ارزيابي كفايت متغيرهاي ريسك سيستماتيك، نسبت ارزش دفتري به ارزش بازار، اندازه شركت، نسبت قيمت به درآمد، نسبت درآمد به قيمت، بازده بازار، بازده بدون ريسك و صرف ريسك بازار در تبيين بازده واقعي سهام در بازار ايران

Evaluating the Sufficiency of Variables Systematic risk, Book-to-Market Ratio of Equity, Company Size, Price-to-Earnings Ratio, Earnings-to-Price Ratio, Market Rate of Return, Non-Risk Return, and Risk Premium to determine the Actual Return of Stock in Ir

This study is going to answer this question if the variables Systematic risk, Book-to-Market Ratio of Equity, Company Size, Price-to-Earnings Ratio, Earnings-to-Price Ratio, Market Rate of Return, Non-Risk Return, and Risk Premium will be able to determine and anticipate the actual return of stock in Iran stock exchange or not. All research variables come from capital asset pricing model (CAPM), Fama and French model, and accounting ratios. In order to answer the research question, 8 hypotheses were designed. The statistical community of this research includes those listed companies on Iran stock exchange - by using single variable regression - which their Book-to-Market Ratio of Equity have the highest correlation coefficient and their company size have the lowest correlation coefficient. According to the obtained results of applying multivariable regression, the variables of company size because of the lowest correlation coefficient, and the variables of earnings-to-price ratio as well as market risk premium because of the co-linearity elimination between independent variables, were eliminated. The results of testing hypotheses indicate using multi-factor model stock is better than single-factor (CAPM) to determine the actual return of stock during the 1380-1386 period.