THE STUDY OF ACCOUNTING VARIABLE POWER FOR FORECASTING OF ARBITRAGE PRICING MODEL'S RISKS

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.

VAKILIFARD H.R.; ZAREEI ALI REZA

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

Journal Paper

Paper Information

Journal: ECONOMIC RESEARCH REVIEW Year:2009 | Volume:10 | Issue:3 (34) Page(s): 113-133

Download Full-Text

Persian Verion

View:

1,010

Download:

Cites:

Information Journal Paper

Title

THE STUDY OF ACCOUNTING VARIABLE POWER FOR FORECASTING OF ARBITRAGE PRICING MODEL'S RISKS

Author(s)

VAKILIFARD H.R. | ZAREEI ALI REZA | Issue Writer Certificate

Keywords

Not Registered.

Abstract

According to the Arbitrage Pricing Theory (APT) actual returns depend on a variety of pervasive economic and financial risk factors; as well as firm or industry specific influences. The sensitivity of an asset's returns to unanticipated changes in the perspective risk factors reflects the security's measure of systematic risk. In equilibrium, the expected security return is a linear function of the sensitivities of actual security returns to unanticipated changes in the pervasive risk factors. The APT does not specify the number or the nature. Factor analysis of stock returns can be used to determine sensitivities of individual securities to pervasive risk factors without having to identify these risk factors. In this paper, we imperially tested following question; 'Can we used traditional accounting risk measures from the current period to explain cross-sectional variations of the APT risk measures (sensitivities) in the next period? The empirical analysis was carried out using a sample include 42 firms from Tehran Stock Exchange and covered 1999-2005. The dependent variables were the APT risk measures, derived from principal factor analysis of monthly stock returns. The set of independent variables was an extensive list of traditional accounting risk measures associated with a firm's operating and financial activities. The accounting risk measures used in this study represented the firm's liquidity, dept management, profitability and efficiency, business risk and market value (hybrid ratio), as well as the size of the company. Relying on predictive correlation and multiple regression analysis and application of panel data models, an association was established between independent and dependent variables. the model significance was tested by F statistic and observed significant association in case of accounting variables. Traditional accounting variables some deal can explain cross-sectional variations of the APT risk measures in next period.

Cites

No record.

References

Cite

APA: Copy

VAKILIFARD, H.R., & ZAREEI, ALI REZA. (2009). THE STUDY OF ACCOUNTING VARIABLE POWER FOR FORECASTING OF ARBITRAGE PRICING MODEL'S RISKS. ECONOMIC RESEARCH REVIEW, 10(3 (34)), 113-133. SID. https://sid.ir/paper/67288/en

Vancouver: Copy

VAKILIFARD H.R., ZAREEI ALI REZA. THE STUDY OF ACCOUNTING VARIABLE POWER FOR FORECASTING OF ARBITRAGE PRICING MODEL'S RISKS. ECONOMIC RESEARCH REVIEW[Internet]. 2009;10(3 (34)):113-133. Available from: https://sid.ir/paper/67288/en

IEEE: Copy

H.R. VAKILIFARD, and ALI REZA ZAREEI, “THE STUDY OF ACCOUNTING VARIABLE POWER FOR FORECASTING OF ARBITRAGE PRICING MODEL'S RISKS,” ECONOMIC RESEARCH REVIEW, vol. 10, no. 3 (34), pp. 113–133, 2009, [Online]. Available: https://sid.ir/paper/67288/en

Related Journal Papers