Identification of Risk Factors by Using Macroeconomic and Firm-Specific Variables Simultaneously in Tehran Stock Exchange by Applying Canonical Correlation Analysis
Journal Title: International Journal of Finance and Managerial Accounting - Year 2017, Vol 2, Issue 8
Abstract
The main objective of this study is to give the insight of describing mixing accounting ratios and macroeconomic variables as the risk factors in Iran. The results indicate a significant relationship between book to market ratio, financial leverage, size factors and expected stock returns in the Iranian market. In consistent with the other studies, we came to the conclusion that the term structure of interest rate is the only macroeconomic variable that has been significant in the model, if size and book to market ratio is also existed in the model.Maximum %28 of variance explained by canonical variate.
Authors and Affiliations
pooya Sabetfar
Keywords
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