Factors Affecting Stock Prices Regarding Uncertainty and Asymmetric Information in Tehran Stock Exchange

Advances in Mathematical Finance and Applications

مقاله 8، دوره 6، شماره 3، مهر 2021، صفحه 535-554   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2019.1866542.1214

نویسندگان

Monir Sadat Mirjamali Mehrabadi؛ Seyed Abbas Najafizadeh^* ؛ Peyman Ghafari Ashtiani

Department of Management, Economics College, Arak Branch, Islamic Azad University, Arak, Iran

چکیده

Two main issues occurring in the economy and largely affecting stock prices are uncertainties and asymmetric information which are influenced by many factors, and along these factors, affect the stock prices. In this study, using Cox, Ingersoll & Ross (CIR) model, we tried to investigate the relationship between theoretical price and stock price under the conditions of uncertainty and asymmetric information. Then, using the GLS panel method, the stock price relationship with these variables and the factors related to the firm performance, economic factors and industrial factors were investigated in Tehran stock exchange. The results indicated that a large part of stock price changes can be explained by two variables of uncertainty and asymmetric information, while other factors had significant effects on stock prices. The difference was that the factors related to the firm's performance and industry index had a positive effect and the macro-economic factors had a negative effect on stock prices. Finally, according to CIR model, asymmetric information and uncertainty in market ‎lead to delays in stock price adjustment, which can affect quality of corporate ‎governance principles‏.

کلیدواژه‌ها

Stock Prices؛ Theoretical Price؛ Uncertainty؛ Asymmetric Information؛ CIR Model

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