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The effect of systematic exchange rate risk on asset returns by using consumption-based asset pricing (Case study: companies admitted to the Tehran Stock Exchange) | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 18، دوره 14، شماره 7، مهر 2023، صفحه 197-206 اصل مقاله (399.49 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2022.28990.4038 | ||
| نویسندگان | ||
| Javad Dadashi1؛ Seyed Ali Nabavi Chashmi* 2؛ Erfan Memarian3 | ||
| 1Department of Financial Engineering, Babol Branch, Islamic Azad University, Babol, Iran | ||
| 2Department of Financial Management, Babol Branch, Islamic Azad University, Babol, Iran | ||
| 3Department of Economic, Babol Branch, Islamic Azad University, Babol, Iran | ||
| تاریخ دریافت: 23 شهریور 1401، تاریخ بازنگری: 23 آبان 1401، تاریخ پذیرش: 05 آذر 1401 | ||
| چکیده | ||
| Along with the increase in trade between countries, exchange rate changes are considered as one of the most important risk factors in the financial markets, so these changes affect macroeconomic variables such as the price of imported goods and services, the price of domestically produced goods, and the yield of companies' shares. The purpose of this research is to investigate the relationship between exchange rate changes and asset returns in the framework of a theoretical and empirical model of the consumption-based capital asset pricing model (CCAPM), for this purpose, through the development of a basic CCAPM model with the help of Epstein and Zin's return utility function and entering Imported consumer goods in it, this relationship is examined. The research sample included 69 companies in Tehran Stock Exchange and monthly data from 1390 to 1398. Linear asset pricing model using Fama and Macbeth's two-stage regression method, the effects of exchange rate risk on asset returns were investigated. The estimation results of the two-stage regression model or the linear asset pricing model indicate that the beta coefficient of the exchange rate (exchange rate risk adjustment, $\lambda_1$) is equal to 0.81, that is, there is a positive and significant relationship between the exchange rate risk adjustment and the asset return adjustment. | ||
| کلیدواژه‌ها | ||
| systematic risk؛ exchange rate؛ return on assets؛ asset pricing model based on consumption | ||
| مراجع | ||
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