Volume 18, Issue 2 (6-2023)                   J. Mon. Ec. 2023, 18(2): 175-204 | Back to browse issues page

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samadi F. Identifying and Prioritizing Systematic Risk Indicators on the Rate of Return in Investment Companies. J. Mon. Ec. 2023; 18 (2) : 3
URL: http://jme.mbri.ac.ir/article-1-551-en.html
Identifying and Prioritizing Systematic Risk Indicators on the Rate of Return in Investment Companies
Fatemeh Samadi *
assistant professor
Abstract:   (258 Views)
Existing models do not adequately capture how changes in the external environment (systematic risk) affect corporate returns. This study addresses this gap by identifying explanatory variables and an experimental model design. The sample includes 16 investment companies over two periods, 2006-1 and 2020-4. We inputted 69 systematic risk variables into the model and identified the 1-12 non-fragile variables affecting investment company weighted averages using a Bayesian model averaging approach. The findings show that the non-official hard currency exchange rate is the most robust variable influencing the Tehran Stock Exchange. Thus, stocks with the highest correlation to the foreign exchange rate should be selected when forming a portfolio. Moreover, fiscal policy variables directly impact investment company weighted average returns. Consequently, portfolios of quasi/semi-government-owned companies will see higher return fluctuations.
Article number: 3
Keywords: Returns, Systematic Risk, Optimal Portfolio, Investment Companies, Bayesian Average
Full-Text [PDF 1190 kb]   (143 Downloads)    
Type of Study: Original Research - Empirical | Subject: Economics
Received: 28 Jun 2021 | Accepted: 18 Feb 2024 | Published: 30 Jul 2024
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