پیوندهای مفید
آمار
| تعداد نشریات | 21 |
| تعداد شماره‌ها | 655 |
| تعداد مقالات | 9,583 |
| تعداد مشاهده مقاله | 68,542,684 |
| تعداد دریافت فایل اصل مقاله | 47,999,737 |
Econometric model for estimation of equity risk premium in Iran | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 10، دوره 15، شماره 3، خرداد 2024، صفحه 119-124 اصل مقاله (309.56 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2022.28704.3973 | ||
| نویسندگان | ||
| Seyed Yaghoub Zeraatkish* 1؛ Laleh Chehreh1؛ Leila Otadi2؛ Sasan Ahadi3 | ||
| 1Department of Agricultural Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran | ||
| 2Human Resources, Bodily Damage Fund, Tehran, Iran | ||
| 3Human Resources, State Accounts Court, Tehran, Iran | ||
| تاریخ دریافت: 24 شهریور 1401، تاریخ بازنگری: 30 مهر 1401، تاریخ پذیرش: 15 آبان 1401 | ||
| چکیده | ||
| In this article, the relationship between risk premium spending and important financial and macroeconomic variables in Iran in the years 2013-2014 has been investigated. In this regard, standard OLS regression and the Hodrick-Prescott filter were used. The results of the research showed that there is a positive and significant relationship between the change and evolution of the money supply process and the variable of risk premium. This is while the variables of the gap between private consumption and its trend, exchange rate and stock index of the 50 largest companies in the stock market have a negative and significant effect on the amount of risk premium i.e. ERP in Iran. | ||
| کلیدواژه‌ها | ||
| equity risk premium؛ fundamentals؛ Econometric model؛ Iran | ||
| مراجع | ||
|
[1] J. Graham and C. Harvey, The equity risk premium in 2016, SSRN Electronic J. 10 (2016). [2] R.J. Hodrick and E.C. Prescott, Postwar US business cycles: An empirical investigation, J. Money Credit Bank. 29 (1997), 1–16. [3] D. Jurdi, Predicting the Australian equity risk premium, Pacific-Basin Finance J. 71 (2022), 101683. [4] B. Kjellson, Forecasting expected shortfall: an extreme value approach, Bachelor’s Thesis, Lund university, 2013. [5] P. Maio, Cross-sectional return dispersion and the equity premium, J. Financ. Markets 29 (2016), 87–109. [6] W. Mensi, Sh. Hammoudeh and S.J.H. Shahzad, Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method, J. Bank. Finance 75 (2017), 258–279. [7] S. Mutu, P. Balogh and D. Moldovan, The efficiency of value at risk models on central and eastern European stock markets, Int. J. Math. Comput. Simul. 5 (2011), no. 2, 110–117. [8] O. Ogbulu, A. Maxwell and Nwakanma, Equity risk premium, macro-economic variables and co-integration: Evidence from nigeria, Int. J. Empir. Finance 2 (2014), no. 2, 83–95. [9] D.H. Oh and A. Patton, Time-varying systemic risk: Evidence from a dynamic Copula model of CDS spreads, J. Bus. Econ. Statist. 36 (2018), no. 2, 181–196. [10] F. Othieno and N. Biekpe, Estimating the conditional equity risk premium in African frontier markets, Res. Int. Bus. Finance 47 (2019), 538–551. [11] A. Rˇadulescu and D. T. Pele, An Econometric Model for Estimating the Equity Risk Premium, Procedia Econ. Finance 10 (2014). [12] A. Sajid, M. Arsalan, M. Khan and M. Ramish, The equity risk premium puzzle in Pakistan, Market Forces 16 (2021). [13] A.K. Singh, D.E. Allen and P.J. Robert, Extreme market risk and extreme value theory, Math. Comput. Simul. 94 (2013), 310–328. [14] C. Van Ewijk and H.L.F. De Groot, A meta-analysis of the equity premium, J. Empir. Finance 19 (2012), no. 5, 819–830. | ||
|
آمار تعداد مشاهده مقاله: 14,408 تعداد دریافت فایل اصل مقاله: 8,043 |
||