Analyzing the Impact of Firm-Specific Variables on Stock Returns: A Fama-French and Fama-Macbeth Approaches

The current research was conducted with the aim of investigating the ability of Fama and French three factor and five factor models and using the Fama and Macbeth regression approach in explaining a set of anomalies.For this purpose, the number of 136 companies admitted to the Tehran Stock Exchange was selected for the period from 2008 to 2023.Next, each of the abnormality variables was divided into five portfolios and after comparing the average excess returns of the stocks, it was done to compare the explanatory power of different portfolios in terms of the number of anomalies.The total findings indicate that there is a significant difference between the number of additional returns of stocks in different portfolios formed based on the investigated anomalies, which means the efficiency of the portfolio.The results obtained from examining the impact of anomalies on the explanation of excess stock returns show that among the investigated anomalies, dividend variables, bankruptcy risk and stock return risk have a significant effect in both three factor and fivefactor models.It has had an effect on the explanation of the excess return of shares, but accruals have not had a significant effect on the explanation of the excess return of shares.This result suggests that part of the stock return is explained by the mentioned variables at a significant level.In addition, the findings of the research comparing the amount of explanation of the excess return of stocks in different portfolios in terms of the anomalies investigated in the three factor and five factor models of Fama and French indicate that there is no significant difference between the two models.