فعالية إستخدام نموذج العوائد المتعددة في تفسير سلوك الأسواق المالية

Abstract

This study aims to analyze the behavior of financial assets returns, after inability of CAPM and EMH to interpret many situations in the financial market, these anomalies especially those resulting from investors’ irrational behavior. There is a need to develop a capital asset pricing model, in order to rectify the identified deficiencies we used the six-factor model. This study focuses on the European financial market during the period from August 1998 to December 2013, there is a positive relationship between return, size, and value factors, there is also a momentum effect in some portfolios, while the reversal effect does not seem strong.