The Effect of Economic Uncertainty on Earnings Response Coefficient using two-factor Fama-McBeth Model

Subject Areas : Journal of Investment Knowledge

Babak  Salem Dezfouly ¹ (Department of Accounting, Islamic Azad University, Ahvaz Branch, Ahvaz, Iran.)
Allah Karam  Salehi ² (Department of Accounting, Islamic Azad University, Masjed-soleiman Branch, Masjed-soleiman, Iran.)
Alireza  Jorjorzadeh ³ (Department of Accounting, Islamic Azad University, Ahvaz Branch, Ahvaz, Iran.)
Saeed  Nasiri ⁴ (Department of Accounting, Islamic Azad University, Ahvaz Branch, Ahvaz, Iran.)

Received: 2020-03-13 Accepted : 2020-10-05 Published : 2022-09-23

Keywords: " Economic Uncertainty"." GDP growth", Interest rate", "Inflation rate", "Earnings Response Coefficient", "Exchange rate,

Abstract :

The aim of this study is to investigate the effect of Economic Uncertainty on Earnings Response Coefficient of listed Companies in Tehran Stock Exchange. These Four dimensions of Economic Uncertainty in our tests: GDP growth, Inflation rate, Exchange rate and Interest rate. Using ARCH and GARCH for this purpose one hypothesis developed and data on the 142 companies in Tehran Stock Exchange for the period of 1387 to 1396 were analyzed. The regression model using two-factor Fama and McBeth reviews has been tested.The results showed that the concentration of Economic Uncertainty (GDP growth, inflation rate, exchange rate and interest rate) has significant negative impact on Earnings Response Coefficient.

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