Title of article
Econometric model for estimation of equity risk premium in Iran
Author/Authors
Zeraatkish ، Yaghoub Department of Agricultural Economics - Islamic Azad University, Science and Research Branch , Chehreh ، Laleh Department of Agricultural Economics - Islamic Azad University, Science and Research Branch , Otadi ، Leila Human Resources, Bodily Damage Fund , Ahadi ، Sasan Human Resources, State Accounts Court
From page
119
To page
124
Abstract
In this article, the relationship between risk premium spending and important financial and macroeconomic variables in Iran in the years 2013-2014 has been investigated. In this regard, standard OLS regression and the Hodrick-Prescott filter were used. The results of the research showed that there is a positive and significant relationship between the change and evolution of the money supply process and the variable of risk premium. This is while the variables of the gap between private consumption and its trend, exchange rate and stock index of the 50 largest companies in the stock market have a negative and significant effect on the amount of risk premium i.e. ERP in Iran.
Keywords
equity risk premium , fundamentals , Econometric model , Iran
Journal title
International Journal of Nonlinear Analysis and Applications
Journal title
International Journal of Nonlinear Analysis and Applications
Record number
2773656
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