Paper Information

Journal:   JOURNAL OF THE MARCO AND STRATEGIC POLICIES   WINTER 2018 , Volume 5 , Number 20 #A0039; Page(s) 111 To 133.
 
Paper: 

INVESTIGATING THE EFFECT OF MACROECONOMIC VARIABLES ON STOCK RETURNS USING CONDITIONAL CCAPM AND GMM METHOD (THE CASE OF IRAN'S INDUSTRIES IRAN)

 
 
Author(s):  MOHAMMADZADEH AZAM, NABI SHAHIKI TASH MOHAMMAD, REZAEI ROUSHANAK
 
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Abstract: 

One of the most important issues In the financial economics, which has been attracted the attention of economists is some question about cross-sectional variation and time variation in the risk premium. One of the ways to answer these questions is to examine the relationship between financial markets and the macroeconomics. The purpose of this article is to examine the relationship between macroeconomic variables and stock return in Iran. For this purpose we use consumption-based capital assets pricing (CCAPM) to examine variables affecting on returns in the 18 selected industries of the Stock Exchange in Tehran. In the CCAPM model the consumption growth rate is the most important factor affecting returns. In this article the conditional CCAPM model contains variables per capita consumption growth rate, P/E (price-earnings ratio of shares) and conditional variable (coin). Conditional variable Coin is used to introduce macroeconomic risk, these conditional variables is the result of the conitegration between macroeconomic variables (GDP growth rate, inflation rate, the difference between short-term and long-term interest rates). Co-integration relation between these variables is studied with Johansen method, after obtaining this condition variable as coin, is estimated the conditional CCAPM using seasonal data of 1379 to 1392. The results show that the coefficients of conditional CCAPM model are significant and in the estimated conditional CCAPM, conditional variable (representing the macro-economic risks) as well as the rate of change in per capita consumption and P/E ratio play an important role in the Predicting industries stock return surplus.

 
Keyword(s): CO-INTEGRATION, CONSUMPTION CAPITAL ASSETS PRICING MODEL, GENERALIZED METHOD OF MOMENTS, MACROECONOMIC RISKS, EQUITY RISK PREMIUM
 
References: 
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