The Study of the Relationship between Comprehensive Earnings Volatility and Market Risk in Companies Listed on Tehran Stock Exchange

Abstract

The main aim of the present study is to examine the relationship between comprehensive earnings volatility and market risk in companies listed on Tehran Stock Exchange. Statistical population of the present study consisted of companies listed on Tehran Stock Exchange during the time frame of 2006 to 2013 and sample volume is calculated to be equal to 122 companies by using screening method and after the elimination of outlaying observations. In this study, net earnings volatility, comprehensive earnings volatility and increasing comprehensive earnings volatility were considered as independent variables in order to study their effect on market risk in companies. In this study, in which panel data with fixed and random effects were used, results obtained from firm data analysis by using multiple-variable regression at 95% confidence indicated that there is a direct relationship between net earnings volatility, comprehensive earnings volatility and increasing comprehensive earnings volatility with market risk of companies.