Affiliation:
1. Assistant Professor in Department of Accounting, Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran
2. Accounting Teacher of Department of Accounting, Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran
3. Accounting Student of Master Degree in Department of Accounting, Economics, Management and Administrative Sciences, Semnan University, Semnan, Iran
Abstract
Nowadays, reaching to economic goals in any society requires public participation, which is only the result of people participation. Investment in stock market is one of people participation methods. So, awareness from stock return and its affecting factors is one of anxieties of investors and owners of shares. In this research, authors evaluate the effective factors on stock return using Fama and French models. So, authors study the effect of some factors including accruals quality, anomalies of investments, size factor, market’s risk premium factor, and book equity to market equity factor, on stock’s risk premium which is representative of stock returns, in 70 listed companies in Tehran stock exchange from 20 March 2003 to 20 March 2014. Results showed that accruals quality and quality of risk have meaningful effect on risk premium, which is representative of stock returns. Results also show that investment anomaly has no meaningful effect on risk premium and, consequently, on stock returns.
Keywords: accruals quality, investments anomaly, risk premium, return diversity, stock returns, quality of earnings, discretionary accruals, systematic risk. JEL Classification: M41, G12, G14
Publisher
LLC CPC Business Perspectives
Subject
Strategy and Management,Business and International Management,General Business, Management and Accounting,Information Systems and Management,Law,Sociology and Political Science,Public Administration
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献