THE SYSTEMATIC RISK DETERMINANTS IN TEHRAN STOCK EXCHANGE

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SAEEDI A.; RAMSHEH M.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Financial Accounting Research Year:2011 | Volume:3 | Issue:1 (7) Page(s): 125-142

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Title

THE SYSTEMATIC RISK DETERMINANTS IN TEHRAN STOCK EXCHANGE

Author(s)

SAEEDI A. | RAMSHEH M. | Issue Writer Certificate

Keywords

SYSTEMATIC RISKQ2

CONTINGENT CLAIMSQ3

REAL OPTIONSQ3

GROWTH OPTIONQ3

EQUITY BETA STABILITYQ3

Abstract

The purpose of this study is recognizing the determinants of equity SYSTEMATIC RISK of listed companies in Tehran Stock Exchange using CONTINGENT CLAIMS modeling. For this purpose, theoretical model relating to determinants of beta is introduced. The determinants are presented in the form of three main group contain of company’s characteristics, GROWTH OPTION and risk free interest rate. Then to empirical test of this model 80 companies are selected from companies listed in Tehran Stock Exchange during 1997 to 2008. For hypothesizes testing, that are based on the theoretical model, this study uses multivariable regressions for pooled data. The results suggest that the determinants of SYSTEMATIC RISK include operating income growth rate, operating income volatility, correlation between the market portfolio index and the company’s operating income, and GROWTH OPTION. In addition, results provide weak evidences that equity betas of highly leveraged companies may be nonstationary and volatile.

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APA: Copy

SAEEDI, A., & RAMSHEH, M.. (2011). THE SYSTEMATIC RISK DETERMINANTS IN TEHRAN STOCK EXCHANGE. JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, 3(1 (7)), 125-142. SID. https://sid.ir/paper/155051/en

Vancouver: Copy

SAEEDI A., RAMSHEH M.. THE SYSTEMATIC RISK DETERMINANTS IN TEHRAN STOCK EXCHANGE. JOURNAL OF FINANCIAL ACCOUNTING RESEARCH[Internet]. 2011;3(1 (7)):125-142. Available from: https://sid.ir/paper/155051/en

IEEE: Copy

A. SAEEDI, and M. RAMSHEH, “THE SYSTEMATIC RISK DETERMINANTS IN TEHRAN STOCK EXCHANGE,” JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, vol. 3, no. 1 (7), pp. 125–142, 2011, [Online]. Available: https://sid.ir/paper/155051/en

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