Identifying and Prioritizing Systematic Risk Indicators on the Rate of Return in Investment Companies

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Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:

Existing models do not adequately capture how changes in the external environment (systematic risk) affect corporate returns. This study addresses this gap by identifying explanatory variables and an experimental model design. The sample includes 16 investment companies over two periods, 2006-1 and 2020-4. We inputted 69 systematic risk variables into the model and identified the 1-12 non-fragile variables affecting investment company weighted averages using a Bayesian model averaging approach. The findings show that the non-official hard currency exchange rate is the most robust variable influencing the Tehran Stock Exchange. Thus, stocks with the highest correlation to the foreign exchange rate should be selected when forming a portfolio. Moreover, fiscal policy variables directly impact investment company weighted average returns. Consequently, portfolios of quasi/semi-government-owned companies will see higher return fluctuations.

Language:
English
Published:
Journal of Money & Economy, Volume:18 Issue: 2, Spring 2023
Pages:
175 to 204
https://www.magiran.com/p2751253  
سامانه نویسندگان
  • Samadi، Fatemeh
    Author
    Samadi, Fatemeh
    Assistant Professor Department of Management, East Tehran Branch, Islamic Azad University, East Tehran Branch, Islamic Azad University, Tehran, Iran
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