اختبار نموذج تسعير الموجودات متعدد العوامل المعدل في التنبؤ بعوائد الأسهم : دراسة تطبيقية في سوق العراق للأوراق المالية

Abstract EN

The research aims to test the predictive ability of the French Fama model - with five factors adjusted to the inflation factor of stock returns in the Iraqi stock market and the extent to which the model can be applied in the market.

Size (SMB), value premium HML, operating profit premium (RMW), investment premium (CMA), inflation I) as independent variables.

Stock portfolios have been constructed based on the Fama-French (2014) approach using the annual screening procedure (2×2).

In order to test the predictive ability of the modified multi-factor asset pricing model, the research sample was applied, which was represented by (33) companies out of (130) companies listed on the Iraqi Stock Exchange for the period from July 2006 until June 2021, which were selected according to specific conditions.

To achieve the goal of the research and to test its hypotheses, some financial methods were used, as well as the use of the multiple regression model via the Excel-v16 program.

In the values of the square root of the mean squares of errors, and the research came out with a number of recommendations, the most important of which are: The importance of investing in small-sized companies as they achieve higher rates of return than in large-sized companies.