بررسي ميزان تاثيرپذيري نرخ بازده سهام از سود نقدي و تغييرات قيمت سهام

Determination of the Effect of Changes in Stock Prices and Cash Dividends On the Rate of Returns from. Investment in Stock Market

Cash dividends and particularly changes in stock prices are the two main factors of providing returns for investors in stock market. Advocators of analyzing stock market based on technical methods, believe that returns are statistical variables which follow a particular pattern and like other time-series relations have a special behavior. Thus, analysis of historical information can provide various bases for future predictions. Stock analysis based on this attitude is new in Iran. In this paper we investigate the degree to what the rates of stock return from investing in Tehran stock market are affected by the two main factors that construct it- return from changes in stock price and cash dividend. Initially the meaningfulness of the relationships between the dependent variable and independent variables were tested by linear multi-regression analysis in 1377- 1381 period. Since it was suspicious that year alteration has had impacts on relations (intercept and slope coefficients), a dummy variable regression model was applied in which the impacts of year-price changes and year-cash dividend factors were involved. This method determined the appropriateness of independent variables. By using the stepwise forward method, the most effective variables were determined and included. And finally as the observations on cross-sectional units were made over a number of periods, the data was pooled and examined on both time-series and the cross-section dimensions through the Panel Data method and the final model (pooled equation) was estimated. The results show that in all models the R square amounts provide the acceptable appropriateness of all estimated regression models. Almost in all years the rates of return have had a significant meaningful relation with stock price changes but for the prediction of the rate of stock return, the cash dividend factor canʹt be a good estimator. The standardized beta coefficients explain that the impact of changes in stock price was much more than the impact of cash dividends almost in all years.