تعامل ریسک سیستماتیک با بازده سهام در بورس اوراق بهادار تهران

Dehghan Khavari, Saeed and Mirjalili, Seyed hossein and Keshtgar, Nafiseh (2018): تعامل ریسک سیستماتیک با بازده سهام در بورس اوراق بهادار تهران. Published in: Journal of financial Economics , Vol. 13, No. 49 (19 March 2019): pp. 257-282.

Abstract

One of the determinants of return stock is the awareness of the risk level of firms, particularly systematic risk. Systematic risk plays an important role in financial decisions by influencing the profitability and productivity of the firm. The present study tries to investigate the issue by using the generalized moment’s method in the panel data panel of Tehran stock exchange. It is important to choose this method for the first time in this regard that stock return can affect itself and thus stock return would be as a explainationary factor with other ones. Because of model specification, the coefficients will also be more accurate and unbiased. Explanatory variables were selected in such a way that one index from each group to prevent autocorrelation between indices and to reduce the accuracy of the results. The result of this study shows a significant relationship between stock return and lagged stock return that confirms the effectiveness of the method. The results show that the inverse relationship of stock return with systematic risk and information asymmetry and direct relation with the EPS and the of cash flow to the asset ratio. In addition, there is insignificant relation between stock return and firm size and book value to market ratio.

• Item Type: MPRA Paper
• English Title: The interaction of systematic risk with stock returns in the Tehran Stock Exchange
• Language: Persian
• Keywords: stock return, systematic risk, Tehran Stock Exchange, Generalized moments, Panel Data.
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; L - Industrial Organization > L2 - Firm Objectives, Organization, and Behavior > L25 - Firm Performance: Size, Diversification, and Scope; O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance

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