A Study of the Effects of Company Size on Systematic Risk Based on the Capital Asset Pricing Model Among Accepted Companies in Tehran Stock Market

Journal of Management Science Letters, Vol. 2, p. 1455, April 2012

10 Pages Posted: 4 Apr 2012

See all articles by Peyman Akbari

Peyman Akbari

Department of Management, Payame Noor University, I.R. of Iran

Reza Rostami

Payam Noor University - Department of Management

Akbar Veismoradi

Payam Noor University - Department of Management

Date Written: February 20, 2011

Abstract

Systematic risk (beta) is one of the most effective factors in predicting the appropriate required rate of return of portfolios. Understanding systematic risk of usual portfolio of various companies helps investors consider financial investment, more confidentially. The aim of this study is to determine if there is any significant relationship between Company Size (Market value of stocks, Book value of stocks, level of company sale, trade volume of stocks, Price dividend ratio) as independent variables and Systematic risk (Beta) as dependent variables. The study chooses 112 companies accepted in Tehran Stock Market based on screening systematic deletion) in a six-year- period from 2005 to 2010. The required data were gathered from basic financial statement, committee reports, and other available documents in Tehran Stock Market. Regression and Pearson correlation were used to analyze the data. The results of the study revealed that there is a significant relationship between the variables. Some suggestions regarding the topic of the research are given too.

Keywords: Market value of stocks, Book value of stocks, level of company sale, trade volume of stocks, Price dividend ratio, Systematic risk (Beta)

JEL Classification: D51

Suggested Citation

Akbari, Peyman and Rostami, Reza and Veismoradi, Akbar, A Study of the Effects of Company Size on Systematic Risk Based on the Capital Asset Pricing Model Among Accepted Companies in Tehran Stock Market (February 20, 2011). Journal of Management Science Letters, Vol. 2, p. 1455, April 2012. Available at SSRN: https://ssrn.com/abstract=2034198

Peyman Akbari (Contact Author)

Department of Management, Payame Noor University, I.R. of Iran ( email )

kermanshah
Iran

Reza Rostami

Payam Noor University - Department of Management ( email )

Payame Noor University, I.R. of IRAN
kermanshah
Iran

Akbar Veismoradi

Payam Noor University - Department of Management ( email )

Payame Noor University, I.R. of IRAN
kermanshah
Iran

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