تبيين معيارهاي جايگزين ريسك سيستماتيك در بورس اوراق بهادار تهران‌

An Empirical Investigation of Systematic Risk Proxies In Tehran Stock Exchange

Current article examines the CAPM and Fama- French three-factor (1993) models for Iranian emerging equity market using daily stock returns from 50 listed companies in Tehran Stock Exchange (TSE) for the period of 2000 through 2004. In order to improve the results obtained, the Dimson improved approach to estimate beta has been applied in the study. The CAPMʹs central prediction for the intercept is that it should equal zero and the slope should equal excess returns on the market portfolio. The empirical findings of the study approve this hypothesis but it provides no conclusive evidence in support of the validity of the CAPM. Additionally, this study offers additional out of sample evidence that size, book-to-market and E/P ratios are major systematic risk proxies in the TSE, although despite the evidence documented in finance literature, the relationship of the atzve- mentioned variables and the cross-section of stock returns are in contrast. Finally, the empirical findings confirm that the Fama-French three-factor model (1993) holds for the Iranian Equity namely Tehran Stock Exchange.