The test of the Fama-MacBeth model to measure the relationship between the expected investment risk metrics and the expected rate of return for knowledge-based companies active in the Tehran Stock Exchange

Agricultural Marketing and Commercialization Journal

دوره 7، شماره 1، شهریور 2023، صفحه 94-105   

نوع مقاله: Original Research

نویسنده

Shabnam Shayestehfar^*

Department of Accounting, Faculty of Management, Tehran University, Tehran, Iran

چکیده

 The main purpose of this research is to measure investment risk indicators (standard deviation risk, half standard
deviation, parametric and historical value at risk and parametric and historical; HR) and test their relationship with
the expected price return rate for knowledge-based companies active in the stock market. For this purpose, a sample
consisting of 31 knowledge-based companies active in the Tehran Stock Exchange was selected during the period of
2016 to 2021 and the risk indicators of standard deviation, half standard deviation and value at risk were selected
based on We tested the McBeth Fama model in relation to the expected rate of return. The research results show that
there is a significant relationship between volatility risk indicators and adverse risk for the expected rate of return.
Also, the research findings showed that controlling factors such as company size, financial leverage, book value to
market value, liquidity, momentum and inverse are not able to change the positive relationship of the risk criteria
examined on the expected return.

کلیدواژه‌ها

Expected Return؛ Knowledge-based Companies؛ McBeth Fama Model؛ Risk Indexes

مراجع

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