SYSTEMATIC RISK, RETURN AND PRICE DIVERGENCE, EMPIRICAL EVIDENCE FROM TSE

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MORADI F AKBAR; MAHMUDI LIDA

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Paper Information

Journal: JOURNAL OF INDUSTRIAL STRATEGIC MANAGEMENT (PAJOUHESHGAR) Year:2011 | Volume:8 | Issue:21 Page(s): 1-13

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Title

SYSTEMATIC RISK, RETURN AND PRICE DIVERGENCE, EMPIRICAL EVIDENCE FROM TSE

Author(s)

MORADI F AKBAR | MAHMUDI LIDA | Issue Writer Certificate

Keywords

PRICE DIVERGENCEQ2

RESIDUAL INCOME MODELQ2

MARKET EFFICIENCYQ2

IRRATIONAL BEHAVIORQ2

BEHAVIORAL FINANCEQ2

Abstract

The main objective of present study is to investigate the existence or absence of information content of accounting variables and degree of their association in evaluating equity risk and return, that can improve the investor’s knowledge of analysis, confirming or rejecting the previous decisions in an ideal manner.In this research, an attempt is made to make use of RESIDUAL INCOME MODEL, in order to come up with a new accounting method in assessment of equity risk on price and stock return, using the difference between market price and intrinsic value (price differential) in market of Iran. Moreover, we employed Fame and French (1992) three-factor-model (Market beta, Firm size and Market-to-Book ratio) as determining risk factors.Results indicate that market beta is not related to price differential. Instead, Market-to-book ratio is significantly positively related to price differential. Also price differential is significantly positively related to abnormal return. However provides only limited power in explaining abnormal return. ]t was found that relative information content of Price Differential and Systematic Risk are not similar. Finally, Price Differential, as Systematic Risk does not have incremental information content in explaining Return.

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APA: Copy

MORADI F, AKBAR, & MAHMUDI, LIDA. (2011). SYSTEMATIC RISK, RETURN AND PRICE DIVERGENCE, EMPIRICAL EVIDENCE FROM TSE. JOURNAL OF INDUSTRIAL STRATEGIC MANAGEMENT (PAJOUHESHGAR), 8(21), 1-13. SID. https://sid.ir/paper/151409/en

Vancouver: Copy

MORADI F AKBAR, MAHMUDI LIDA. SYSTEMATIC RISK, RETURN AND PRICE DIVERGENCE, EMPIRICAL EVIDENCE FROM TSE. JOURNAL OF INDUSTRIAL STRATEGIC MANAGEMENT (PAJOUHESHGAR)[Internet]. 2011;8(21):1-13. Available from: https://sid.ir/paper/151409/en

IEEE: Copy

AKBAR MORADI F, and LIDA MAHMUDI, “SYSTEMATIC RISK, RETURN AND PRICE DIVERGENCE, EMPIRICAL EVIDENCE FROM TSE,” JOURNAL OF INDUSTRIAL STRATEGIC MANAGEMENT (PAJOUHESHGAR), vol. 8, no. 21, pp. 1–13, 2011, [Online]. Available: https://sid.ir/paper/151409/en

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