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
Related Articles
- EP ID EP535120
- DOI -
- Views 107
- Downloads 0
Fads Models with Markov Switching Hetroskedasticity: decomposing Tehran Stock Exchange return into Permanent and Transitory Components
Stochastic behavior of stock returns is very important for investors and policy makers in the stock market. In this paper, the stochastic behavior of the return index of Tehran Stock Exchange (TEDPIX) is examined using u...
Modifying the Black-Scholes model to valuate preemption right
In this paper, we try and valuate preemption rights by modifying the Black-Scholes model, which is widely used to valuate options and other derivatives. Here we first present the basics of the Black-Scholes model and the...
Explaining the Role of Management Accounting Information System in Strategy Formulation with Actors Network Approach
The real challenge of business environment is derived from a situation where organizations need to find opportunities on how to introduce ideas and new products to market that provide future earnings stream. Management a...
Comparative Study of Capital Assets Pricing Models (CAPM) with Extrapolating Capital Assets Pricing Models (X-CAPM) in Tehran Exchange Market
The main objective of this article is to present a comparative study of capital assets pricing models (CAPM) with extrapolating capital assets pricing models (X-CAPM) of companies admitted in Tehran Exchange Market which...
The Value Relevance of Net Financial Expenses during the Period of Imposing Sanctions: The Case of Iran
Based on valuation model of residual earnings, we cannot use earnings and losses of balance sheet items recorded in fair value for valuation purposes, for the balance sheet provides a perfect estimate of such items’ valu...