Relationship Between Corporate Characteristics and Systematic Risk in Tehran Stock Exchange:Using the Fama and French three-factor model

In the economics and investment literature, systematic risk plays an important role in the performance of financial markets as a consequence of the behavior of predominantly economic and political variables. Despite studies on the role of systematic risk on stock markets, the need for further research in different aspects requires consideration of the fundamental factors of this type of risk in different time periods and the lack of a complete and applicable model. Therefore, in the present study, we first calculated the systematic risk of listed companies in Tehran Stock Exchange based on Fama and French three-factor model and then examined the effect of capital structure (debt ratio), long-term investment rate, and firm size (on value). The systematic risk of companies during the period 2011-2011 has been investigated using Systematic Generalized Torque Method (SYS-GMM). Clearly, this research seeks to answer the question of whether capital structure, long-term investment, and size of the market value of the firm play a fundamental role in the firm's exposure to systemic risk. The findings show that the capital structure and size of companies have a positive and significant impact and long-term investment has a negative and significant impact on systematic risk of companies. Practically the results can be very important for investment firms, investors and market participants.