The financial risk and unusual return of share in the banks of the Tehran Stock Exchange

The aim of this research is to identify the factors and investigate the relationship between financialrisk and the unusual return of share in the banks of the Tehran Stock Exchange. In this research, aconcept called the earnings response coefficient was studied as the ratio of unexpected gain tounusual profits of banks as a criterion for the logical decisions of investors and other financialusers. In this study, commercial banks on the Bourse between ۲۰۱۱-۲۰۱۵ were studied and used thefactor analysis technique to reduce ۱۸ financial ratios in order to calculate the risks to be includedin the regression. Current research demonstrates credit risk, interest rate risk, liquidity risk andcapital adequacy as an effective factor in the relationship between financial risk and the unusualTSE. In addition, the results indicate that there is a positive and relevant effect of liquidity risk andcredit risk on abnormal bank yields and two other risks (interest rate risk and capital adequacy risk).have no significant effect on the abnormal returns of banks.

Keywords:

Liquidity risks , Credit risk , Unpredictable profit , Abnormal returns