Economics, Econometrics and Finance
8 years ago

Traditional risk models fail in Iranian stock market, new variables dominate.

1 view
SSRN Electronic Journal
The Cross-Section of Expected Stock Returns in Iranian Stock Market: Some Empirical Evidence
Saeed Bagherzadeh

Paper Summary

The study looked at how different factors affect stock returns in the Iranian stock market from 1993 to 2001. While the traditional model says only systematic risk matters, this study found that factors like firm size and book-to-market ratio also play a role in predicting stock returns. This challenges the idea that only one type of risk matters in the market.

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