اختبار نموذج تسعير الموجودات متعدد العوامل المعدل في التنبؤ بعوائد الاسهم

Test the Modified Multifactor Asset Pricing Model to Predict Stock Returns

This study aims to test the predictive ability of the multi-factor asset pricing model adjusted for stock returns in the Iraqi stock market and the extent to which the model can be applied in the market. HML value, RMW operating profit premium, CMA investment premium, inflation I) as independent variables. Equity portfolios have been created 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, it was applied to the study sample, 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. In order to achieve the goal of the study and test its hypotheses, some financial methods were used, as well as the use of the multiple regression model through the Excel-v16 program. Accordingly, the study concluded a number of conclusions, perhaps the most important of which are: The ability of the modified multi-factor asset pricing model to predict stock returns, which was clarified in the values of the square root of the mean squared error, and the study came out with a number of recommendations, the most important of which are: The importance of applying the modified multi-factor asset pricing model in Iraq Stock Exchange to determine the required rate of return on investment.