The Impact of Financial Risk on the Efficiency in the Tehran Stock Exchange Companies

Subject Areas : Financial Knowledge of Securities Analysis

Amir Hossein Erza ¹ , Farnaz Seifi ^{2 *}

1 - Faculty Member (Assistant Professor), Finance and Banking Department, Faculty of Management and Accounting, Allameh Tabataba'i University
2 - Master of finance, Allameh Tabataba'i University. (Corresponding author)

Received: 2018-05-28 Accepted : 2018-08-11 Published : 2020-03-20

Keywords: Credit risk. Illiquidity risk.,

Abstract :

The purpose of this paper is to investigate the effect of credit and non-liquidity andmarket risks on the financial efficiency in the 102 Tehran Stock Exchange companiesduring 2011-2016. We use Amihud ratio to calculate the non-liquidity risk, the Creditrating was used with the Topsis model and CVaR was used for market risk. In order to weuse the return-on-equity (book value) ratio, the return-on-equity (market value) ratio andmarket value added, while analyzing the impact of financial risks on them with the GMMgeneralized regression model, the ability to explain each one and determine which is abetter benchmark for efficiency explanation. According to the results, there is nomeaningful relationship between all three risks with the return-on-equity (book value)ratio, while the effect of these risks with the return-on-equity (market value) and marketvalue added ratio are significant, which is the ability to explain the return-on-equity(market value) More than market value added