asset growth anomaly & future stock return; evidence from tehran stock exchange
نویسندگان
چکیده
this paper investigates asset growth pricing in firm-level cross section stock return in tehran stock exchange for the period from 1379 to 1389. in order to test cross section stock return predictability by the firm's asset growth, the relation between asset growth rate and subsequent stock return is examined in a sample of 280 firms using portfolio analysis approach and fama-macbeth (1973) regression model. unlike previous findings in developed and developing markets, the results of this study suggest that stocks with high past asset growth rate experience high future return. however, by contraction of total sample to the big firms, the relation is positive and statistically insignificant. the results of this paper are robust for different future stock return time horizons.
منابع مشابه
Ambiguity Theory and Asset Pricing: Empirical Evidence from Tehran Stock Exchange
Modern portfolio theory is based on the relationship between risk and return and in this paper, specific uncertainty conditions are introduced as ambiguity which affects the asset pricing. Also, the relationship between risk, ambiguity and return is examined. First, ambiguity is estimated by the means of three-variable and main component method, trading volume, ask-bid spread, error of earnings...
متن کاملExplaining Accrual Anomaly Using Ohlson Method in Tehran Stock Exchange
One of the anomalies of the capital market is accrual anomaly. This anomaly refers to the negative relationship between returns and accruals. In the case of accrual anomaly, two behavioral and rational expectations have been raised. The main purpose of this study is to explain accrual anomaly using a new approach to distinguish an anomaly interpretation of risk interpretation. For this purpos...
متن کاملPetrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange
While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...
متن کاملmodeling volatility: evidence from tehran stock exchange
the research problem investigated in this paper is modeling volatility and analyzing risk and return’s relationship in tehran stock exchange using garch-family models including garch(1,1), garch(2,2), egarch(1,1), pgarch(1,1), tgarch(1,1), garch(1,1)-m and cgarch(1,1). using the daily returns of tehran stock exchange companies, we focused on two portfolios of all the companies during a 10-year-...
متن کاملInvestigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence
This paper has provided "out of sample" evidence of stock returns predictability in Tehran Stock Exchange. 68 qualified companies over the period from 2002 to 2015 were selected and for five different "forms of returns", five superior predictive models have been designed by applying "General to specific" approach of modeling technique. Then "out of sample" analysis, based on rolling regressions...
متن کاملمنابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
تحقیقات مالیجلد ۱۶، شماره ۲، صفحات ۲۳۵-۲۵۲
کلمات کلیدی
میزبانی شده توسط پلتفرم ابری doprax.com
copyright © 2015-2023