پیوندهای مفید
آمار
| تعداد نشریات | 21 |
| تعداد شمارهها | 679 |
| تعداد مقالات | 9,894 |
| تعداد مشاهده مقاله | 70,071,873 |
| تعداد دریافت فایل اصل مقاله | 49,360,086 |
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 | ||
|
[1] H.E. Abouwafia and M.J. Chambers, Monetary policy, exchange rates and stock prices in the Middle East region, Int. Rev. Financ. Anal. 37 (2015), no. 1, 14–28. [2] R. Ahmadi, M. Rezayi and M. Zakeri, Effect of exchange rate exposure on stock market: Evidence from Iran, Middle-East J. Sci. Res. 11 (2018), no. 5, 610–616. [3] O. Aydemir and E. Demirhan, The relationship between stock prices and exchange rates evidence from Turkey, Int. Res. J. Financ. Econ. 23 (2019), no. 1, 207–215. [4] C. Becker and D. Fabbro, Limiting foreign exchange exposure through hedging: The Australian experience, Reserve Bank of Australia, 2019. [5] T. Biedenbach and R. Muller, Paradigms in project management research: Examples from 15 years of IRNOP conferences, Int. J. Manag. Proj. Bus. 4 (2011), no. 1, 82–104. [6] M.M. Carhart, On persistence in mutual fund performance, J. Finance 52 (1997), no. 1, 57–82. [7] W. Chkili and D.K.H. Nguyen, Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries, Res. Int. Bus. Financ. 31 (2014), 46–56. [8] A. Dhanani, Foreign exchange risk management: A case in the mining industry, Br. Account. Rev. 35 (2017), no. 1, 35–63. [9] J.K. Dreyer, J. Schneider and W. Smith, Saving-based asset-pricing, J. Bank. Finance 37 (2019), no. 9, 3704–3715. [10] L.G. Epstein and S.E. Zin, Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework, Economet. 57 (1989), no. 4, 937–969. [11] L.G. Epstein and S.E. Zin, Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis, J. Politic. Econ. 99 (1991), no. 2, 263–286. [12] E.F. Fama and K.R. French, The cross-section of expected stock returns, J. Finance 47 (1992), 427–465. [13] E.F. Fama and K.R. French, Common risk factors in the returns on stocks and bonds, J. Financ. Econ. 33 (1993), 3–56. [14] E.F. Fama and J.D. MacBeth, Risk, return, and equilibrium: Empirical tests, J. Politic. Econ. 81 (1973), no. 3, 607–636. [15] R. Mehra and E.C. Prescott, The equity premium: A puzzle, J. Monetary Econ. 15 (1985), no. 2, 145–161. [16] B. Najafzadeh, M.R. Monjazeb and S. Mamipour, The analysis of real exchange rate volatility and stock exchange return with panel-GARCH approach (Case study: D8 countries), J. Iran. Econ. Rev. 20 (2016), no. 4, 525–550. [17] Y. Xiao, R. Faff, P. Gharghori and B.K. Min, Pricing innovations in consumption growth: A re-evaluation of the recursive utility model, J. Bank. Finance 37 (2013), no. 11, 4465–4475. [18] J.E. Yugo, The effect of response format on the criterion related validity of a measure of work orientation, Doctoral dissertation, Bowling Green State University, 2006. | ||
|
آمار تعداد مشاهده مقاله: 16,684 تعداد دریافت فایل اصل مقاله: 7,992 |
||