Investigating the Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange (From 1387 to 1392) Using the Capital Asset Pricing Model (CAPM)
One of the most important issues in the capital market is assessing the risk level of companies, especially “systemic risk” that can affect stock returns, and therefore plays a significant role in decision-making. The present study examined the relationship between stock returns and systematic risk...
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| Format: | Article |
| Language: | fas |
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Alzahra University
2014-02-01
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| Series: | سیاستگذاری پیشرفت اقتصادی |
| Subjects: | |
| Online Access: | http://edp.alzahra.ac.ir/article_60_d768b421d84507af524222f73ae3daf9.pdf |
| _version_ | 1819092511153455104 |
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| author | Mohsen Mehrara Nazi Heidari Zahiri Zabihallah Falahati |
| author_facet | Mohsen Mehrara Nazi Heidari Zahiri Zabihallah Falahati |
| author_sort | Mohsen Mehrara |
| collection | DOAJ |
| description | One of the most important issues in the capital market is assessing the risk level of companies, especially “systemic risk” that can affect stock returns, and therefore plays a significant role in decision-making. The present study examined the relationship between stock returns and systematic risk based on the Capital Asset Pricing Model (CAPM) in the Tehran Stock Exchange. The data set contains 5 data points per year for the top 50 companies in Tehran Stock Exchange for the five year period of 1387 to 1392 adding up to a total of 1250 data points. Model parameter estimation is done using Panel data techniques and the results of the hypothesis tests show that the statistically significant correlation between systematic risk and stock returns. The results indicate that the a quadratic relationship explains this correlation better than linear relationship is able to, thus rejecting the assumption of linearity on the correlation between systematic risk and stock returns in the Tehran Stock Exchange |
| first_indexed | 2024-12-21T22:56:47Z |
| format | Article |
| id | doaj.art-55c9906cc3fb4782a625ba253b744af7 |
| institution | Directory Open Access Journal |
| issn | 2383-2118 2538-158X |
| language | fas |
| last_indexed | 2024-12-21T22:56:47Z |
| publishDate | 2014-02-01 |
| publisher | Alzahra University |
| record_format | Article |
| series | سیاستگذاری پیشرفت اقتصادی |
| spelling | doaj.art-55c9906cc3fb4782a625ba253b744af72022-12-21T18:47:25ZfasAlzahra Universityسیاستگذاری پیشرفت اقتصادی2383-21182538-158X2014-02-0111679110.22051/edp.2014.6060Investigating the Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange (From 1387 to 1392) Using the Capital Asset Pricing Model (CAPM)Mohsen Mehrara0Nazi Heidari Zahiri1Zabihallah Falahati2tehran universitysari universitytehran universityOne of the most important issues in the capital market is assessing the risk level of companies, especially “systemic risk” that can affect stock returns, and therefore plays a significant role in decision-making. The present study examined the relationship between stock returns and systematic risk based on the Capital Asset Pricing Model (CAPM) in the Tehran Stock Exchange. The data set contains 5 data points per year for the top 50 companies in Tehran Stock Exchange for the five year period of 1387 to 1392 adding up to a total of 1250 data points. Model parameter estimation is done using Panel data techniques and the results of the hypothesis tests show that the statistically significant correlation between systematic risk and stock returns. The results indicate that the a quadratic relationship explains this correlation better than linear relationship is able to, thus rejecting the assumption of linearity on the correlation between systematic risk and stock returns in the Tehran Stock Exchangehttp://edp.alzahra.ac.ir/article_60_d768b421d84507af524222f73ae3daf9.pdfSystematic RiskCapital Asset Pricing ModelPanel Data |
| spellingShingle | Mohsen Mehrara Nazi Heidari Zahiri Zabihallah Falahati Investigating the Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange (From 1387 to 1392) Using the Capital Asset Pricing Model (CAPM) سیاستگذاری پیشرفت اقتصادی Systematic Risk Capital Asset Pricing Model Panel Data |
| title | Investigating the Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange (From 1387 to 1392) Using the Capital Asset Pricing Model (CAPM) |
| title_full | Investigating the Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange (From 1387 to 1392) Using the Capital Asset Pricing Model (CAPM) |
| title_fullStr | Investigating the Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange (From 1387 to 1392) Using the Capital Asset Pricing Model (CAPM) |
| title_full_unstemmed | Investigating the Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange (From 1387 to 1392) Using the Capital Asset Pricing Model (CAPM) |
| title_short | Investigating the Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange (From 1387 to 1392) Using the Capital Asset Pricing Model (CAPM) |
| title_sort | investigating the relationship between systematic risk and stock returns in tehran stock exchange from 1387 to 1392 using the capital asset pricing model capm |
| topic | Systematic Risk Capital Asset Pricing Model Panel Data |
| url | http://edp.alzahra.ac.ir/article_60_d768b421d84507af524222f73ae3daf9.pdf |
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