THE EVALUATION AND COMPARISON OF THE CAPABILITY OF MODELS BASED ON ACCOUNTING MEASURES OF RISK AND REWARD BETA APPROACH IN FORECASTING THE STOCK RETURN

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KAMALI EHSAN; HASHEMI SEYYED ABBAS; FOROUGHI DARIUSH

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Journal: The Financial Accounting and Auditing Researches Year:2017 | Volume:8 | Issue:32 Page(s): 99-118

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Title

THE EVALUATION AND COMPARISON OF THE CAPABILITY OF MODELS BASED ON ACCOUNTING MEASURES OF RISK AND REWARD BETA APPROACH IN FORECASTING THE STOCK RETURN

Author(s)

KAMALI EHSAN | HASHEMI SEYYED ABBAS | FOROUGHI DARIUSH | Issue Writer Certificate

Keywords

ACCOUNTING MEASURES OF RISK MODELQ2

EXCESS RETURN ON EQUITYQ2

REWARD BETAQ2

RISK ADJUSTMENTQ2

Abstract

The way in which risk is measured and involved poses a challenge to stock valuation models. The present paper aimed at comparing the effectiveness of two different models for measuring the risks. In the former, based on the ACCOUNTING MEASURES OF RISK MODEL, covariance of fundamental characteristics of the firm including the accounting earnings, the EXCESS RETURN ON EQUITY together with relevant market factors were introduced as RISK ADJUSTMENT factors into the valuation model and, then combined with the risk-free present value. In the latter model, by means of the REWARD BETA approach the risk was measured on the basis of return variation. The results from comparing the forecasted returns with the ex-post returns were indicative of the efficiency of both models in Tehran Stock Exchange. Other results, however, pointed to more precision of fundamental risk factors model than the REWARD BETA approach in dividend return forecasting.

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APA: Copy

KAMALI, EHSAN, HASHEMI, SEYYED ABBAS, & FOROUGHI, DARIUSH. (2017). THE EVALUATION AND COMPARISON OF THE CAPABILITY OF MODELS BASED ON ACCOUNTING MEASURES OF RISK AND REWARD BETA APPROACH IN FORECASTING THE STOCK RETURN. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, 8(32 ), 99-118. SID. https://sid.ir/paper/197914/en

Vancouver: Copy

KAMALI EHSAN, HASHEMI SEYYED ABBAS, FOROUGHI DARIUSH. THE EVALUATION AND COMPARISON OF THE CAPABILITY OF MODELS BASED ON ACCOUNTING MEASURES OF RISK AND REWARD BETA APPROACH IN FORECASTING THE STOCK RETURN. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES[Internet]. 2017;8(32 ):99-118. Available from: https://sid.ir/paper/197914/en

IEEE: Copy

EHSAN KAMALI, SEYYED ABBAS HASHEMI, and DARIUSH FOROUGHI, “THE EVALUATION AND COMPARISON OF THE CAPABILITY OF MODELS BASED ON ACCOUNTING MEASURES OF RISK AND REWARD BETA APPROACH IN FORECASTING THE STOCK RETURN,” THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, vol. 8, no. 32 , pp. 99–118, 2017, [Online]. Available: https://sid.ir/paper/197914/en

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