Investigating the Causing Relation Earning and Future Return to Existing Rational Intrinsic Bubble
of Listed Companies in Tehran Stock Exchange
Considering the important role of stock market in economic development, finding this fact that whether price increases is due to fundamental elements or not can help a country’s policy makers to direct the capital market to the right direction. Therefore, this study investigates the existence of a certain type of rational bubbles due to the fundamental elements which called rational intrinsic bubble during 1385 to 1392. Then, in the second phase this matter will be examined that if the earnings can predict future return regarding to intrinsic bubbles so for this purpose Vector Auto Regression model has been applied. The required data have been collected seasonally and calculated by using and Rahavard Novin Software, 65 companies selected as research samples and data has been analyzed by using Eviews7 .the analyzing results indicate that there are intrinsic bubbles in 15 companies which is due to changing of fundamental elements such as dividend. Also the results indicate that in companies in which there is not any intrinsic bubbles, earning can predict future returns.
ﺑ ﻩﺩﺯﺎﺑ ﻭ ﻱﺭﻭﺁﺩﻮﺳ ﻪﻄﺑﺍﺭ ﻲﺳﺭﺮﺑ (1390) ﷲﺍ ﺡﻭﺭ ،ﻲﺳﺎﻄﻴﻗ ،ﺩﺎﺠﺳ ﺮﻴﻣ ،ﻱﻮﺳﻮﻣ ﺪﺠﺴﻣ .ﻥﺍﺮﻬﺗ ﻱﺩﺎﺼﺘﻗﺍ ﻡﻮﻠﻋ ﻩﺪﻜﺸﻧﺍﺩ ،ﺖﻛﺮﺷ ﻩﺯﺍﺪﻧﺍ ﻭ ﺮﻤﻋ ﻪﺧﺮﭼ ﻪﺑ ﻪﺟﻮﺗ ﻲﻤﻠﻋ ﻪﻠﺠﻣ ،ﻥﺭﺎﻳﺍ ﺭﺩ ﻪﻳﺎﻣﺮﺳ ﺭﺍﺯﺎﺑ ﻭ ﺎﻫ ﺖﻤﻴﻗ ﺏﺎﺒﺣ ،(1387) ،ﺪﻤﺤﻣ ،ﻲﻛﺮﺗ ،ﺪﻤﺤﻣ ،ﻆﻋﺍﻭ .207-195ﺺﺻ ،3ﻩﺭﺎﻤﺷ ،31ﺪﻠﺟ ،(ﻲﻧﺎﺴﻧﺍ ﻡﻮﻠﻋ)ﻥﺎﻬﻔﺻﺍ ﻩﺎﮕﺸﻧﺍﺩ ﻲﺸﻫﻭﮋﭘ Ang, A., Bekaert, G.,(2007) Stock return predictability: Is it there?, Review of Financial Studies,vol 20, 651-707. Campbell, J.Y., Shiller, R.J.(1988), Stock prices, earnings and expected dividends, Journal of Finance vol 43, pp661-676. Chen,A.,Cheng,L., Cheng,K.,(2009), Intrinsic bubbles and Granger causality in the S&P 500: Evidence from long-term data, Journal of Banking & Finance, 33. Froot K. A and Obstfeld M., ( 1991), Intrinsic Bubbles: the Case of Stock Prices, The American Economic Review,Vol.81 No .5 , Desember. irasakuldech, B., Emekter, R., Rao, P.R.,(2008), Do Thai stock prices deviate from fundamental values?, Pasific-Basin Finance Journal, vol 16, pp 298-315.
175 ... ﻲﺗﺁ ﻩﺩﺯﺎﺑ ﻭ ﻢﻬﺳ ﺮﻫ ﺩﻮﺳ ﻲﻠﻋ ﻪﻄﺑﺍﺭ ﻲﺳﺭﺮﺑ
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