Relationship of Stock Returns with Firm Size, Book-to -Market Equity Ratio and Earning-to-Price Ratio in Tehran Stock Exchange
The capital asset pricing model (CAPM) states the equilibrium relationships between risk and expected return. This model argues that only systematic risk should be priced in the market; specific or idiosyncratic risk does not get a risk premium. Despite the CAPM being a more useful model in the fina...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2007-12-01
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| Series: | مطالعات تجربی حسابداری مالی |
| Subjects: | |
| Online Access: | https://qjma.atu.ac.ir/article_4251_6f4349bf7aeba0c1a4954b9319a98025.pdf |
| _version_ | 1797378378263691264 |
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| author | Majid Shariat Panahi Farman Khosravi |
| author_facet | Majid Shariat Panahi Farman Khosravi |
| author_sort | Majid Shariat Panahi |
| collection | DOAJ |
| description | The capital asset pricing model (CAPM) states the equilibrium relationships between risk and expected return. This model argues that only systematic risk should be priced in the market; specific or idiosyncratic risk does not get a risk premium. Despite the CAPM being a more useful model in the financial and investment profession. However, recent empirical studies have raised serious challenges to this belief. It appears that "B" as a measure of systematic risk, has little power in explaining cross-sectional risk and return relationship over - term periods, but it has been observed that other variables such as "firm size" and "book - to - market ratio" and "earning - to - price ratio", (Fama & French three factors) appear to be more useful risk proxies. This study seeks to explore the cross-sectional determinants of common stock returns (except investment Company) in Iranian emerging stock market, namely Tehran stock Exchange for the period 2000 through 2004. The joint roles of stock returns measured by firm size (ME), book-to-market equity ratio (BE/ME) and earning-to-price ratio (PIE) on monthly returns are examined. The study findings although consistent with central theme of the CAPM, but are inconsistent with the results of similar studies carried out in major developed stock markets recently. |
| first_indexed | 2024-03-08T20:06:02Z |
| format | Article |
| id | doaj.art-65b970344e554e7b9b357815cd0dd4e9 |
| institution | Directory Open Access Journal |
| issn | 2821-0166 2538-2519 |
| language | fas |
| last_indexed | 2024-03-08T20:06:02Z |
| publishDate | 2007-12-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | مطالعات تجربی حسابداری مالی |
| spelling | doaj.art-65b970344e554e7b9b357815cd0dd4e92023-12-23T10:33:46ZfasAllameh Tabataba'i University Pressمطالعات تجربی حسابداری مالی2821-01662538-25192007-12-0152061874251Relationship of Stock Returns with Firm Size, Book-to -Market Equity Ratio and Earning-to-Price Ratio in Tehran Stock ExchangeMajid Shariat Panahi0Farman Khosravi1عضو هیئت علمی دانشگاه علامه طباطباییکارشناس ارشد حسابداریThe capital asset pricing model (CAPM) states the equilibrium relationships between risk and expected return. This model argues that only systematic risk should be priced in the market; specific or idiosyncratic risk does not get a risk premium. Despite the CAPM being a more useful model in the financial and investment profession. However, recent empirical studies have raised serious challenges to this belief. It appears that "B" as a measure of systematic risk, has little power in explaining cross-sectional risk and return relationship over - term periods, but it has been observed that other variables such as "firm size" and "book - to - market ratio" and "earning - to - price ratio", (Fama & French three factors) appear to be more useful risk proxies. This study seeks to explore the cross-sectional determinants of common stock returns (except investment Company) in Iranian emerging stock market, namely Tehran stock Exchange for the period 2000 through 2004. The joint roles of stock returns measured by firm size (ME), book-to-market equity ratio (BE/ME) and earning-to-price ratio (PIE) on monthly returns are examined. The study findings although consistent with central theme of the CAPM, but are inconsistent with the results of similar studies carried out in major developed stock markets recently.https://qjma.atu.ac.ir/article_4251_6f4349bf7aeba0c1a4954b9319a98025.pdfcapital asset pricing modelcross-section of stock returnsfirm sizebook-to-market ratioearning-to-price ratio |
| spellingShingle | Majid Shariat Panahi Farman Khosravi Relationship of Stock Returns with Firm Size, Book-to -Market Equity Ratio and Earning-to-Price Ratio in Tehran Stock Exchange مطالعات تجربی حسابداری مالی capital asset pricing model cross-section of stock returns firm size book-to-market ratio earning-to-price ratio |
| title | Relationship of Stock Returns with Firm Size, Book-to -Market Equity Ratio and Earning-to-Price Ratio in Tehran Stock Exchange |
| title_full | Relationship of Stock Returns with Firm Size, Book-to -Market Equity Ratio and Earning-to-Price Ratio in Tehran Stock Exchange |
| title_fullStr | Relationship of Stock Returns with Firm Size, Book-to -Market Equity Ratio and Earning-to-Price Ratio in Tehran Stock Exchange |
| title_full_unstemmed | Relationship of Stock Returns with Firm Size, Book-to -Market Equity Ratio and Earning-to-Price Ratio in Tehran Stock Exchange |
| title_short | Relationship of Stock Returns with Firm Size, Book-to -Market Equity Ratio and Earning-to-Price Ratio in Tehran Stock Exchange |
| title_sort | relationship of stock returns with firm size book to market equity ratio and earning to price ratio in tehran stock exchange |
| topic | capital asset pricing model cross-section of stock returns firm size book-to-market ratio earning-to-price ratio |
| url | https://qjma.atu.ac.ir/article_4251_6f4349bf7aeba0c1a4954b9319a98025.pdf |
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