The Impact of Systematic Risk on Stock Return: GMM method (Case of Tehran Stock Exchange)

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Dehghan Khavari Saeed; Mir Jalili Seyyed Hossein

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Journal: Financial Economics Year:2020 | Volume:13 | Issue:49 Page(s): 257-282

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Title

The Impact of Systematic Risk on Stock Return: GMM method (Case of Tehran Stock Exchange)

Author(s)

Dehghan Khavari Saeed | Mir Jalili Seyyed Hossein | Issue Writer Certificate

Keywords

Stock ReturnQ2

Systematic RiskQ2

Tehran Stock ExchangeQ2

GMMQ1

Panel DataQ2

Abstract

One of the determinants of return stock is the awareness of the risk level of firms, particularly Systematic Risk. Systematic Risk plays an important role in financial decisions by influencing the profitability and productivity of the firm. The present study tries to investigate the issue by using the generalized moment’ s method in the Panel Data panel of Tehran Stock Exchange. It is important to choose this method for the first time in this regard that Stock Return can affect itself and thus Stock Return would be as a explainationary factor with other ones. Because of model specification, the coefficients will also be more accurate and unbiased. Explanatory variables were selected in such a way that one index from each group to prevent autocorrelation between indices and to reduce the accuracy of the results. The result of this study shows a significant relationship between Stock Return and lagged Stock Return that confirms the effectiveness of the method. The results show that the inverse relationship of Stock Return with Systematic Risk and information asymmetry and direct relation with the EPS and the of cash flow to the asset ratio. In addition, there is insignificant relation between Stock Return and firm size and book value to market ratio.

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APA: Copy

Dehghan Khavari, Saeed, & Mir Jalili, Seyyed Hossein. (2020). The Impact of Systematic Risk on Stock Return: GMM method (Case of Tehran Stock Exchange). JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 13(49 ), 257-282. SID. https://sid.ir/paper/229283/en

Vancouver: Copy

Dehghan Khavari Saeed, Mir Jalili Seyyed Hossein. The Impact of Systematic Risk on Stock Return: GMM method (Case of Tehran Stock Exchange). JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2020;13(49 ):257-282. Available from: https://sid.ir/paper/229283/en

IEEE: Copy

Saeed Dehghan Khavari, and Seyyed Hossein Mir Jalili, “The Impact of Systematic Risk on Stock Return: GMM method (Case of Tehran Stock Exchange),” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 13, no. 49 , pp. 257–282, 2020, [Online]. Available: https://sid.ir/paper/229283/en

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