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Paper Information

Journal:   JOURNAL OF INDUSTRIAL MANAGEMENT   SPRING 2010 , Volume 5 , Number 11; Page(s) 137 To 152.
 
Paper: 

EVALUATING THE SUFFICIENCY OF VARIABLES SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, COMPANY SIZE, PRICE-TO-EARNINGS RATIO, EARNINGS-TO-PRICE RATIO, MARKET RATE OF RETURN, NON-RISK RETURN, AND RISK PREMIUM TO DETERMINE THE ACTUAL RETURN OF STOCK IN IRAN STOCK EXCHANGE

 
 
Author(s):  ZANJIRDAR MAJID, MOTAMED ASHRAF*, SAJJADI S.MOSTAFA
 
* ISLAMIC AZAD UNIVERSITY, ARAK BRANCH, IRAN
 
Abstract: 
This study is going to answer this question if the variables Systematic risk, Book-to-Market Ratio of Equity, Company Size, Price-to-Earnings Ratio, Earnings-to-Price Ratio, Market Rate of Return, Non-Risk Return, and Risk Premium will be able to determine and anticipate the actual return of stock in Iran stock exchange or not. All research variables come from capital asset pricing model (CAPM), Fama and French model, and accounting ratios. In order to answer the research question, 8 hypotheses were designed. The statistical community of this research includes those listed companies on Iran stock exchange – by using single variable regression – which their Book-to-Market Ratio of Equity have the highest correlation coefficient and their company size have the lowest correlation coefficient.
According to the obtained results of applying multivariable regression, the variables of company size because of the lowest correlation coefficient, and the variables of earnings-to-price ratio as well as market risk premium because of the co-linearity elimination between independent variables, were eliminated. The results of testing hypotheses indicate using multi-factor model stock is better than single-factor (CAPM) to determine the actual return of stock during the 1380-1386 period.
 
Keyword(s): COMPANY SIZE, MARKET RETURN, NON-RISK RETURN, MARKET RISK PREMIUM, ACTUAL RETURN, SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, PRICE-TO-EARNINGS RATIO, AND EARNINGS-TO-PRICE RATIO
 
 
References: 
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Citations: 
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APA: Copy

ZANJIRDAR, M., & MOTAMED, A., & SAJJADI, S. (2010). EVALUATING THE SUFFICIENCY OF VARIABLES SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, COMPANY SIZE, PRICE-TO-EARNINGS RATIO, EARNINGS-TO-PRICE RATIO, MARKET RATE OF RETURN, NON-RISK RETURN, AND RISK PREMIUM TO DETERMINE THE ACTUAL RETURN OF STOCK IN IRAN STOCK EXCHANGE. JOURNAL OF INDUSTRIAL MANAGEMENT, 5(11), 137-152. https://www.sid.ir/en/journal/ViewPaper.aspx?id=191214



Vancouver: Copy

ZANJIRDAR MAJID, MOTAMED ASHRAF, SAJJADI S.MOSTAFA. EVALUATING THE SUFFICIENCY OF VARIABLES SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, COMPANY SIZE, PRICE-TO-EARNINGS RATIO, EARNINGS-TO-PRICE RATIO, MARKET RATE OF RETURN, NON-RISK RETURN, AND RISK PREMIUM TO DETERMINE THE ACTUAL RETURN OF STOCK IN IRAN STOCK EXCHANGE. JOURNAL OF INDUSTRIAL MANAGEMENT. 2010 [cited 2021June22];5(11):137-152. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=191214



IEEE: Copy

ZANJIRDAR, M., MOTAMED, A., SAJJADI, S., 2010. EVALUATING THE SUFFICIENCY OF VARIABLES SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, COMPANY SIZE, PRICE-TO-EARNINGS RATIO, EARNINGS-TO-PRICE RATIO, MARKET RATE OF RETURN, NON-RISK RETURN, AND RISK PREMIUM TO DETERMINE THE ACTUAL RETURN OF STOCK IN IRAN STOCK EXCHANGE. JOURNAL OF INDUSTRIAL MANAGEMENT, [online] 5(11), pp.137-152. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=191214.



 
 
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