The test of the Fama-MacBeth model to measure the relationship between the expected investment risk metrics and the expected rate of return for knowledge-based companies active in the Tehran Stock Exchange

Abstract

The main purpose of this research is to measure investment risk indicators (standard deviation risk, half standarddeviation, parametric and historical value at risk and parametric and historical; HR) and test their relationship withthe expected price return rate for knowledge-based companies active in the stock market. For this purpose, a sampleconsisting of 31 knowledge-based companies active in the Tehran Stock Exchange was selected during the period of2016 to 2021 and the risk indicators of standard deviation, half standard deviation and value at risk were selectedbased on We tested the McBeth Fama model in relation to the expected rate of return. The research results show thatthere is a significant relationship between volatility risk indicators and adverse risk for the expected rate of return.Also, the research findings showed that controlling factors such as company size, financial leverage, book value tomarket value, liquidity, momentum and inverse are not able to change the positive relationship of the risk criteriaexamined on the expected return.