Heterogeneous Intermediary Asset Pricing in Iran’s Stock Market: Privately-Owned vs. State-Owned

Mohammad Hossein Dehghani and Monireh Ravanbakhsh

Emerging Markets Finance and Trade, 2024, vol. 60, issue 5, 1048-1063

Abstract: In Iran’s stock market, this paper examines a new dimension of heterogeneity: ownership type, using an intermediary asset pricing model. When only state-owned intermediaries are considered, the price for exposure to capital ratio shocks is negative; thus, the group is not a marginal investor. Considering only privately-owned intermediaries has greater explanatory power than considering both types, and the price for capital risk is positive in both cases. We propose a new criterion to represent the sector with even greater explanatory power: a group of privately-owned intermediaries with positive capital risk prices when tested individually.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:60:y:2024:i:5:p:1048-1063

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DOI: 10.1080/1540496X.2023.2266113

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