The Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange Using the Capital Asset Pricing Model (CAPM)

• Autorzy: Mohsen Mehrara , Zabihallah Falahati , Nazi Heydari Zahiri
• Języki publikacji: EN

Abstrakty

EN

One of the most important issues in the capital market is awareness of the level Risk of Companies, especially "systemic risk (unavoidable risk)" that could affect stock returns, and can play a significant role in decision-making. The present study examines the relationship between stock returns and systematic risk based on capital asset pricing model (CAPM) in Tehran Stock Exchange. The sample search includes panel data for 50 top companies of Tehran Stock Exchange over a five year period from 1387 to 1392. The results show that the relationship between systematic risk and stock returns are statistically significant. Moreover, the nonlinear (quadratic) function outperforms the linear one explaining the relationship between systematic risk and stock returns. It means that the assumption of linearity between systematic risk and stock returns is rejected in the Tehran Stock Exchange. So we can say that the capital asset pricing model in the sample is rejected and doesn't exist linear relationship between systematic risk and stock returns in the sample. (original abstract)

Słowa kluczowe

EN

Capital; Investment risk; Assets

PL

Kapitał; Ryzyko inwestycyjne; Aktywa

• Czasopismo: International Letters of Social and Humanistic Sciences (ILSHS)
• Rocznik: 2014
• Tom: 10 (1)
• Strony: 26--35

Twórcy

autor

Mohsen Mehrara

• University of Tehran, Iran

autor

Zabihallah Falahati

• University of Tehran, Iran

autor

Nazi Heydari Zahiri

• Sari University of Agricultural Sciences and Natural Resources, Iran

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