Firm Size and Systematic Risk: Evidence from the Iranian Insurance Industry

The main objective of the present study to investigate the relationship between firm size and systematic risk of insurance companies listed in the Tehran Stock Exchange. To this end, the relationship between the various types of indicators explaining firm size with systematic risk was investigated and then after determining the best model based on the adjusted coefficient of determination, the relationship between firm size and systematic risk in a state of economic prosperity and recession was investigated. To investigate the relationship between the mentioned variables, the data of ۱۲ insurance companies which were selected through systematic elimination in the Tehran Stock Exchange from ۲۰۱۵ to ۲۰۱۹ were analyzed. Four hypotheses were developed in this study. The first hypothesis addressed the relationship between firm size and systematic using the bivariate regression model. The fourth hypothesis dealt with this relationship under conditions of economic growth and recession based on two multiple regression models. The findings of the study indicated that of the factors explaining firm size, only the firm size estimated through equity market value has a significant relationship with systematic risk. Besides, no significant differences were found between firm size and systematic risk during economic growth and recession periods as indicated by the multiple regression analysis.

Keywords:

Firm Size , Systematic Risk , Insurance Industry.