The effect of systematic exchange rate risk on asset returns by using consumption-based asset pricing (Case study: companies admitted to the Tehran Stock Exchange)

Along with the increase in trade between countries, exchange rate changes are considered as one of the most important risk factors in the financial markets, so these changes affect macroeconomic variables such as the price of imported goods and services, the price of domestically produced goods, and the yield of companies' shares. The purpose of this research is to investigate the relationship between exchange rate changes and asset returns in the framework of a theoretical and empirical model of the consumption-based capital asset pricing model (CCAPM), for this purpose, through the development of a basic CCAPM model with the help of Epstein and Zin's return utility function and entering Imported consumer goods in it, this relationship is examined. The research sample included ۶۹ companies in Tehran Stock Exchange and monthly data from ۱۳۹۰ to ۱۳۹۸. Linear asset pricing model using Fama and Macbeth's two-stage regression method, the effects of exchange rate risk on asset returns were investigated. The estimation results of the two-stage regression model or the linear asset pricing model indicate that the beta coefficient of the exchange rate (exchange rate risk adjustment, \lambda_۱) is equal to ۰.۸۱, that is, there is a positive and significant relationship between the exchange rate risk adjustment and the asset return adjustment.

کلیدواژه ها:

systematic risk ، Exchange Rate ، return on assets ، asset pricing model based on consumption