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Paper Information

Journal:   TAHGHIGHAT-E-EGHTESADI   JUNE-SEPTEMBER 2007 , Volume - , Number 79; Page(s) 19 To 37.
 
Paper: 

A SURVEY EFFECTING FIRM SIZE AND BE/ME RATIO ON RETURN OF THE STOCK (TEHRAN STOCK EXCHANGE)

 
 
Author(s):  AHMADPOUR AHMAD, RAHMANI FIROUZJAEI M.
 
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Abstract: 

Risk & Return are Two Major issues for investors. CAPM is used in order to quantify between Return &Risk. In this Model the only factor affecting "Return" of the Stock is systematic risk (BETA). Other factors exist that affect on the return of the stock. Fama & French introduced Multiple Model by adding to variables BE/ME ratio and firm size as two variables that has a Meaningful effect on Return of the stock. In this research, three factors "Market", "Firm size" and BE/ME Ratio are investigated on Return of the stock in Tehran Stock Exchange (T.S.E) Results show that Market factors, size and BE/ME ratio are three significant factor's on T.S.E. And the use of Multiple Factor can better illustrate the decompression of stock Returns.

 
Keyword(s): BETA, BOOK VALUE, CAPITAL ASSET PRICING MODEL, FIRM'S SIZE, MARKET VALUE
 
References: 
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