The Effect of Economic Uncertainty on Earnings Response Coefficient usingtwo-factor Fama-McBeth Model

The aim of this study is to investigate the effect of Economic Uncertainty on Earnings Response Coefficient of listed Companies in Tehran Stock Exchange. These Four dimensions of Economic Uncertainty in our tests: GDP growth, Inflation rate, Exchange rate and Interest rate. Using ARCH and GARCH for this purpose one hypothesis developed and data on the 142 companies in Tehran Stock Exchange for the period of 1387 to 1396 were analyzed. The regression model using two-factor Fama and McBeth reviews has been tested.The results showed that the concentration of Economic Uncertainty (GDP growth, inflation rate, exchange rate and interest rate) has significant negative impact on Earnings Response Coefficient.