EVALUATING THE SUFFICIENCY OF VARIABLES SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, COMPANY SIZE, PRICE-TO-EARNINGS RATIO, EARNINGS-TO-PRICE RATIO, MARKET RATE OF RETURN, NON-RISK RETURN, AND RISK PREMIUM TO DETERMINE THE ACTUAL RETURN OF STOCK IN IRAN STOCK EXCHANGE

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

ZANJIRDAR MAJID; MOTAMED ASHRAF; SAJJADI S.MOSTAFA

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

Journal Paper

Paper Information

Journal: Year:2010 | Volume:5 | Issue:11 Page(s): 137-152

Download Full-Text

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

Persian Verion

View:

1,481

Download:

Cites:

Information Journal Paper

Title

EVALUATING THE SUFFICIENCY OF VARIABLES SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, COMPANY SIZE, PRICE-TO-EARNINGS RATIO, EARNINGS-TO-PRICE RATIO, MARKET RATE OF RETURN, NON-RISK RETURN, AND RISK PREMIUM TO DETERMINE THE ACTUAL RETURN OF STOCK IN IRAN STOCK EXCHANGE

Author(s)

ZANJIRDAR MAJID | MOTAMED ASHRAF | SAJJADI S.MOSTAFA | Issue Writer Certificate

Keywords

COMPANY SIZEQ2

MARKET RETURNQ2

NON-RISK RETURNQ3

MARKET RISK PREMIUMQ3

ACTUAL RETURNQ2

SYSTEMATIC RISKQ2

BOOK-TO-MARKET RATIO OF EQUITYQ3

PRICE-TO-EARNINGS RATIOQ3

AND EARNINGS-TO-PRICE RATIOQ3

Abstract

This study is going to answer this question if the variables SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, COMPANY SIZE, PRICE-TO-EARNINGS RATIO, Earnings-to-Price Ratio, Market Rate of Return, NON-RISK RETURN, and Risk Premium will be able to determine and anticipate the ACTUAL RETURN of stock in Iran stock exchange or not. All research variables come from capital asset pricing model (CAPM), Fama and French model, and accounting ratios. In order to answer the research question, 8 hypotheses were designed. The statistical community of this research includes those listed companies on Iran stock exchange – by using single variable regression – which their BOOK-TO-MARKET RATIO OF EQUITY have the highest correlation coefficient and their COMPANY SIZE have the lowest correlation coefficient. According to the obtained results of applying multivariable regression, the variables of COMPANY SIZE because of the lowest correlation coefficient, and the variables of earnings-to-price ratio as well as MARKET RISK PREMIUM because of the co-linearity elimination between independent variables, were eliminated. The results of testing hypotheses indicate using multi-factor model stock is better than single-factor (CAPM) to determine the ACTUAL RETURN of stock during the 1380-1386 period.

Cites

References

Cite

APA: Copy

ZANJIRDAR, MAJID, MOTAMED, ASHRAF, & SAJJADI, S.MOSTAFA. (2010). EVALUATING THE SUFFICIENCY OF VARIABLES SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, COMPANY SIZE, PRICE-TO-EARNINGS RATIO, EARNINGS-TO-PRICE RATIO, MARKET RATE OF RETURN, NON-RISK RETURN, AND RISK PREMIUM TO DETERMINE THE ACTUAL RETURN OF STOCK IN IRAN STOCK EXCHANGE. JOURNAL OF INDUSTRIAL MANAGEMENT, 5(11), 137-152. SID. https://sid.ir/paper/171244/en

Vancouver: Copy

ZANJIRDAR MAJID, MOTAMED ASHRAF, SAJJADI S.MOSTAFA. EVALUATING THE SUFFICIENCY OF VARIABLES SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, COMPANY SIZE, PRICE-TO-EARNINGS RATIO, EARNINGS-TO-PRICE RATIO, MARKET RATE OF RETURN, NON-RISK RETURN, AND RISK PREMIUM TO DETERMINE THE ACTUAL RETURN OF STOCK IN IRAN STOCK EXCHANGE. JOURNAL OF INDUSTRIAL MANAGEMENT[Internet]. 2010;5(11):137-152. Available from: https://sid.ir/paper/171244/en

IEEE: Copy

MAJID ZANJIRDAR, ASHRAF MOTAMED, and S.MOSTAFA SAJJADI, “EVALUATING THE SUFFICIENCY OF VARIABLES SYSTEMATIC RISK, BOOK-TO-MARKET RATIO OF EQUITY, COMPANY SIZE, PRICE-TO-EARNINGS RATIO, EARNINGS-TO-PRICE RATIO, MARKET RATE OF RETURN, NON-RISK RETURN, AND RISK PREMIUM TO DETERMINE THE ACTUAL RETURN OF STOCK IN IRAN STOCK EXCHANGE,” JOURNAL OF INDUSTRIAL MANAGEMENT, vol. 5, no. 11, pp. 137–152, 2010, [Online]. Available: https://sid.ir/paper/171244/en

Related Journal Papers