Interpretive structural modeling of risk determining factors affecting stock returns of companies listed on the Tehran Stock Exchange

Document Type : Original Article

Authors
mostafa abdollahi 1
hasan ghodrati 2
Ali Akbar Farzinfar 3
hossein jabbary 3
1 PhD student, Department of Accounting, Kashan branch, Islamic Azad University, Kashan, Iran
2 Assistant professor, Department of Accounting, Kashan branch, Islamic Azad University, Kashan, Iran,
3 Assistant Professor, Department of Accounting, Kashan Branch, Islamic Azad University, Kashan, Iran,
Abstract
which has informational content and is used by investors in financial analysis and forecasting. Investors can predict stock returns based on risk factors.Therefore, the purpose of the current research is to identify and stratify the factors that determine risk affecting the stock returns of companies listed on the Tehran Stock Exchange. The identification of risk determinants was carried out with the qualitative content analysis method of the research background and semi-structured interviews based on the theoretical saturation technique with 18 professors of accounting, financial management and economics. The validity and reliability of the interviews were confirmed by the method of relative content validity and Cohen's kappa index, respectively. Coding of interviews using MAXQDA software led to the identification of 12 risk determining factors. In order to stratify the identified risk determining factors, the opinions of 61 middle and senior managers of the companies admitted to the Tehran Stock Exchange were used with the purposeful sampling method and with the help of a questionnaire. Validity and reliability of the questionnaire were confirmed using content validity and test-post-test method. The factors identified by the interpretive structural method led to the formation of seven levels, the most effective macroeconomic factors and the most effective liquidity and financial reporting factors. modeling the factors that determine the risk affecting stock returns can lead to reducing the theoretical gap of the research and inform managers, investors and policy makers about the importance of the most influential factors so that by strengthening these factors they can invest.
Keywords
risk determinants
stock returns
interpretive structural modeling
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