Identifying factors affecting the expected return and risk of Sukuk in the capital market of Iran(Case Study: assets based securities and debt based securities)

Subject Areas : Financial Economics

زینب آهنگر ¹ , نوروز نوراله زاده ² , رویا دارابی ³

1 - گروه مهندسی مالی، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران
2 - گروه مالی و حسابداری، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران
3 - دانشیارحسابداری،دانشگاه آزاد اسلامی واحد تهران جنوب، تهران،ایران

Received: 2021-09-12 Accepted : 2024-11-26 Published : 2025-03-08

Keywords: Sukuk, Risk, Return, GMM, Risk Shifting,

Abstract :

Sukuk is one of the important financing instruments in Islamic countries. The present article examines the risks associated with sukuk, examines the relationship between risk and expected returns on sukuk and the extent to which risk shifting behavior changes in companies that finance through sukuk.. Investigating the risk shifting behaviors of Sukuk issuers by measuring operational risks in case of issuance and non-issuance by measuring operating profit volatility. The results show that the issuance of bonds does not encourage risk shifting behaviors due to increased operational risk of publishers and contributes to financial stability.. Also, the factors affecting the expected return of Sukuk are divided into two categories of structural factors including coupon rate, bond maturity and duration and macroeconomic factors including inflation, quasi-currency and exchange rate using the generalized torque method (GMM). ) The model is estimated. The results show the impact of structural factors and macroeconomic factors on the yield of Sukuk. The statistical population of the study is securities based on assets and securities based on debt in the period 1390 to 1398