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Investigating the Non-linear Relationship Between Risk Aversion and Stock Returns in Iran's Capital Market
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Mehdi Abbaszadeh   , Hamid Rostamijaaz * , Mehdi Desineh , Mohammad Hossein Ranjbar |
| Islamic Azad University, Bandar Abbas |
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Abstract: (344 Views) |
Investigating the relationship between risk aversion and stock returns can help to better understand the behavior of investors in the capital market. How investors view risk and how this attitude has a direct impact on stock returns is important. This information can help us to adopt more appropriate investment strategies in the capital market. Therefore, this research was conducted with the aim of investigating the non-linear relationship between risk aversion and stock returns among companies listed on the Tehran Stock Exchange. In terms of the purpose, this research is considered as applied research, from the aspect of inference, it is placed in the descriptive-correlation research group. To collect information, 143 companies were selected as a statistical sample from the Tehran Stock Exchange in the period from 1392 to 1401. Research hypotheses were analyzed using panel data regression and combined regression in Eviews10 software. The analysis of hypotheses to investigate nonlinear relationships using the generalized least square method (EGLS) showed that risk aversion caused by the standard deviation of stock returns has an R-shaped nonlinear effect on stock returns. Risk aversion caused by the difference between the expected return and the actual return has a non-linear U-shaped effect on stock returns. Risk aversion caused by the difference between dividends and bank profits has a non-linear U-shaped effect on stock returns. Risk aversion caused by the difference between dividends and government bond yields does not have a significant non-linear effect on stock returns.
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| Keywords: Capital Market, Stock Returns, Non-linear Relationship, Risk Aversion |
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Full-Text [PDF 1052 kb]
(178 Downloads)
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Type of Study: Research |
Subject:
Accounting
Received: 2024/06/11 | Accepted: 2024/07/20 | Published: 2024/08/27
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