asset pricing anomalies at the firm level

Anomaly is deviation from common rules and in finance it can be defined as a pattern in the average of stock return that is not consistent with the prevailing asset pricing models literature. For anomaly investigation two common methods are used: portfolio approach and individual firm approach. This paper wants to shed light on anomalies of capital asset pricing model at the individual firm level. This approach is used because of portfolio approach deficiencies. The sample consists of 1150 firm – year observations in Tehran stock exchange in the period of 1387-1396. Bayesian approach and standard Markov chain Monte Carlo have been used to test hypothesis. The results show that the variables which consist of size, book value to market value, momentum, profitability, asset growth, working capital accrual items, financial distress, investments, net stock issuance and external financing cannot be interpreted as anomaly when the test is at the individual firm level. Keywords: Anomaly, Hierarchical Bayesian, Capital Asset Pricing Model