In this study, the aggregate earnings-price ratio is decomposed into it’s positive and negative components and the ability of this components to predict of Tehran Exchange Price Index (TEPIX) are examined separately. The history shows that no research has been performed in this field in Iran. The basic question is whether the negative components compared with the positive has more ability to predict TEPIX?The statistical population includes companies that have been accepted at Tehran Stock Exchange (TSE). For selection of companies to test the research hypothesis, the elimination method is used. Positive and negative components calculated In terms of weighted average of the quarterly net amount of earnings per shareto price and Is evaluated its relationship with Index values calculated for the entire sample of companies and each of the two groups namely profitable and loss companies.Using one-variable and two-variable linear regression models, the research hypothesis is tested.For this purpose, the study period used is from the early 1995until the late 2010 for 100 listed companies in TSE. The result of Hypothesis test shows that the negative components have a greater ability to predict the TEPIX.
bahar moghadam, M., & Zanghiabadi, H. (2012). The Comparison of Predictability of Negative and Positive Components of Stock Market Returns. Journal of Business Administration Researches, 4(7), 147-164.
MLA
mehdi bahar moghadam; Hojat Zanghiabadi. "The Comparison of Predictability of Negative and Positive Components of Stock Market Returns", Journal of Business Administration Researches, 4, 7, 2012, 147-164.
HARVARD
bahar moghadam, M., Zanghiabadi, H. (2012). 'The Comparison of Predictability of Negative and Positive Components of Stock Market Returns', Journal of Business Administration Researches, 4(7), pp. 147-164.
VANCOUVER
bahar moghadam, M., Zanghiabadi, H. The Comparison of Predictability of Negative and Positive Components of Stock Market Returns. Journal of Business Administration Researches, 2012; 4(7): 147-164.
