An Investigation of the Relationship between Market Return, Firm Size and Book-to-Market Value of Equity with Return of Equity in Tehran Stock Exchange
This paper investigated the relationship between market return, firm size and book-to-market value of equity with return of equity in Tehran Stock Exchange (TSE). For this purpose we use Fama-French three factor model (1993) to investigate the effects of market return, firm size and book-to-market v...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2008-12-01
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| Series: | مطالعات تجربی حسابداری مالی |
| Subjects: | |
| Online Access: | https://qjma.atu.ac.ir/article_4296_fd836d6d5304da9c3ca60928eb7c3f84.pdf |
| Summary: | This paper investigated the relationship between market return, firm size and book-to-market value of equity with return of equity in Tehran Stock Exchange (TSE). For this purpose we use Fama-French three factor model (1993) to investigate the effects of market return, firm size and book-to-market value of equity on equity return. We use OLS regression to analyzing the collected of data during 1376 to
1383. Our results indicate a significant relationship between three mentioned variable with equity returns.
The relationship between market return, and firm size with return of equity was positive, and the relationship between book-to-market value of equity with return of equity was negative. Also, our findings indicate that investing in firms with big size and low book-to-market value of equity ratio in TSE has more return for investors. |
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| ISSN: | 2821-0166 2538-2519 |