Study of the relationship between macroeconomic variables and stock returns according to the size of companies listed on the Tehran Stock Exchange

The purpose of this study is to investigate the relationship between macroeconomic variables and stock returns with respect to the size of companies listed on the Tehran Stock Exchange. The companies studied in this study are divided into 4 groups: large, medium, small and combined based on the amount of company assets, which is considered as a size factor, and the effect of macroeconomic variables (exchange rate, liquidity, price index). Consumer, oil price) has been compared on the stock returns of these 4 groups. . For this purpose and for estimating and estimating the models, a model based on panel data has been used, which is a combination of time series data (9831-9831) and cross-sectional data (904 companies listed on the Tehran Stock Exchange). The results of the study indicate that the exchange rate in all four groups of companies has a negative and significant relationship with stock returns and the effect of exchange rates on stock returns increases with increasing company size. Consumer price index in medium, small and combined companies has a negative and significant relationship with stock returns, but in large companies there is no significant relationship. The effect of this variable on stock returns decreases with increasing company size. Oil prices in large companies have a negative relationship and in other companies have a positive and significant relationship with stock returns. Liquidity in large companies has a positive relationship and in other companies has a negative and significant relationship with stock returns.