Evaluating the impact of systematic risk on the stock returns of companies listed on the iran stock exchange using an optimal model based on rough set, regression and arbitrage pricing theory

Currently, due to economic fluctuations in Iran, the stock market and consequently the economy has undergone a huge transformation. This has created instability in macroeconomic change, known as systematic risk. The purpose of this study is to investigate and determine the effect of independent variables to estimate systematic risk and then determine the effect of systematic risk on stock return performance. For this purpose, two hypotheses were determined and the annual data of the member companies of Tehran Stock Exchange in the period 1399-1387 were used to test the hypotheses. To test the hypotheses, the Rough-set method was used to select independent variables affecting systematic risk, then the regression method with panel data was used to estimate systematic risk and the arbitrage pricing theory method was used to relate systematic risk to stock return performance. Findings from the first hypothesis in the systemic risk evaluation part showed that the variables of sales growth fluctuations, profit margin, debt to equity ratio have a significant effect on systematic risk but interest rates do not have a significant effect on systematic risk. Also, the findings of the second hypothesis in the effect of systematic risk on stock returns show a significant and positive effect of systematic risk on stock returns.