Income Smoothing and Stock Return Based on Fama-French Three-Factor Model | ||
| مطالعات تجربی حسابداری مالی | ||
| Article 5, Volume 9, Issue 35, October 2012, Pages 93-106 PDF (662.92 K) | ||
| Document Type: Research Paper | ||
| Authors | ||
| M Ghaemi; M Moradipour; M Karim | ||
| Abstract | ||
| Recently, some of the accounting researches in Iran capital market have been devoted to income smoothing, but not so many on relationship with stock value. We mean to evaluate the effect of income smoothing stock return. Therefore, there is a need to measure the expected return, for which we use Fama-French three-factor model in this paper. To estimate the model, we use monthly data from 2006-2010. Also, sample concludes 90 listed companies in TSE. Income smoothing is measured by volatility ratio of operational income to cash flow from operation. Our findings show that income smoothing is another relevant factor in Fama-French three-factor model. In other words, income smoothing is relevant to stock return and the less volatility ratio, the less the expected return of shareholders. | ||
| Keywords | ||
| Income smoothing; Fama -French three-factor model; Stock Returns | ||
| References | ||
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