The relationships between market beta with macroeconomic variables and accounting information

Subject Areas : Journal of Investment Knowledge

Ali Rahmani ¹ , Kambiz Peikarjoo ² , Mansoureh Azizi ³

1 - Assosiate Professor,Alzahra University
2 - Associate Professor, Science & Research Branch of Islamic Azad University.
3 - M.A, Economics, Science & Research Azad University.

Received: 2013-11-10 Accepted : 2014-03-13 Published : 2014-03-13

Keywords: Systematic Risk (Beta), Macroeconomic variables, accounting information, EGARCH &amp, M-GARCH models, Panel Data Method,

Abstract :

An empirical analysis is carried out establishing the existent relationship among the stock market (Beta) and (a) macroeconomic and (b) accounting informations. Regression analysis, using static and dynamic panel data estimations, is applied to a sample of 61 listed Iranian firms, between 2001and 2010. Systematic risk is estimated through OLS, EGARCH and M-GARCH models and use TEDPIX index (Tehran Stock Exchange Dividend & Price "total return" Index) as market portfolio. The results show a connection between the systematic risk and the independent variables. The best models are found when we estimate the systematic risk using EGARCH model and applying a combination of macroeconomic and accounting  variables. The most important variables explaining the systematic risk are Size (SZ), Growth Rate (GR) and Debt Ratio (DR) from accounting variables and Gross Domestic Product (GDPI),inflation (Change in CPI index), Legal interest rate (LINT), Oil price (Oilprice) and Exchange rate (EXCR). The results vary using different models and might be different if we use a different sample.