Paper Information

Journal:   MANAGEMENT RESEARCH IN IRAN (MODARES HUMAN SCIENCES)   SPRING 2012 , Volume 16 , Number 1 (74); Page(s) 93 To 106.
 
Paper: 

ANALYZING TOCK RETURN MOVEMENT IN TEHRAN STOCK EXCHANGE USING APT APPROACH

 
Author(s):  GHALIBAF ASL HASSAN*, MOHAMMADI SHAPOUR, MAZAHERI FAE PEGAH
 
* MANAGEMENT DEPARTMENT, ALZAHRA UNIVERSITY, TEHRAN, IRAN
 
Abstract: 

In this paper, we considered the effects of macro-economic factors on stock returns in order to estimate the risk free rate of return. For doing so, we used monthly returns of companies from 2004 to 2008 and sample consisted of 48 companies, listed in tehran stock market and the effect of 10 macroeconomic factors like Import, Export, Coin price, Oil price, M1, Inflation, Exchange rate, Index, Indext-1, and Construction permit on monthly stock returns was estimated for 5 years. Multi-factor model Arbitrage Pricing Theory (APT) and Factor Analysis method were used. The aim of this research was to clarify whether co-movement of stock returns was the result of macro-economic factors or not, and also to estimate the risk free rate of return. The results showed that co-movement of stock returns was due to different effects of inflation and indext with one period lag affected Tehran stock return during these 5 years, and the estimated risk free rate of return of stock market was more than the risk free rate of return of the monetary market.

 
Keyword(s): RISK FREE RATE OF RETURN, CO-MOVEMENT, FACTOR ANALYSIS, APT
 
References: 
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