Authors : Moslem Moradzadeh, Mohammad Nabi Shahiki Tash and Mohammad Esmael Ezazi
Abstract: In the present study, the relationship between the accounting variables of margin of profit ratio, equity to market value ratio, dividends per share to earnings per share ratio and stock return based on the Arbitrage Pricing Theory Based on the Downside Risk (D-APT) was investigated. This study investigated the relationship by considereing 160 dealing stocks in Tehran Stock Exchange during the period between 1384-1393. The findings of the study indicate that margin of profit ratio, equity to market value ratio, dividends per share to earnings per share ratio have a positive and significant relationship with stock return which they collectively explain 66.2% of return changes. As a result, all accounting variables of margin of profit ratio, equity to market value ratio, dividends per share to earnings per share ratio are able to price the stock which this fact confirms the D-APT Model. Therefore, it is suggested to the investors to notice on the changes related to the accounting variables on their decisions.
Moslem Moradzadeh, Mohammad Nabi Shahiki Tash and Mohammad Esmael Ezazi, 2016. An Investigation of the Relationship Between the Accounting Variables and Stock Return Based on the Arbitrage Pricing Theory Based on the Downside Risk (D-APT) in Tehran Stock Exchange. International Business Management, 10: 2364-2368.