تعامل ریسک سیستماتیک با بازده سهام در بورس اوراق بهادار تهران
The interaction of systematic risk with stock returns in the Tehran Stock Exchange
Saeed Dehghan Khavari,
Seyed Hossein Mirjalili and
Nafiseh Keshtgar
MPRA Paper from University Library of Munich, Germany
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.
Keywords: stock return; systematic risk; Tehran Stock Exchange; Generalized moments; Panel Data. (search for similar items in EconPapers)
JEL-codes: C23 G12 L25 O16 (search for similar items in EconPapers)
Date: 2018-10-15, Revised 2018-12-18
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Published in Journal of financial Economics 49.13(2019): pp. 257-282
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https://mpra.ub.uni-muenchen.de/125790/1/MPRA_paper_125611.pdf revised version (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:125611
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