Analysis of the Relationships Between Capital Structure and Cumulative Abnormal Returns (case Study: Tehran securities Exchange)

The main purpose of this article is to analyze the effects of the capital structure on the cumulative abnormal returns to reach such a goal we select information of 44 firms in the years 1376-1386. Multiple regressions (stepwise method) were used to test the hypothesis and their meaningfulness was reached by using t and F statistics. On the other hand, the Durbin-Watson test was applied to examine the autocorrelation of the model. The results showed that: Leverage doesn’t have a meaningful impact on the cumulative abnormal returns; Systematic risk, P/E ratio, BM ratio and the size of the firm would significantly affect the cumulative abnormal returns.