Document Type : Research Paper
Authors
1 Assistant Professor of Economics
2 29 Bahman
Abstract
Risk is one of the most important tools for investors to make decisions in the capital market. So far, many researches in the field of management and investment have been done about risk to identify and reduce the factors that cause or increase risk. , Systematic risk is the most vital factor for measuring risks related to financial decisions, and it plays an important role in financial decisions by influencing the amount of profit and efficiency of the company. The present study tries to test the effect of the company life variable and some other determining factors on the systematic risk (beta).To conduct this research, a sample of 47 companies was selected from among the companies accepted in the Tehran Stock Exchange during the years 2013 to 2016. The results show that the age of the company in the form of the number of years since the establishment of the company has no effect on the systematic risk. Therefore, the relationship between company age and systematic risk is not linear. In the following, three dependent forms (the square of the company's age, the logarithm of the company's age, and the inverse of the company's age) were used to examine the relationship between the company's age and systematic risk more precisely. The results of the estimation of the functional form in which the square of the age of the company is used show that the square of the age has no significant relationship with the systematic risk. In the functional form, in which the inverse of the company's age is entered, the results show that the increase in the amount of systematic risk is more severe in the early stages of a company's development, but stabilizes with the maturity of the company. In the estimation of the functional form in which the logarithm of the company's age is considered, the results indicate that the increase in risk is severe in the early stages of the life cycle, but the amount of risk increase decreases for mature companies.
Also, based on the results of the estimations, it can be concluded that, as expected, the inherent business risk variables have a positive and significant effect on systematic risk, and the variable of company size and growth opportunities have a negative and significant effect on systematic risk.
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