EFFECT STUDY OF MARKET RETURN EXCESS VARIABLE ON SHARES RETURN EXCESS IN TEHRAN STOCK EXCHANGE

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ASHOOT BIADIAN; POORZARANDI MOHAMAD; NIKZAD ZEIDI MAHMOOD

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Journal: JOURNAL OF INDUSTRIAL STRATEGIC MANAGEMENT (PAJOUHESHGAR) Year:2011 | Volume:8 | Issue:22 Page(s): 92-104

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Title

EFFECT STUDY OF MARKET RETURN EXCESS VARIABLE ON SHARES RETURN EXCESS IN TEHRAN STOCK EXCHANGE

Author(s)

ASHOOT BIADIAN | POORZARANDI MOHAMAD | NIKZAD ZEIDI MAHMOOD | Issue Writer Certificate

Keywords

MARKET RETURN EXCESSQ2

PORTFOLIOQ2

SHARES RETURN EXCESSQ2

Abstract

Since the relation between risk and returns is so important for investors, the present research deals with how MARKET RETURN EXCESS affects SHARES RETURN EXCESS. In this research, SMB and IMV variables have been used to measure accurately the effect of MARKET RETURN EXCESS. Also, HML PORTFOLIO creation method has been used in order to reduce the correlation between variables. This analysis has been made within the limit of a time series pattern commencing from Apt. 1999 up to March. 2005. The final results obtained form time series analysis of the research indicates the effectiveness and meaningfulness of MARKET RETURN EXCESS. In the end of essay, the outcomes of research and applicable managerial proposals as well as proposals for future researches have been offered.

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APA: Copy

ASHOOT, BIADIAN, POORZARANDI, MOHAMAD, & NIKZAD ZEIDI, MAHMOOD. (2011). EFFECT STUDY OF MARKET RETURN EXCESS VARIABLE ON SHARES RETURN EXCESS IN TEHRAN STOCK EXCHANGE. JOURNAL OF INDUSTRIAL STRATEGIC MANAGEMENT (PAJOUHESHGAR), 8(22), 92-104. SID. https://sid.ir/paper/151336/en

Vancouver: Copy

ASHOOT BIADIAN, POORZARANDI MOHAMAD, NIKZAD ZEIDI MAHMOOD. EFFECT STUDY OF MARKET RETURN EXCESS VARIABLE ON SHARES RETURN EXCESS IN TEHRAN STOCK EXCHANGE. JOURNAL OF INDUSTRIAL STRATEGIC MANAGEMENT (PAJOUHESHGAR)[Internet]. 2011;8(22):92-104. Available from: https://sid.ir/paper/151336/en

IEEE: Copy

BIADIAN ASHOOT, MOHAMAD POORZARANDI, and MAHMOOD NIKZAD ZEIDI, “EFFECT STUDY OF MARKET RETURN EXCESS VARIABLE ON SHARES RETURN EXCESS IN TEHRAN STOCK EXCHANGE,” JOURNAL OF INDUSTRIAL STRATEGIC MANAGEMENT (PAJOUHESHGAR), vol. 8, no. 22, pp. 92–104, 2011, [Online]. Available: https://sid.ir/paper/151336/en

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