IMPLIED EQUITY DURATION AND EXCESS STOCK RETURN: THE EVIDENCE FROM TEHRAN STOCK EXCHANGE

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KAZEMI GAVARTI HOSSEIN; SOROUSHYAR AFSANEH

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:35 Page(s): 243-258

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Title

IMPLIED EQUITY DURATION AND EXCESS STOCK RETURN: THE EVIDENCE FROM TEHRAN STOCK EXCHANGE

Author(s)

KAZEMI GAVARTI HOSSEIN | SOROUSHYAR AFSANEH | Issue Writer Certificate

Keywords

IMPLIED EQUITY DURATIONQ1

STOCK VALUE PREMIUMQ1

EXCESS STOCK RETURNQ2

FAMA-FRENCH MODELQ1

Abstract

The purpose of this paper is to investigate the effect of value premium factor and IMPLIED EQUITY DURATION factor on EXCESS STOCK RETURNs in Companies Listed in Tehran Stock Exchange. For testing the research hypotheses, the Fama- French Model (1993) is used. The evidence of previous research shows the relationship between the timing of firms' cash flows and value premium. Therefore, in this research, the effect of value premium factor on EXCESS STOCK RETURNs (similar to the Fama- French Model) are examined and then value premium factor replaced with IMPLIED EQUITY DURATION. The statistical society is companies listed on Tehran Stock Exchange and the research sample includes 145 companies using the systematic elimination method, in the period of 2007-2016. The results indicate both value premium factor and IMPLIED EQUITY DURATION factor have the significant and positive effect on the EXCESS STOCK RETURNs.

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APA: Copy

KAZEMI GAVARTI, HOSSEIN, & SOROUSHYAR, AFSANEH. (2018). IMPLIED EQUITY DURATION AND EXCESS STOCK RETURN: THE EVIDENCE FROM TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(35 ), 243-258. SID. https://sid.ir/paper/197701/en

Vancouver: Copy

KAZEMI GAVARTI HOSSEIN, SOROUSHYAR AFSANEH. IMPLIED EQUITY DURATION AND EXCESS STOCK RETURN: THE EVIDENCE FROM TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(35 ):243-258. Available from: https://sid.ir/paper/197701/en

IEEE: Copy

HOSSEIN KAZEMI GAVARTI, and AFSANEH SOROUSHYAR, “IMPLIED EQUITY DURATION AND EXCESS STOCK RETURN: THE EVIDENCE FROM TEHRAN STOCK EXCHANGE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 35 , pp. 243–258, 2018, [Online]. Available: https://sid.ir/paper/197701/en

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