بررسي عامل هاي ريسكي مؤثر بر بازده سهام شركت هاي فعال در صنعت پتروشيمي

Studying the Influence of Risky Factors on Returns of the Petrochemical Companies

This study investigates the influence of risky factors on returns of companies in the petrochemical industry on the basis of monthly data in the period of 1382-1384 of the Iranian calendar. Using the Arbitrage Pricing Model (APT) excess returns of the market, percentage of the change in the foreign currency rates, percentage of changes in the inflation rates and the percentage changes in the oil prices are used of the variables in this study. Results show that the fluctuation of the excess returns of the market is significant and its coefficient is less than one which indicates that the petrochemical industry has a systematic risk less than that of the market. The percentage changes in the oil price shows a positive and significant correlation with the excess returns of the petrochemical industry. Other variables did not show significant relationships with the excess returns of the petrochemical industry.