1397. This research is applied in terms of and in terms of nature and content is correlational and the research hypotheses are estimated using multivariate regression approach and panel data method. The results of the hypotheses test showed that investment options based on Grullon's four-factor model affect stock In addition, the results showed that there is a significant difference between the explanatory power of Fama and French's five-factor asset pricing model and the investment options model based on Grullon's four-factor model in explaining stock returns. And the explanatory power of the Grullon's four-factor model in explaining stock returns is more than the Fama and French five-factor model.

Keywords

Accounting and Auditing Research
Volume 14, Issue 55
September 2022
Pages 159-174

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