CALCULATION OF CREDIT RISK AND ITS EFFECT ON RETURN IN TEHRAN STOCK EXCHANGE

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ERZA AMIR HOSSEIN; PEYMANY MOSLEM; SEIFI FARNAZ

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Paper Information

Journal: JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL Year:2017 | Volume:14 | Issue:55 Page(s): 169-196

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Information Journal Paper

Title

CALCULATION OF CREDIT RISK AND ITS EFFECT ON RETURN IN TEHRAN STOCK EXCHANGE

Author(s)

ERZA AMIR HOSSEIN | PEYMANY MOSLEM | SEIFI FARNAZ | Issue Writer Certificate

Keywords

CREDIT RISKQ2

RETURNQ2

RATINGQ2

TOPSISQ1

TEHRAN STOCK EXCHANGEQ2

Abstract

CREDIT RISK is one of the most important risks that affect Monetary and financial institutions. The main purpose of the paper is to assess the effect of CREDIT RISK on stock RETURNs. Firstly, by reviewing the theoretical foundations, researches and expert opinion, quantitative and qualitative factors influencing the credit RATING were determined. Then a questionnaire prepared according to the experts' opinions based on the Iranian environment, the degree importance of the indicators was determined and Using the TOPSIS model, the ranking of 106 TEHRAN STOCK EXCHANGE (TSE) companies in 2011-2015 was based on CREDIT RISK with the same and different significance of the indicators Then, based on the results of the ranking, stock portfolios was formed, finally, the effect of CREDIT RISK on stock RETURNs in two different situations With the same and different significance were determined. According to the results, the effect of CREDIT RISK on RETURNs in both of the same and different degree of importance, by analyzing the combined data, meaningless and by analyzing panel data, is meaningful and reverse.

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APA: Copy

ERZA, AMIR HOSSEIN, PEYMANY, MOSLEM, & SEIFI, FARNAZ. (2017). CALCULATION OF CREDIT RISK AND ITS EFFECT ON RETURN IN TEHRAN STOCK EXCHANGE. JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL, 14(55 ), 169-196. SID. https://sid.ir/paper/242228/en

Vancouver: Copy

ERZA AMIR HOSSEIN, PEYMANY MOSLEM, SEIFI FARNAZ. CALCULATION OF CREDIT RISK AND ITS EFFECT ON RETURN IN TEHRAN STOCK EXCHANGE. JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL[Internet]. 2017;14(55 ):169-196. Available from: https://sid.ir/paper/242228/en

IEEE: Copy

AMIR HOSSEIN ERZA, MOSLEM PEYMANY, and FARNAZ SEIFI, “CALCULATION OF CREDIT RISK AND ITS EFFECT ON RETURN IN TEHRAN STOCK EXCHANGE,” JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL, vol. 14, no. 55 , pp. 169–196, 2017, [Online]. Available: https://sid.ir/paper/242228/en

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