3 استادیار گروه مدیریت دانشکده مدیریت دانشگاه تهران
عنوان مقاله [English]
In this thesis we considered the effects of macro-economic factors on stock returns in order to estimate the risk free rate of return. For doing so, we used monthly returns of companies from 1383-1 to 1387-12.The sample of this thesis was consist of 48 companies which were present in stock market. Then the effect of 10 macro economic factors like Import, Export, Coin price, Oil price, M1, Inflation, Exchange rate, Index, Indext-1,construction permit
on monthly stock returns was estimated for 5 years. The method which was used in this research was multi-factor model Arbitrage Pricing Theory (APT) and the method used was Factor Analysis.The aim of this research was to clarify whether co-movement of stock returns was the result of macro -economic factors or not, and also to estimate the risk free rate of return.The result of this thesis showed that co-movement of stock returns was due to different effects of macro- economic factors ,for inflation and indext-1 affected Tehran stock return during these 5 years ,and the estimated risk free rate of return of investment market was more than the risk free rate of return of monetary market.